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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number:811-07170
TCW Funds, Inc.
(Exact name of registrant as specified in charter)
865 South Figueroa Street, Suite 1800, Los Angeles, CA 90017
(Address of principal executive offices)
Patrick W. Dennis, Esq.
Vice President and Assistant Secretary
865 South Figueroa Street, Suite 1800
Los Angeles, CA 90017
(Name and address of agent for service)
Registrant’s telephone number, including area code: (213)244-0000
Date of fiscal year end: October 31
Date of reporting period: April 30, 2019
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Item 1. | Reports to Shareholders. |
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EQUITY FUNDS
TCW Artificial Intelligence Equity Fund
TCW Global Real Estate Fund
TCW New America Premier Equities Fund
TCW Relative Value Dividend Appreciation Fund
TCW Relative Value Large Cap Fund
TCW Relative Value Mid Cap Fund
TCW Select Equities Fund
ASSET ALLOCATION FUND
TCW Conservative Allocation Fund
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semiannual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website (www.TCW.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications electronically by contacting your financial intermediary (such as a broker-dealer, bank, or retirement plan), or by calling 1-800-FUND-TCW (1-800-386-3829) if you invest directly with the Funds.
Beginning on January 1, 2019, you may elect to receive all future reports in paper free of charge. You can call1-800-FUND-TCW (1-800-386-3829), if you invest directly with the Funds, or contact your financial intermediary, if you invest though a financial intermediary, to inform the Funds or the financial intermediary that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all Funds held directly with TCW or through your financial intermediary.
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David S. DeVito President, Chief Executive Officer and Director |
Dear Valued Investors,
I am pleased to present the semi-annual report for the TCW Funds, Inc. covering thesix-month period ended April 30, 2019. I would like to express our appreciation for your continued investment in the TCW Funds as well as welcome new shareholders to our fund family. As of April 30, 2019, the TCW Funds held total net assets of approximately $15.1 billion.
This report contains information outlining the performance and a list of portfolio holdings as of April 30, 2019 for the TCW Funds’ Equity Funds and the TCW Conservative Allocation Fund.
The U.S. Stock Market
US stocks rose 8.1% (S&P 500 Total Return Index) to a record high during the period under review, rebounding strongly from the sharp declines witnessed in the final months of calendar year 2018. After initially conveying its determination to normalize monetary policy by hiking its reference rate and pursuing an “autopilot”run-off of its balance sheet, the Fed pivoted to a more dovish monetary policy stance, which relieved equity market participants’ concerns that a fragile US economy might be tipped into recession. The equity market was also challenged by a number of other headwinds, including uncertainty stemming from the US/China trade war, a faltering global growth backdrop, and concern about the potential for a corporate “earnings recession.” Yet, despite the “soft-patch” witnessed in a number of key macroeconomic indicators in the first quarter of 2019, the US economy managed to grow 3.2%, and the labor market remained robust, with weekly jobless claims reaching a50-year low. Also, the decline in the10-year US Treasury Note yield to its lowest level of the past 16 months proved supportive of the housing market, which had begun to register weaker data in the early part of this year. And, importantly, corporate earnings results were better than consensus expectations, alleviating worries that year-over-year earnings per share growth might turn negative.
Looking Ahead
Looking forward, with a still accommodative Fed squarely on the sidelines and macroeconomic growth solid but not stellar, equity market participants are now taking their cue from the prospects for earnings growth, where consensus expectations for calendar year 2019 were perhaps downgraded too severely over the past several months. Although analysts have projected2-3% EPS growth for this year, first-quarter earnings reports, coupled with the strong U.S. GDP growth figure during the same period, may be signaling the potential for mid single-digit growth for the full year. So, although the S&P 500 index recently rebounded to a record high, stocks are trading at around 17 times forward earnings, which appears fair to us even if modestly above the average of the past several decades. Naturally, we are mindful that stock market volatility remains at exceptionally low levels (the CBOE Volatility Index or VIX is in themid-teens), and equity prices would be vulnerable to a failure to resolve the U.S./China trade dispute or other exogenous shocks. As always, we continue to closely monitorbottom-up corporate fundamentals as we endeavor to identify the most compelling investment targets that meet our growth and valuation criteria.
Fund Performance
All of our growth-oriented US Equity Funds outperformed their respective benchmarks during the semi-annual period under review, while our value-oriented strategies and the TCW Conservative Allocation Fund trailed their benchmarks. We believe that equity market investors have placed a premium on secular growth opportunities such as those found in the technology and communication services sectors at a time when trade disputes have muted the US growth outlook and the global macroeconomic growth backdrop has faltered. As a result, some of the more economically sensitive sectors and holdings in our value-oriented strategies were hurt by the prospect of a potentially slower growth environment. That said, we
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Letter to Shareholders (Continued) |
continue to believe that our emphasis on rigorousbottom-up stock research will serve our fund investors well over the longer term, especially as the incremental impact of global central bank monetary policy eventually leads to diminished liquidity and a likely greater dispersion among stock returns.
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 at800-386-3829.
I look forward to further correspondence with you through our annual report later this year.
Sincerely,
David S. DeVito
President, Chief Executive Officer and Director
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Performance Summary (Unaudited)
Six Months Return as of April 30, 2019 | Total Return Annualized as of April 30, 2019 (1) | |||||||||||||||||||||||||||
NAV | 1-Year | 5-Year | 10-Year | Since Inception | Inception Date | |||||||||||||||||||||||
TCW Artificial Intelligence Equity Fund | ||||||||||||||||||||||||||||
I Class | $ | 12.95 | 15.83 | % | 13.90 | N/A | N/A | 16.83 | % | 08/31/17 | ||||||||||||||||||
N Class | $ | 12.94 | 15.85 | % | 13.81 | N/A | N/A | 16.78 | % | 08/31/17 | ||||||||||||||||||
TCW Conservative Allocation Fund | ||||||||||||||||||||||||||||
I Class | $ | 11.69 | 6.80 | % | 5.72 | % | 4.67 | % | 7.09 | % | 5.15 | % | 11/16/06 | |||||||||||||||
N Class | $ | 11.71 | 6.69 | % | 5.43 | % | 4.19 | % | 6.75 | % | 4.88 | % | 11/16/06 | |||||||||||||||
TCW Global Real Estate Fund | ||||||||||||||||||||||||||||
I Class | $ | 10.10 | 10.56 | % | 8.17 | % | N/A | N/A | 3.05 | % | 11/28/14 | |||||||||||||||||
N Class | $ | 10.10 | 10.48 | % | 8.01 | % | N/A | N/A | 3.01 | % | 11/28/14 | |||||||||||||||||
TCW New America Premier Equities Fund | ||||||||||||||||||||||||||||
I Class | $ | 19.04 | 18.68 | % | 22.84 | % | N/A | N/A | 24.56 | % | 01/29/16 | |||||||||||||||||
N Class | $ | 19.03 | 18.62 | % | 22.77 | % | N/A | N/A | 24.54 | % | 01/29/16 | |||||||||||||||||
TCW Relative Value Dividend Appreciation Fund | ||||||||||||||||||||||||||||
I Class | $ | 17.58 | 7.94 | % | 0.96 | % | 5.96 | % | 13.11 | % | 6.97 | % | 10/29/04 | |||||||||||||||
N Class | $ | 17.90 | 7.80 | % | 0.67 | % | 5.70 | % | 12.82 | % | 8.94 | % (2) | 09/19/86 | (3) | ||||||||||||||
TCW Relative Value Large Cap Fund | ||||||||||||||||||||||||||||
I Class | $ | 18.52 | 7.21 | % | 0.27 | % | 5.98 | % | 12.60 | % | 7.30 | % | 12/31/03 | |||||||||||||||
N Class | $ | 18.47 | 7.11 | % | 0.06 | % | 5.72 | % | 12.36 | % | 6.24 | % (2) | 12/31/97 | (3) | ||||||||||||||
TCW Relative Value Mid Cap Fund | ||||||||||||||||||||||||||||
I Class | $ | 21.42 | 4.94 | % | (5.99 | )% | 5.02 | % | 12.29 | % | 10.01 | % (4) | 11/01/96 | (3) | ||||||||||||||
N Class | $ | 20.81 | 4.93 | % | (6.09 | )% | 4.83 | % | 12.02 | % | 7.58 | % | 10/31/00 | |||||||||||||||
TCW Select Equities Fund | ||||||||||||||||||||||||||||
I Class | $ | 27.41 | 17.99 | % | 20.16 | % | 14.60 | % | 15.84 | % | 10.59 | % (4) | 07/01/91 | (3) | ||||||||||||||
N Class | $ | 24.41 | 17.87 | % | 19.86 | % | 14.32 | % | 15.52 | % | 7.06 | % | 02/26/99 |
(1) | Past performance is not indicative of future performance. |
(2) | Performance data includes the performance of the predecessor SG Cowen Fund. The predecessor SG Cowen Fund was an investment company registered under the 1940 Act. |
(3) | Inception date of the predecessor entity. |
(4) | Performance data includes the performance of the predecessor limited partnership for periods before the Fund’s registration became effective. The predecessor limited partnership was not registered under the 1940 Act and, therefore, was not subject to certain investment restrictions that are imposed by the 1940 Act. If the limited partnership had been registered under the 1940 Act, the limited partnership’s performance may have been lower. |
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TCW Artificial Intelligence Equity Fund
Schedule of Investments (Unaudited)
Issues | Shares | Value | ||||||
COMMON STOCK — 94.0% of Net Assets |
| |||||||
Application Software — 24.3% | ||||||||
Adobe, Inc. (1) | 314 | $ | 90,825 | |||||
Alteryx, Inc. (1) | 299 | 26,503 | ||||||
Anaplan, Inc. (1) | 652 | 25,669 | ||||||
Autodesk, Inc. (1) | 622 | 110,847 | ||||||
Ceridian HCM Holding, Inc. (1) | 140 | 7,441 | ||||||
Domo, Inc. — Class B (1) | 436 | 16,703 | ||||||
Elastic NV (Netherlands)(1) | 248 | 21,217 | ||||||
Pagerduty, Inc.(1) | 90 | 4,221 | ||||||
Salesforce.com, Inc.(1) | 638 | 105,493 | ||||||
Smartsheet, Inc.(1) | 472 | 19,980 | ||||||
Splunk, Inc. (1) | 756 | 104,358 | ||||||
Trade Desk, Inc. (The) (1) | 342 | 75,746 | ||||||
Workday, Inc. (1) | 394 | 81,018 | ||||||
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690,021 | ||||||||
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Auto Parts & Equipment — 1.7% | ||||||||
Aptiv PLC | 554 | 47,478 | ||||||
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Automobile Manufacturers — 1.0% | ||||||||
Tesla Inc. (1) | 124 | 29,597 | ||||||
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Data Processing & Outsourced Services — 5.7% | ||||||||
Mastercard, Inc. | 223 | 56,696 | ||||||
Square, Inc.(1) | 633 | 46,095 | ||||||
Visa, Inc. | 354 | 58,208 | ||||||
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160,999 | ||||||||
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Health Care Equipment — 2.8% | ||||||||
IDEXX Laboratories, Inc. (1) | 186 | 43,152 | ||||||
Intuitive Surgical, Inc.(1) | 70 | 35,744 | ||||||
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78,896 | ||||||||
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Health Care Supplies — 1.4% | ||||||||
Align Technology, Inc.(1) | 125 | 40,585 | ||||||
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Home Entertainment Software — 2.0% | ||||||||
Activision Blizzard, Inc. | 640 | 30,854 | ||||||
Electronic Arts, Inc.(1) | 277 | 26,218 | ||||||
|
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57,072 | ||||||||
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Internet Retail — 7.0% | ||||||||
Amazon.com, Inc.(1) | 57 | 109,812 | ||||||
Netflix, Inc. (1) | 239 | 88,559 | ||||||
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198,371 | ||||||||
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Internet Services & Infrastructure — 11.3% | ||||||||
Alibaba Group Holding, Ltd. (SP ADR) (China) (1) | 339 | 62,908 | ||||||
Alphabet, Inc.(1) | 78 | 93,519 | ||||||
Facebook, Inc.(1) | 419 | 81,035 |
Issues | Shares | Value | ||||||
Internet Services & Infrastructure (Continued) | ||||||||
Tencent Holdings, Ltd. (SP ADR) (China) | 1,242 | $ | 61,156 | |||||
Twilio, Inc. (1) | 163 | 22,354 | ||||||
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320,972 | ||||||||
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IT Consulting & Other Services — 4.0% | ||||||||
Accenture PLC | 243 | 44,389 | ||||||
EPAM Systems, Inc. (1) | 385 | 69,053 | ||||||
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113,442 | ||||||||
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Life Sciences Tools & Services — 2.0% | ||||||||
Illumina, Inc. (1) | 182 | 56,784 | ||||||
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Semiconductor Equipment — 6.9% | ||||||||
Analog Devices, Inc. | 235 | 27,317 | ||||||
ASML Holding NV (Netherlands) | 367 | 76,637 | ||||||
Lam Research Corp. | 342 | 70,941 | ||||||
Xilinx, Inc. | 166 | 19,943 | ||||||
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194,838 | ||||||||
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Semiconductors — 10.7% | ||||||||
Broadcom, Inc. | 184 | 58,585 | ||||||
Intel Corp. | 990 | 50,529 | ||||||
Micron Technology, Inc. (1) | 1,579 | 66,413 | ||||||
NVIDIA Corp. | 330 | 59,730 | ||||||
QUALCOMM, Inc. | 797 | 68,646 | ||||||
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303,903 | ||||||||
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Specialized REITs — 3.9% | ||||||||
American Tower Corp. | 347 | 67,769 | ||||||
Equinix, Inc. | 96 | 43,651 | ||||||
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111,420 | ||||||||
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Systems Software — 8.3% | ||||||||
Microsoft Corp. | 856 | 111,794 | ||||||
ServiceNow, Inc. (1) | 459 | 124,623 | ||||||
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236,417 | ||||||||
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Technology Hardware, Storage & Peripherals — 1.0% | ||||||||
Western Digital Corp. | 581 | 29,701 | ||||||
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Trucking — 0.0% | ||||||||
Lyft, Inc. (1) | 19 | 1,136 | ||||||
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Total Common Stock |
| |||||||
(Cost: $2,225,141) |
| 2,671,632 | ||||||
|
|
See accompanying notes to financial statements.
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TCW Artificial Intelligence Equity Fund
April 30, 2019 |
Issues | Shares | Value | ||||||
Money Market Investments — 5.0% | ||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 2.37% (2) | 142,204 | $ | 142,204 | |||||
|
| |||||||
Total Money Market Investments | ||||||||
(Cost: $142,204) |
| 142,204 | ||||||
|
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Total Investments (99.0%) | ||||||||
(Cost: $2,367,345) |
| 2,813,836 | ||||||
Excess Of Other Assets Over Liabilities (1.0%) |
| 28,710 | ||||||
|
| |||||||
Net Assets (100.0%) |
| $ | 2,842,546 | |||||
|
|
Notes to the Schedule of Investments
(1) | Non-income producing security. |
(2) | Rate disclosed is the7-day net yield as of April 30, 2019. |
REIT - | Real Estate Investment Trust. |
SP ADR - | Sponsored American Depositary Receipt. ADRs are receipts, typically issued by a U.S. bank or trust company, evidencing ownership of underlying securities issued by a foreign corporation. Sponsored ADRs are ADRs issued with the cooperation of the foreign corporation. |
See accompanying notes to financial statements.
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TCW Artificial Intelligence Equity Fund
Investments by Sector (Unaudited)
Sector | Percentage of Net Assets | |||
Application Software | 24.3 | % | ||
Auto Parts & Equipment | 1.7 | |||
Automobile Manufacturers | 1.0 | |||
Data Processing & Outsourced Services | 5.7 | |||
Health Care Equipment | 2.8 | |||
Health Care Supplies | 1.4 | |||
Home Entertainment Software | 2.0 | |||
Internet Retail | 7.0 | |||
Internet Services & Infrastructure | 11.3 | |||
IT Consulting & Other Services | 4.0 | |||
Life Sciences Tools & Services | 2.0 | |||
Semiconductor Equipment | 6.9 | |||
Semiconductors | 10.7 | |||
Specialized REITs | 3.9 | |||
Systems Software | 8.3 | |||
Technology Hardware, Storage & Peripherals | 1.0 | |||
Trucking | 0.0 | * | ||
Money Market Investments | 5.0 | |||
|
| |||
Total | 99.0 | % | ||
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|
* | Amount rounds to less than 0.1%. |
See accompanying notes to financial statements.
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TCW Artificial Intelligence Equity Fund
Fair Valuation Summary (Unaudited) | April 30, 2019 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2019 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 | ||||||||||||||||
Application Software | $ | 690,021 | $ | — | $ | — | $ | 690,021 | ||||||||
Auto Parts & Equipment | 47,478 | — | — | 47,478 | ||||||||||||
Automobile Manufacturers | 29,597 | — | — | 29,597 | ||||||||||||
Data Processing & Outsourced Services | 160,999 | — | — | 160,999 | ||||||||||||
Health Care Equipment | 78,896 | — | — | 78,896 | ||||||||||||
Health Care Supplies | 40,585 | — | — | 40,585 | ||||||||||||
Home Entertainment Software | 57,072 | — | — | 57,072 | ||||||||||||
Internet Retail | 198,371 | — | — | 198,371 | ||||||||||||
Internet Services & Infrastructure | 320,972 | — | — | 320,972 | ||||||||||||
IT Consulting & Other Services | 113,442 | — | — | 113,442 | ||||||||||||
Life Sciences Tools & Services | 56,784 | — | — | 56,784 | ||||||||||||
Semiconductor Equipment | 194,838 | — | — | 194,838 | ||||||||||||
Semiconductors | 303,903 | — | — | 303,903 | ||||||||||||
Specialized REITs | 111,420 | — | — | 111,420 | ||||||||||||
Systems Software | 236,417 | — | — | 236,417 | ||||||||||||
Technology Hardware, Storage & Peripherals | 29,701 | — | — | 29,701 | ||||||||||||
Trucking | 1,136 | — | — | 1,136 | ||||||||||||
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Total Common Stock | 2,671,632 | — | — | 2,671,632 | ||||||||||||
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Money Market Investments | 142,204 | — | — | 142,204 | ||||||||||||
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Total Investments | $ | 2,813,836 | $ | — | $ | — | $ | 2,813,836 | ||||||||
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See accompanying notes to financial statements.
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TCW Conservative Allocation Fund
Schedule of Investments (Unaudited)
Issues | Shares | Value | ||||||
EXCHANGE-TRADED FUNDS — 2.5% of Net Assets |
| |||||||
iShares MSCI EAFE Index Fund | 11,160 | $ | 745,042 | |||||
|
| |||||||
Total Exchange-traded Funds |
| |||||||
(Cost: $725,446) | 745,042 | |||||||
|
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INVESTMENT COMPANIES — 94.1% |
| |||||||
Diversified Equity Funds — 36.2% | ||||||||
TCW Global Real Estate Fund — | 145,366 | 1,468,193 | ||||||
TCW New America Premier Equities Fund — I Class(1) | 165,622 | 3,153,450 | ||||||
TCW Relative Value Large Cap Fund — | 156,124 | 2,892,973 | ||||||
TCW Relative Value Mid Cap Fund — | 14,888 | 318,898 | ||||||
TCW Select Equities Fund — I Class(1) | 102,325 | 2,804,730 | ||||||
|
| |||||||
10,638,244 | ||||||||
|
| |||||||
Diversified Fixed Income Funds — 57.9% | ||||||||
Metropolitan West Low Duration Bond Fund — I Class(1) | 409,553 | 3,559,015 | ||||||
Metropolitan West Total Return Bond | 296,201 | 3,145,650 |
Issues | Shares | Value | ||||||
Diversified Fixed Income Funds (Continued) | ||||||||
Metropolitan West Unconstrained Bond Fund — I Class(1) | 466,436 | $ | 5,513,278 | |||||
TCW Global Bond Fund — I Class(1) | 74,549 | 731,330 | ||||||
TCW Total Return Bond Fund — I Class(1) | 415,081 | 4,051,191 | ||||||
|
| |||||||
17,000,464 | ||||||||
|
| |||||||
Total Investment Companies | ||||||||
(Cost: $25,461,713) | 27,638,708 | |||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 4.6% |
| |||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 2.37%(2) | 184,968 | 184,968 | ||||||
Fidelity Institutional Government Portfolio — Select Class, 2.26%(2) | 1,175,752 | 1,175,752 | ||||||
|
| |||||||
Total Money Market Investments |
| |||||||
(Cost: $1,360,720) | 1,360,720 | |||||||
|
| |||||||
Total Investments (101.2%) |
| |||||||
(Cost: $27,547,879) | 29,744,470 | |||||||
Liabilities In Excess Of Other Assets(-1.2%) |
| (352,700 | ) | |||||
|
| |||||||
Net Assets (100.0%) |
| $ | 29,391,770 | |||||
|
|
Notes to the Schedule of Investments
(1) | Affiliated issuer. |
(2) | Rate disclosed is the7-day net yield as of April 30, 2019. |
See accompanying notes to financial statements.
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TCW Conservative Allocation Fund
April 30, 2019
The summary of the TCW Conservative Allocation Fund transactions in the affiliated funds for the period ended April 30, 2019 is as follows:
Name of | Value at October 31, 2018 (In Thousands) | Purchases at Cost (In Thousands) | Proceeds from Sales (In Thousands) | Number of Shares Held April 30, 2019 | Value at April 30, 2019 (In Thousands) | Dividends and Interest Income Received (In Thousands) | Distributions Received from Net Realized Gain (In thousands) | Net Realized Gain/(Loss) on Investments (In thousands) | Net change in Unrealized Gain/(Loss) on Investments (In thousands) | |||||||||||||||||||||||||||
Metropolitan West Low Duration Bond Fund—I Class |
| |||||||||||||||||||||||||||||||||||
$ | 3,515 | $ | 48 | $ | 56 | 409,553 | $ | 3,559 | $ | 48 | $ | — | $ | (1 | ) | $ | 54 | |||||||||||||||||||
Metropolitan West Total Return Bond Fund—I Class |
| |||||||||||||||||||||||||||||||||||
$ | 3,594 | $ | 56 | $ | 648 | 296,201 | 3,146 | 56 | — | (15 | ) | 159 | ||||||||||||||||||||||||
Metropolitan West Unconstrained Bond Fund—I Class |
| |||||||||||||||||||||||||||||||||||
$ | 5,432 | $ | 108 | $ | 87 | 466,436 | 5,513 | 108 | — | (1 | ) | 62 | ||||||||||||||||||||||||
TCW Global Bond Fund—I Class |
| |||||||||||||||||||||||||||||||||||
$ | 708 | $ | 6 | $ | 11 | 74,549 | 731 | 6 | — | (1 | ) | 28 | ||||||||||||||||||||||||
TCW Global Real Estate Fund—I Class |
| |||||||||||||||||||||||||||||||||||
$ | — | $ | 1,444 | $ | — | 145,366 | 1,468 | 7 | — | — | 25 | |||||||||||||||||||||||||
TCW New America Premier Equities Fund—I Class |
| |||||||||||||||||||||||||||||||||||
$ | 2,832 | $ | 37 | $ | 187 | 165,622 | 3,154 | 2 | 35 | 32 | 440 | |||||||||||||||||||||||||
TCW Relative Value Large Cap Fund—I Class |
| |||||||||||||||||||||||||||||||||||
$ | 3,299 | $ | 377 | $ | 624 | 156,124 | 2,893 | 51 | 326 | (168 | ) | 9 | ||||||||||||||||||||||||
TCW Relative Value Mid Cap Fund—I Class |
| |||||||||||||||||||||||||||||||||||
$ | 731 | $ | 57 | $ | 441 | 14,888 | 319 | 5 | 52 | (111 | ) | 83 | ||||||||||||||||||||||||
TCW Select Equities Fund—I Class |
| |||||||||||||||||||||||||||||||||||
$ | 2,687 | $ | 355 | $ | 328 | 102,325 | 2,805 | — | 355 | (65 | ) | 155 | ||||||||||||||||||||||||
TCW Total Return Bond Fund—I Class |
| |||||||||||||||||||||||||||||||||||
$ | 3,336 | $ | 667 | $ | 55 | 415,081 | 4,051 | 67 | — | (1 | ) | 104 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total | $ | 27,639 | $ | 350 | $ | 768 | $ | (331 | ) | $ | 1,119 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
9
Table of Contents
TCW Conservative Allocation Fund
Investments by Sector (Unaudited) | April 30, 2019 |
Sector | Percentage of Net Assets | |||
Diversified Fixed Income Funds | 57.9 | % | ||
Diversified Equity Funds | 36.2 | |||
Money Market Investments | 4.6 | |||
Exchange-Traded Funds | 2.5 | |||
|
| |||
Total | 101.2 | % | ||
|
|
See accompanying notes to financial statements.
10
Table of Contents
TCW Conservative Allocation Fund
Fair Valuation Summary (Unaudited) | April 30, 2019 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2019 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 | $ | 745,042 | $ | — | $ | — | $ | 745,042 | ||||||||
Investment Companies | 27,638,708 | — | — | 27,638,708 | ||||||||||||
Money Market Investments | 1,360,720 | — | — | 1,360,720 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 29,744,470 | $ | — | $ | — | $ | 29,744,470 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
11
Table of Contents
Schedule of Investments (Unaudited)
Issues | Shares | Value | ||||||
COMMON STOCK — 93.3% of Net Assets |
| |||||||
Australia — 6.9% | ||||||||
Goodman Group | 31,815 | $ | 295,595 | |||||
Mirvac Group | 60,000 | 119,926 | ||||||
|
| |||||||
Total Australia | ||||||||
(Cost: $364,993) | 415,521 | |||||||
|
| |||||||
Canada — 2.0%(Cost: $121,140) | ||||||||
Summit Industrial Income REIT | 14,000 | 123,432 | ||||||
|
| |||||||
China — 4.7%(Cost: $216,523) | ||||||||
Link REIT (The) | 24,332 | 284,272 | ||||||
|
| |||||||
France — 1.7%(Cost: $104,014) | ||||||||
Klepierre | 2,827 | 100,374 | ||||||
|
| |||||||
Germany — 4.0%(Cost: $200,281) | ||||||||
Deutsche Wohnen SE | 5,356 | 241,070 | ||||||
|
| |||||||
Japan — 9.7% | ||||||||
Ichigo Office REIT Investment | 307 | 282,812 | ||||||
Mitsui Fudosan Co., Ltd. | 7,300 | 169,113 | ||||||
Nippon Prologis REIT, Inc. | 63 | 135,315 | ||||||
|
| |||||||
Total Japan | ||||||||
(Cost: $539,578) |
| 587,240 | ||||||
|
| |||||||
United Kingdom — 2.8%(Cost: $140,024) | ||||||||
Segro PLC | 18,743 | 166,029 | ||||||
|
| |||||||
United States — 61.5% | ||||||||
Alexandria Real Estate Equities, Inc. | 1,284 | 182,829 | ||||||
American Homes 4 Rent | 6,616 | 158,652 | ||||||
American Tower Corp. | 1,250 | 244,125 | ||||||
Braemar Hotels & Resorts, Inc. | 10,023 | 139,320 | ||||||
DR Horton, Inc. | 4,432 | 196,382 |
Issues | Shares | Value | ||||||
United States (Continued) | ||||||||
Equinix, Inc. | 1,099 | $ | 499,715 | |||||
Hilton Grand Vacations, Inc. (1) | 5,738 | 183,845 | ||||||
Hudson Pacific Properties, Inc. | 6,934 | 241,719 | ||||||
Industrial Logistics Properties Trust | 6,919 | 137,342 | ||||||
Invitation Homes, Inc. | 3,724 | 92,579 | ||||||
JBG SMITH Properties | 3,884 | 165,264 | ||||||
Kennedy-Wilson Holdings, Inc. | 5,751 | 123,877 | ||||||
LGI Homes, Inc.(1) | 1,803 | 124,966 | ||||||
Mid-America Apartment Communities, Inc. | 1,119 | 122,430 | ||||||
NexPoint Residential Trust, Inc. | 3,964 | 148,610 | ||||||
Prologis, Inc. | 1,815 | 139,156 | ||||||
SBA Communications Corp.(1) | 800 | 162,984 | ||||||
Simon Property Group, Inc. | 1,212 | 210,524 | ||||||
Sun Communities, Inc. | 1,735 | 213,544 | ||||||
Terreno Realty Corp. | 2,163 | 96,578 | ||||||
Welltower, Inc. | 1,546 | 115,224 | ||||||
|
| |||||||
Total United States | ||||||||
(Cost: $3,365,589) | 3,699,665 | |||||||
|
| |||||||
Total Common Stock |
| |||||||
(Cost: $5,052,142) | 5,617,603 | |||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 5.6% |
| |||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 2.37% (2) | 336,227 | 336,227 | ||||||
|
| |||||||
Total Money Market Investments | ||||||||
(Cost: $336,227) | 336,227 | |||||||
|
| |||||||
Total Investments (98.9%) |
| |||||||
(Cost: $5,388,369) |
| 5,953,830 | ||||||
|
| |||||||
Excess Of Other Assets Over Liabilities (1.1%) |
| 64,627 | ||||||
Net Assets (100.0%) |
| $ | 6,018,457 | |||||
|
|
Notes to the Schedule of Investments
(1) | Non-income producing security. |
(2) | Rate disclosed is the7-day net yield as of April 30, 2019. |
OTC - | Over the Counter. |
REIT - | Real Estate Investment Trust. |
See accompanying notes to financial statements.
12
Table of Contents
TCW Global Real Estate Fund
Investments by Sector (Unaudited) | April 30, 2019 |
Sector | Percentage of Net Assets | |||
Diversified REITs | 4.3 | % | ||
Diversified Real Estate Activities | 2.8 | |||
Health Care REITs | 1.9 | |||
Homebuilding | 5.4 | |||
Hotel & Resort REITs | 2.3 | |||
Hotels, Resorts & Cruise Lines | 3.1 | |||
Industrial REITs | 15.8 | |||
Office REITs | 14.4 | |||
Real Estate Operating Companies | 6.1 | |||
Residential REITs | 12.2 | |||
Retail REITs | 9.9 | |||
Specialized REITs | 15.1 | |||
Money Market Investments | 5.6 | |||
|
| |||
Total | 98.9 | % | ||
|
|
The following is a summary of the fair valuations according to the inputs used as of April 30, 2019 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stock | ||||||||||||||||
Diversified REITs | $ | 137,342 | $ | 119,926 | $ | — | $ | 257,268 | ||||||||
Diversified Real Estate Activities | — | 169,113 | — | 169,113 | ||||||||||||
Health Care REITs | 115,224 | — | — | 115,224 | ||||||||||||
Homebuilding | 321,348 | — | — | 321,348 | ||||||||||||
Hotel & Resort REITs | 139,320 | — | — | 139,320 | ||||||||||||
Hotels, Resorts & Cruise Lines | 183,845 | — | — | 183,845 | ||||||||||||
Industrial REITs | 359,166 | 596,939 | — | 956,105 | ||||||||||||
Office REITs | 872,624 | — | — | 872,624 | ||||||||||||
Real Estate Operating Companies | 123,877 | 241,070 | — | 364,947 | ||||||||||||
Residential REITs | 735,815 | — | — | 735,815 | ||||||||||||
Retail REITs | 210,524 | 384,646 | — | 595,170 | ||||||||||||
Specialized REITs | 906,824 | — | — | 906,824 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 4,105,909 | 1,511,694 | — | 5,617,603 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 336,227 | — | — | 336,227 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 4,442,136 | $ | 1,511,694 | $ | — | $ | 5,953,830 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
13
Table of Contents
TCW New America Premier Equities Fund
Schedule of Investments (Unaudited)
Issues | Shares | Value | ||||||
COMMON STOCK — 88.6% of Net Assets |
| |||||||
Aerospace & Defense — 5.8% | ||||||||
HEICO Corp. | 18,855 | $ | 1,989,769 | |||||
TransDigm Group, Inc.(1) | 5,738 | 2,768,700 | ||||||
|
| |||||||
4,758,469 | ||||||||
|
| |||||||
Application Software — 17.8% | ||||||||
Constellation Software, Inc. | 10,696 | 9,398,915 | ||||||
Fair Isaac Corp.(1) | 2,745 | 767,914 | ||||||
Trade Desk, Inc. (The)(1) | 12,379 | 2,741,701 | ||||||
Ultimate Software Group, Inc. (The)(1) | 4,719 | 1,560,337 | ||||||
|
| |||||||
14,468,867 | ||||||||
|
| |||||||
Communications Equipment — 2.8% | ||||||||
Motorola Solutions, Inc. | 15,886 | 2,302,039 | ||||||
|
| |||||||
Data Processing & Outsourced Services — 8.2% | ||||||||
EVO Payments, Inc.(1) | 8,625 | 256,249 | ||||||
Fiserv, Inc.(1) | 19,819 | 1,729,010 | ||||||
Mastercard, Inc. | 5,739 | 1,459,083 | ||||||
Visa, Inc. | 19,835 | 3,261,469 | ||||||
|
| |||||||
6,705,811 | ||||||||
|
| |||||||
Environmental & Facilities Services — 3.6% | ||||||||
Waste Connections, Inc. (Canada) | 31,431 | 2,915,854 | ||||||
|
| |||||||
Financial Exchanges & Data — 1.2% | ||||||||
S&P Global, Inc. | 4,284 | 945,308 | ||||||
|
| |||||||
Health Care Equipment — 6.3% | ||||||||
Baxter International, Inc. | 40,689 | 3,104,571 | ||||||
Danaher Corp. | 15,053 | 1,993,619 | ||||||
|
| |||||||
5,098,190 | ||||||||
|
| |||||||
Household Products — 1.0% | ||||||||
Church & Dwight Co., Inc. | 10,624 | 796,269 | ||||||
|
| |||||||
Industrial Conglomerates — 5.3% | ||||||||
Honeywell International, Inc. | 6,811 | 1,182,594 | ||||||
Roper Technologies, Inc. | 8,704 | 3,130,829 | ||||||
|
| |||||||
4,313,423 | ||||||||
|
| |||||||
Industrial Gases — 3.9% | ||||||||
Air Products & Chemicals, Inc. | 7,830 | 1,611,335 | ||||||
Linde PLC (Canada) | 8,772 | 1,581,241 | ||||||
|
| |||||||
3,192,576 | ||||||||
|
| |||||||
Industrial Machinery — 3.4% | ||||||||
IDEX Corp. | 17,408 | 2,727,137 | ||||||
|
| |||||||
Life Sciences Tools & Services — 4.5% | ||||||||
Agilent Technologies, Inc. | 25,636 | 2,012,426 | ||||||
Thermo Fisher Scientific, Inc. | 5,952 | 1,651,382 | ||||||
|
| |||||||
3,663,808 | ||||||||
|
| |||||||
Multi-Sector Holdings — 2.7% | ||||||||
Berkshire Hathaway, Inc. — Class B(1) | 8,386 | 1,817,330 |
Issues | Shares | Value | ||||||
Multi-Sector Holdings (Continued) | ||||||||
GS Acquisition Holdings Corp.(1) | 32,400 | $ | 340,848 | |||||
|
| |||||||
2,158,178 | ||||||||
|
| |||||||
Research & Consulting Services — 5.1% | ||||||||
IHS Markit, Ltd.(1) | 24,993 | 1,431,099 | ||||||
TransUnion | 38,754 | 2,699,216 | ||||||
|
| |||||||
4,130,315 | ||||||||
|
| |||||||
Semiconductor Equipment — 2.0% | ||||||||
Versum Materials, Inc. | 31,816 | 1,660,159 | ||||||
|
| |||||||
Semiconductors — 5.9% | ||||||||
Broadcom, Inc. | 9,139 | 2,909,857 | ||||||
Mellanox Technologies, Ltd. (Israel)(1) | 15,826 | 1,903,868 | ||||||
|
| |||||||
4,813,725 | ||||||||
|
| |||||||
Specialty Stores — 0.2% | ||||||||
National Vision Holdings, Inc.(1) | 4,924 | 132,948 | ||||||
|
| |||||||
Systems Software — 8.9% | ||||||||
Microsoft Corp. | 41,502 | 5,420,161 | ||||||
Red Hat, Inc.(1) | 9,965 | 1,818,912 | ||||||
|
| |||||||
7,239,073 | ||||||||
|
| |||||||
Total Common Stock | ||||||||
(Cost: $58,000,209) |
| 72,022,149 | ||||||
|
| |||||||
CONVERTIBLE PREFERRED STOCK — 1.2% |
| |||||||
Health Care Equipment — 1.2% | ||||||||
Danaher Corp. | 910 | 958,685 | ||||||
|
| |||||||
Total Convertible Preferred Stock | ||||||||
(Cost: $917,920) |
| 958,685 | ||||||
|
| |||||||
EXCHANGE-TRADED FUNDS — 4.7% |
| |||||||
SPDR S&P 500 ETF Trust | 13,069 | 3,842,548 | ||||||
|
| |||||||
Total Exchange-traded Funds | ||||||||
(Cost: $3,602,303) |
| 3,842,548 | ||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 4.4% |
| |||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 2.37%(2) | 3,527,557 | 3,527,557 | ||||||
|
| |||||||
Total Money Market Investments | ||||||||
(Cost: $3,527,557) |
| 3,527,557 | ||||||
|
| |||||||
Total Investments (98.9%) | ||||||||
(Cost: $66,047,989) |
| 80,350,939 | ||||||
|
| |||||||
Excess Of Other Assets Over Liabilities (1.1%) |
| 918,469 | ||||||
|
| |||||||
Net Assets (100.0%) |
| $ | 81,269,408 | |||||
|
|
Notes to the Schedule of Investments
ETF | Exchange Traded Fund. |
(1) | Non-income producing security. |
(2) | Rate disclosed is the7-day net yield as of April 30, 2019. |
See accompanying notes to financial statements.
14
Table of Contents
TCW New America Premier Equities Fund
Investments by Sector (Unaudited) | April 30, 2019 |
Sector | Percentage of Net Assets | |||
Aerospace & Defense | 5.8 | % | ||
Application Software | 17.8 | |||
Communications Equipment | 2.8 | |||
Data Processing & Outsourced Services | 8.2 | |||
Diversified Financial Services | 4.7 | |||
Environmental & Facilities Services | 3.6 | |||
Financial Exchanges & Data | 1.2 | |||
Health Care Equipment | 7.5 | |||
Household Products | 1.0 | |||
Industrial Conglomerates | 5.3 | |||
Industrial Gases | 3.9 | |||
Industrial Machinery | 3.4 | |||
Life Sciences Tools & Services | 4.5 | |||
Multi-Sector Holdings | 2.7 | |||
Research & Consulting Services | 5.1 | |||
Semiconductor Equipment | 2.0 | |||
Semiconductors | 5.9 | |||
Specialty Stores | 0.2 | |||
Systems Software | 8.9 | |||
Money Market Investments | 4.4 | |||
|
| |||
Total | 98.9 | % | ||
|
|
See accompanying notes to financial statements.
15
Table of Contents
TCW New America Premier Equities Fund
Fair Valuation Summary (Unaudited) | April 30, 2019 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2019 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stock | ||||||||||||||||
Aerospace & Defense | $ | 4,758,469 | $ | — | $ | — | $ | 4,758,469 | ||||||||
Application Software | 14,468,867 | — | — | 14,468,867 | ||||||||||||
Communications Equipment | 2,302,039 | — | — | 2,302,039 | ||||||||||||
Data Processing & Outsourced Services | 6,705,811 | — | — | 6,705,811 | ||||||||||||
Environmental & Facilities Services | 2,915,854 | — | — | 2,915,854 | ||||||||||||
Financial Exchanges & Data | 945,308 | — | — | 945,308 | ||||||||||||
Health Care Equipment | 5,098,190 | — | — | 5,098,190 | ||||||||||||
Household Products | 796,269 | — | — | 796,269 | ||||||||||||
Industrial Conglomerates | 4,313,423 | — | — | 4,313,423 | ||||||||||||
Industrial Gases | 3,192,576 | — | — | 3,192,576 | ||||||||||||
Industrial Machinery | 2,727,137 | — | — | 2,727,137 | ||||||||||||
Life Sciences Tools & Services | 3,663,808 | — | — | 3,663,808 | ||||||||||||
Multi-Sector Holdings | 2,158,178 | — | — | 2,158,178 | ||||||||||||
Research & Consulting Services | 4,130,315 | — | — | 4,130,315 | ||||||||||||
Semiconductor Equipment | 1,660,159 | — | — | 1,660,159 | ||||||||||||
Semiconductors | 4,813,725 | — | — | 4,813,725 | ||||||||||||
Specialty Stores | 132,948 | — | — | 132,948 | ||||||||||||
Systems Software | 7,239,073 | — | — | 7,239,073 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 72,022,149 | — | — | 72,022,149 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Convertible Preferred Stock | ||||||||||||||||
Health Care Equipment | 958,685 | — | — | 958,685 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Exchange-Traded Funds | 3,842,548 | — | — | 3,842,548 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 3,527,557 | — | — | 3,527,557 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 80,350,939 | $ | — | $ | — | $ | 80,350,939 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
16
Table of Contents
TCW Relative Value Dividend Appreciation Fund
Schedule of Investments (Unaudited) | April 30, 2019 |
Issues | Shares | Value | ||||||
COMMON STOCK — 98.7% of Net Assets |
| |||||||
Aerospace & Defense — 2.5% |
| |||||||
Textron, Inc. | 159,506 | $ | 8,453,818 | |||||
|
| |||||||
Air Freight & Logistics — 2.1% |
| |||||||
United Parcel Service, Inc. — Class B | 66,900 | 7,106,118 | ||||||
|
| |||||||
Auto Components — 2.9% |
| |||||||
Johnson Controls International PLC (Ireland) | 263,189 | 9,869,587 | ||||||
|
| |||||||
Banks — 11.3% |
| |||||||
Citigroup, Inc. | 179,304 | 12,676,793 | ||||||
JPMorgan Chase & Co. | 130,786 | 15,177,715 | ||||||
PacWest Bancorp | 74,800 | 2,958,340 | ||||||
Zions Bancorp | 153,970 | 7,595,340 | ||||||
|
| |||||||
38,408,188 | ||||||||
|
| |||||||
Beverages — 2.8% |
| |||||||
PepsiCo, Inc. | 74,373 | 9,523,463 | ||||||
|
| |||||||
Biotechnology — 3.4% |
| |||||||
Gilead Sciences, Inc. | 180,365 | 11,730,940 | ||||||
|
| |||||||
Capital Markets — 6.1% |
| |||||||
Intercontinental Exchange, Inc. | 156,070 | 12,696,294 | ||||||
State Street Corp. | 117,619 | 7,958,102 | ||||||
|
| |||||||
20,654,396 | ||||||||
|
| |||||||
Chemicals — 2.0% |
| |||||||
DowDuPont, Inc. | 174,211 | 6,698,413 | ||||||
|
| |||||||
Communications Equipment — 4.0% |
| |||||||
Cisco Systems, Inc. | 240,287 | 13,444,058 | ||||||
|
| |||||||
Diversified Telecommunication Services — 2.8% |
| |||||||
AT&T, Inc. | 306,132 | 9,477,847 | ||||||
|
| |||||||
Electrical Equipment — 1.8% |
| |||||||
nVent Electric PLC | 225,282 | 6,296,632 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.6% |
| |||||||
Corning, Inc. | 277,084 | 8,825,125 | ||||||
|
| |||||||
Energy Equipment & Services — 4.1% |
| |||||||
Baker Hughes, a GE Co. | 305,685 | 7,342,554 | ||||||
Schlumberger, Ltd. | 153,356 | 6,545,234 | ||||||
|
| |||||||
13,887,788 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.1% |
| |||||||
Alcon, Inc. (Switzerland)(1) | 13,260 | 771,732 | ||||||
Medtronic PLC (Ireland) | 71,428 | 6,343,521 | ||||||
|
| |||||||
7,115,253 | ||||||||
|
| |||||||
Household Durables — 2.4% | ||||||||
Lennar Corp. | 154,982 | 8,063,713 |
Issues | Shares | Value | ||||||
Household Durables (Continued) | ||||||||
Lennar Corp. — Class B | 3,511 | $ | 146,479 | |||||
|
| |||||||
8,210,192 | ||||||||
|
| |||||||
Household Products — 2.3% |
| |||||||
Procter & Gamble Co. (The) | 73,142 | 7,788,160 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 3.3% |
| |||||||
AES Corp. (The) | 651,965 | 11,161,641 | ||||||
|
| |||||||
Industrial Conglomerates — 4.1% |
| |||||||
General Electric Co. | 568,655 | 5,783,221 | ||||||
Koninklijke Philips Electronics NV (NYRS) (Netherlands) | 193,467 | 8,319,081 | ||||||
|
| |||||||
14,102,302 | ||||||||
|
| |||||||
Insurance — 4.0% |
| |||||||
American International Group, Inc. | 56,600 | 2,692,462 | ||||||
MetLife, Inc. | 238,778 | 11,014,829 | ||||||
|
| |||||||
13,707,291 | ||||||||
|
| |||||||
IT Services — 1.7% |
| |||||||
International Business Machines Corp. | 40,786 | 5,721,052 | ||||||
|
| |||||||
Media — 2.8% |
| |||||||
Comcast Corp. | 220,194 | 9,585,045 | ||||||
|
| |||||||
Metals & Mining — 1.5% |
| |||||||
Freeport-McMoRan, Inc. | 401,700 | 4,944,927 | ||||||
|
| |||||||
Multi-Utilities — 0.7% |
| |||||||
Sempra Energy | 17,608 | 2,252,944 | ||||||
|
| |||||||
Multiline Retail — 1.3% |
| |||||||
Target Corp. | 58,100 | 4,498,102 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 8.1% |
| |||||||
Chevron Corp. | 128,225 | 15,394,693 | ||||||
Marathon Petroleum Corp. | 33,200 | 2,020,884 | ||||||
Royal Dutch Shell PLC (SP ADR) (United Kingdom) | 160,820 | 10,216,895 | ||||||
|
| |||||||
27,632,472 | ||||||||
|
| |||||||
Pharmaceuticals — 4.9% |
| |||||||
Merck & Co., Inc. | 117,798 | 9,271,881 | ||||||
Novartis AG (SP ADR) (Switzerland) | 89,300 | 7,343,139 | ||||||
|
| |||||||
16,615,020 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.6% |
| |||||||
Jones Lang LaSalle, Inc. | 13,541 | 2,093,032 | ||||||
|
| |||||||
REIT — 0.5% |
| |||||||
Cousins Properties, Inc. | 179,600 | 1,718,772 | ||||||
|
|
See accompanying notes to financial statements.
17
Table of Contents
TCW Relative Value Dividend Appreciation Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Shares | Value | ||||||
Semiconductors & Semiconductor Equipment — 6.9% |
| |||||||
Cypress Semiconductor Corp. | 759,814 | $ | 13,053,604 | |||||
Maxim Integrated Products, Inc. | 176,148 | 10,568,880 | ||||||
|
| |||||||
23,622,484 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 1.0% | ||||||||
Seagate Technology PLC (Netherlands) | 71,038 | 3,432,556 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 2.1% |
| |||||||
Tapestry, Inc. | 218,821 | 7,061,353 | ||||||
|
| |||||||
Total Common Stock | ||||||||
(Cost: $262,136,464) | 335,638,971 | |||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 1.1% | ||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 2.37% (2) | 3,824,681 | 3,824,681 | ||||||
|
| |||||||
Total Money Market Investments | ||||||||
(Cost: $3,824,680) | 3,824,681 | |||||||
|
| |||||||
Total Investments (99.8%) | ||||||||
(Cost: $265,961,144) | 339,463,652 | |||||||
Excess Of Other Assets Over Liabilities (0.2%) | 843,069 | |||||||
|
| |||||||
Net Assets (100.0%) | $ | 340,306,721 | ||||||
|
|
Notes to the Schedule of Investments
NYRS | New York Registry Shares. |
SP ADR | Sponsored American Depositary Receipt. ADRs are receipts, typically issued by a U.S. bank or trust company, evidencing ownership of underlying securities issued by a foreign corporation. Sponsored ADRs are ADRs issued with the cooperation of the foreign corporation. |
(1) | Non-income producing security. |
(2) | Rate disclosed is the7-day net yield as of April 30, 2019. |
See accompanying notes to financial statements.
18
Table of Contents
TCW Relative Value Dividend Appreciation Fund
Investments by Sector (Unaudited) | April 30, 2019 |
Sector | Percentage of Net Assets | |||
Aerospace & Defense | 2.5 | % | ||
Air Freight & Logistics | 2.1 | |||
Auto Components | 2.9 | |||
Banks | 11.3 | |||
Beverages | 2.8 | |||
Biotechnology | 3.4 | |||
Capital Markets | 6.1 | |||
Chemicals | 2.0 | |||
Communications Equipment | 4.0 | |||
Diversified Telecommunication Services | 2.8 | |||
Electrical Equipment | 1.8 | |||
Electronic Equipment, Instruments & Components | 2.6 | |||
Energy Equipment & Services | 4.1 | |||
Health Care Equipment & Supplies | 2.1 | |||
Household Durables | 2.4 | |||
Household Products | 2.3 | |||
Independent Power and Renewable Electricity Producers | 3.3 | |||
Industrial Conglomerates | 4.1 | |||
Insurance | 4.0 | |||
IT Services | 1.7 | |||
Media | 2.8 | |||
Metals & Mining | 1.5 | |||
Multi-Utilities | 0.7 | |||
Multiline Retail | 1.3 | |||
Oil, Gas & Consumable Fuels | 8.1 | |||
Pharmaceuticals | 4.9 | |||
Real Estate Management & Development | 0.6 | |||
REIT | 0.5 | |||
Semiconductors & Semiconductor Equipment | 6.9 | |||
Technology Hardware, Storage & Peripherals | 1.0 | |||
Textiles, Apparel & Luxury Goods | 2.1 | |||
Money Market Investments | 1.1 | |||
|
| |||
Total | 99.8 | % | ||
|
|
See accompanying notes to financial statements.
19
Table of Contents
TCW Relative Value Dividend Appreciation Fund
Fair Valuation Summary (Unaudited) | April 30, 2019 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2019 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 | $ | 8,453,818 | $ | — | $ | — | $ | 8,453,818 | ||||||||
Air Freight & Logistics | 7,106,118 | — | — | 7,106,118 | ||||||||||||
Auto Components | 9,869,587 | — | — | 9,869,587 | ||||||||||||
Banks | 38,408,188 | — | — | 38,408,188 | ||||||||||||
Beverages | 9,523,463 | — | — | 9,523,463 | ||||||||||||
Biotechnology | 11,730,940 | — | — | 11,730,940 | ||||||||||||
Capital Markets | 20,654,396 | — | — | 20,654,396 | ||||||||||||
Chemicals | 6,698,413 | — | — | 6,698,413 | ||||||||||||
Communications Equipment | 13,444,058 | — | — | 13,444,058 | ||||||||||||
Diversified Telecommunication Services | 9,477,847 | — | — | 9,477,847 | ||||||||||||
Electrical Equipment | 6,296,632 | — | — | 6,296,632 | ||||||||||||
Electronic Equipment, Instruments & Components | 8,825,125 | — | — | 8,825,125 | ||||||||||||
Energy Equipment & Services | 13,887,788 | — | — | 13,887,788 | ||||||||||||
Health Care Equipment & Supplies | 7,115,253 | — | — | 7,115,253 | ||||||||||||
Household Durables | 8,210,192 | — | — | 8,210,192 | ||||||||||||
Household Products | 7,788,160 | — | — | 7,788,160 | ||||||||||||
Independent Power and Renewable Electricity Producers | 11,161,641 | — | — | 11,161,641 | ||||||||||||
Industrial Conglomerates | 14,102,302 | — | — | 14,102,302 | ||||||||||||
Insurance | 13,707,291 | — | — | 13,707,291 | ||||||||||||
IT Services | 5,721,052 | — | — | 5,721,052 | ||||||||||||
Media | 9,585,045 | — | — | 9,585,045 | ||||||||||||
Metals & Mining | 4,944,927 | — | — | 4,944,927 | ||||||||||||
Multi-Utilities | 2,252,944 | — | — | 2,252,944 | ||||||||||||
Multiline Retail | 4,498,102 | — | — | 4,498,102 | ||||||||||||
Oil, Gas & Consumable Fuels | 27,632,472 | — | — | 27,632,472 | ||||||||||||
Pharmaceuticals | 16,615,020 | — | — | 16,615,020 | ||||||||||||
Real Estate Management & Development | 2,093,032 | — | — | 2,093,032 | ||||||||||||
REIT | 1,718,772 | — | — | 1,718,772 | ||||||||||||
Semiconductors & Semiconductor Equipment | 23,622,484 | — | — | 23,622,484 | ||||||||||||
Technology Hardware, Storage & Peripherals | 3,432,556 | — | — | 3,432,556 | ||||||||||||
Textiles, Apparel & Luxury Goods | 7,061,353 | — | — | 7,061,353 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 335,638,971 | — | — | 335,638,971 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 3,824,681 | — | — | 3,824,681 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 339,463,652 | $ | — | $ | — | $ | 339,463,652 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
20
Table of Contents
TCW Relative Value Large Cap Fund
Schedule of Investments (Unaudited) | April 30, 2019 |
Issues | Shares | Value | ||||||
COMMON STOCK — 99.8% of Net Assets |
| |||||||
Aerospace & Defense — 3.7% | ||||||||
Textron, Inc. | 147,510 | $ | 7,818,030 | |||||
|
| |||||||
Air Freight & Logistics — 2.0% | ||||||||
United Parcel Service, Inc. — Class B | 41,040 | 4,359,269 | ||||||
|
| |||||||
Auto Components — 4.2% | ||||||||
Dana, Inc. | 189,002 | 3,685,539 | ||||||
Johnson Controls International PLC (Ireland) | 140,868 | 5,282,550 | ||||||
|
| |||||||
8,968,089 | ||||||||
|
| |||||||
Banks — 10.9% | ||||||||
Citigroup, Inc. | 117,100 | 8,278,970 | ||||||
JPMorgan Chase & Co. | 82,358 | 9,557,646 | ||||||
Zions Bancorp | 105,600 | 5,209,248 | ||||||
|
| |||||||
23,045,864 | ||||||||
|
| |||||||
Beverages — 2.4% | ||||||||
PepsiCo, Inc. | 39,800 | 5,096,390 | ||||||
|
| |||||||
Biotechnology — 2.5% | ||||||||
Gilead Sciences, Inc. | 81,029 | 5,270,126 | ||||||
|
| |||||||
Capital Markets — 4.9% | ||||||||
Intercontinental Exchange, Inc. | 89,905 | 7,313,772 | ||||||
State Street Corp. | 47,200 | 3,193,552 | ||||||
|
| |||||||
10,507,324 | ||||||||
|
| |||||||
Chemicals — 1.5% | ||||||||
DowDuPont, Inc. | 83,086 | 3,194,657 | ||||||
|
| |||||||
Communications Equipment — 4.4% | ||||||||
Cisco Systems, Inc. | 165,862 | 9,279,979 | ||||||
|
| |||||||
Construction & Engineering — 1.3% | ||||||||
Fluor Corp. | 70,651 | 2,806,964 | ||||||
|
| |||||||
Diversified Telecommunication Services — 2.5% | ||||||||
AT&T, Inc. | 168,497 | 5,216,667 | ||||||
|
| |||||||
Electrical Equipment — 1.5% | ||||||||
nVent Electric PLC | 111,667 | 3,121,093 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 3.2% | ||||||||
Corning, Inc. | 215,826 | 6,874,058 | ||||||
|
| |||||||
Energy Equipment & Services — 3.7% | ||||||||
Baker Hughes, a GE Co. | 207,010 | 4,972,380 | ||||||
TechnipFMC PLC (United Kingdom) | 116,900 | 2,874,571 | ||||||
|
| |||||||
7,846,951 | ||||||||
|
| |||||||
Food Products — 1.0% | ||||||||
Conagra Brands, Inc. | 67,720 | 2,084,422 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 1.8% | ||||||||
Medtronic PLC (Ireland) | 42,154 | 3,743,697 | ||||||
|
|
Issues | Shares | Value | ||||||
Health Care Providers & Services — 3.6% | ||||||||
Centene Corp.(1) | 54,678 | $ | 2,819,198 | |||||
Molina Healthcare, Inc.(1) | 37,002 | 4,796,569 | ||||||
|
| |||||||
7,615,767 | ||||||||
|
| |||||||
Household Durables — 2.8% | ||||||||
Lennar Corp. | 108,263 | 5,632,924 | ||||||
Lennar Corp. — Class B | 5,357 | 223,494 | ||||||
|
| |||||||
5,856,418 | ||||||||
|
| |||||||
Household Products — 2.2% | ||||||||
Procter & Gamble Co. (The) | 43,892 | 4,673,620 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 2.6% | ||||||||
AES Corp. (The) | 324,900 | 5,562,288 | ||||||
|
| |||||||
Industrial Conglomerates — 1.6% | ||||||||
General Electric Co. | 338,636 | 3,443,928 | ||||||
|
| |||||||
Insurance — 4.8% | ||||||||
American International Group, Inc. | 59,000 | 2,806,630 | ||||||
Hartford Financial Services Group, Inc. | 65,084 | 3,404,544 | ||||||
MetLife, Inc. | 88,400 | 4,077,892 | ||||||
|
| |||||||
10,289,066 | ||||||||
|
| |||||||
IT Services — 1.7% | ||||||||
International Business Machines Corp. | 25,716 | 3,607,183 | ||||||
|
| |||||||
Machinery — 1.6% | ||||||||
Terex Corp. | 103,730 | 3,457,321 | ||||||
|
| |||||||
Media — 5.5% | ||||||||
Comcast Corp. | 191,610 | 8,340,783 | ||||||
Discovery, Inc.(1) | 108,300 | 3,346,470 | ||||||
|
| |||||||
11,687,253 | ||||||||
|
| |||||||
Metals & Mining — 2.4% | ||||||||
Freeport-McMoRan, Inc. | 409,859 | 5,045,364 | ||||||
|
| |||||||
Multi-Utilities — 0.9% | ||||||||
Sempra Energy | 14,381 | 1,840,049 | ||||||
|
| |||||||
Multiline Retail — 0.9% | ||||||||
Target Corp. | 23,800 | 1,842,596 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 5.1% | ||||||||
Chevron Corp. | 57,400 | 6,891,444 | ||||||
Marathon Petroleum Corp. | 63,444 | 3,861,836 | ||||||
|
| |||||||
10,753,280 | ||||||||
|
| |||||||
Pharmaceuticals — 4.7% | ||||||||
Allergan PLC (Ireland) | 20,448 | 3,005,856 | ||||||
Amneal Pharmaceuticals, Inc.(1) | 191,800 | 2,468,466 | ||||||
Merck & Co., Inc. | 56,548 | 4,450,893 | ||||||
|
| |||||||
9,925,215 | ||||||||
|
|
See accompanying notes to financial statements.
21
Table of Contents
TCW Relative Value Large Cap Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Shares | Value | ||||||
Real Estate Management & Development — 1.8% | ||||||||
Jones Lang LaSalle, Inc. | 24,844 | $ | 3,840,137 | |||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.8% | ||||||||
Cypress Semiconductor Corp. | 469,100 | 8,059,138 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 1.1% | ||||||||
Western Digital Corp. | 44,240 | 2,261,549 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.2% | ||||||||
Tapestry, Inc. | 77,210 | 2,491,567 | ||||||
|
| |||||||
Total Common Stock |
| |||||||
(Cost: $142,489,445) |
| 211,485,319 | ||||||
|
| |||||||
Total Investments (99.8%) |
| |||||||
(Cost: $142,489,445) |
| 211,485,319 | ||||||
Excess Of Other Assets Over Liabilities (0.2%) |
| 472,516 | ||||||
|
| |||||||
Net Assets (100.0%) |
| $ | 211,957,835 | |||||
|
|
Notes to the Schedule of Investments
(1) | Non-income producing security. |
See accompanying notes to financial statements.
22
Table of Contents
TCW Relative Value Large Cap Fund
Investments by Sector (Unaudited) | April 30, 2019 |
Sector | Percentage of Net Assets | |||
Aerospace & Defense | 3.7 | % | ||
Air Freight & Logistics | 2.0 | |||
Auto Components | 4.2 | |||
Banks | 10.9 | |||
Beverages | 2.4 | |||
Biotechnology | 2.5 | |||
Capital Markets | 4.9 | |||
Chemicals | 1.5 | |||
Communications Equipment | 4.4 | |||
Construction & Engineering | 1.3 | |||
Diversified Telecommunication Services | 2.5 | |||
Electrical Equipment | 1.5 | |||
Electronic Equipment, Instruments & Components | 3.2 | |||
Energy Equipment & Services | 3.7 | |||
Food Products | 1.0 | |||
Health Care Equipment & Supplies | 1.8 | |||
Health Care Providers & Services | 3.6 | |||
Household Durables | 2.8 | |||
Household Products | 2.2 | |||
Independent Power and Renewable Electricity Producers | 2.6 | |||
Industrial Conglomerates | 1.6 | |||
Insurance | 4.8 | |||
IT Services | 1.7 | |||
Machinery | 1.6 | |||
Media | 5.5 | |||
Metals & Mining | 2.4 | |||
Multi-Utilities | 0.9 | |||
Multiline Retail | 0.9 | |||
Oil, Gas & Consumable Fuels | 5.1 | |||
Pharmaceuticals | 4.7 | |||
Real Estate Management & Development | 1.8 | |||
Semiconductors & Semiconductor Equipment | 3.8 | |||
Technology Hardware, Storage & Peripherals | 1.1 | |||
Textiles, Apparel & Luxury Goods | 1.2 | |||
|
| |||
Total | 99.8 | % | ||
|
|
See accompanying notes to financial statements.
23
Table of Contents
TCW Relative Value Large Cap Fund
Fair Valuation Summary (Unaudited) | April 30, 2019 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2019 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 | $ | 7,818,030 | $ | — | $ | — | $ | 7,818,030 | ||||||||
Air Freight & Logistics | 4,359,269 | — | — | 4,359,269 | ||||||||||||
Auto Components | 8,968,089 | — | — | 8,968,089 | ||||||||||||
Banks | 23,045,864 | — | — | 23,045,864 | ||||||||||||
Beverages | 5,096,390 | — | — | 5,096,390 | ||||||||||||
Biotechnology | 5,270,126 | — | — | 5,270,126 | ||||||||||||
Capital Markets | 10,507,324 | — | — | 10,507,324 | ||||||||||||
Chemicals | 3,194,657 | — | — | 3,194,657 | ||||||||||||
Communications Equipment | 9,279,979 | — | — | 9,279,979 | ||||||||||||
Construction & Engineering | 2,806,964 | — | — | 2,806,964 | ||||||||||||
Diversified Telecommunication Services | 5,216,667 | — | — | 5,216,667 | ||||||||||||
Electrical Equipment | 3,121,093 | — | — | 3,121,093 | ||||||||||||
Electronic Equipment, Instruments & Components | 6,874,058 | — | — | 6,874,058 | ||||||||||||
Energy Equipment & Services | 7,846,951 | — | — | 7,846,951 | ||||||||||||
Food Products | 2,084,422 | — | — | 2,084,422 | ||||||||||||
Health Care Equipment & Supplies | 3,743,697 | — | — | 3,743,697 | ||||||||||||
Health Care Providers & Services | 7,615,767 | — | — | 7,615,767 | ||||||||||||
Household Durables | 5,856,418 | — | — | 5,856,418 | ||||||||||||
Household Products | 4,673,620 | — | — | 4,673,620 | ||||||||||||
Independent Power and Renewable Electricity Producers | 5,562,288 | — | — | 5,562,288 | ||||||||||||
Industrial Conglomerates | 3,443,928 | — | — | 3,443,928 | ||||||||||||
Insurance | 10,289,066 | — | — | 10,289,066 | ||||||||||||
IT Services | 3,607,183 | — | — | 3,607,183 | ||||||||||||
Machinery | 3,457,321 | — | — | 3,457,321 | ||||||||||||
Media | 11,687,253 | — | — | 11,687,253 | ||||||||||||
Metals & Mining | 5,045,364 | — | — | 5,045,364 | ||||||||||||
Multi-Utilities | 1,840,049 | — | — | 1,840,049 | ||||||||||||
Multiline Retail | 1,842,596 | — | — | 1,842,596 | ||||||||||||
Oil, Gas & Consumable Fuels | 10,753,280 | — | — | 10,753,280 | ||||||||||||
Pharmaceuticals | 9,925,215 | — | — | 9,925,215 | ||||||||||||
Real Estate Management & Development | 3,840,137 | — | — | 3,840,137 | ||||||||||||
Semiconductors & Semiconductor Equipment | 8,059,138 | — | — | 8,059,138 | ||||||||||||
Technology Hardware, Storage & Peripherals | 2,261,549 | — | — | 2,261,549 | ||||||||||||
Textiles, Apparel & Luxury Goods | 2,491,567 | — | — | 2,491,567 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 211,485,319 | — | — | 211,485,319 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 211,485,319 | $ | — | $ | — | $ | 211,485,319 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
24
Table of Contents
TCW Relative Value Mid Cap Fund
Schedule of Investments (Unaudited) | April 30, 2019 |
Issues | Shares | Value | ||||||
COMMON STOCK — 99.8% of Net Assets |
| |||||||
Aerospace & Defense — 3.0% | ||||||||
Textron, Inc. | 48,045 | $ | 2,546,385 | |||||
|
| |||||||
Auto Components — 1.6% | ||||||||
Aptiv PLC | 3,200 | 274,240 | ||||||
Dana, Inc. | 54,647 | 1,065,617 | ||||||
|
| |||||||
1,339,857 | ||||||||
|
| |||||||
Banks — 15.6% | ||||||||
Comerica, Inc. | 16,966 | 1,333,358 | ||||||
KeyCorp | 141,942 | 2,491,082 | ||||||
PacWest Bancorp | 17,000 | 672,350 | ||||||
Popular, Inc. | 58,465 | 3,374,015 | ||||||
Synovus Financial Corp. | 50,129 | 1,847,755 | ||||||
Umpqua Holdings Corp. | 90,100 | 1,564,136 | ||||||
Zions Bancorp | 37,410 | 1,845,435 | ||||||
|
| |||||||
13,128,131 | ||||||||
|
| |||||||
Capital Markets — 3.3% | ||||||||
E*TRADE Financial Corp.(1) | 23,600 | 1,195,576 | ||||||
Evercore Partners, Inc. | 16,195 | 1,577,879 | ||||||
|
| |||||||
2,773,455 | ||||||||
|
| |||||||
Construction & Engineering — 4.5% | ||||||||
Arcosa, Inc. | 25,400 | 790,702 | ||||||
Fluor Corp. | 27,605 | 1,096,747 | ||||||
Jacobs Engineering Group, Inc. | 24,533 | 1,912,102 | ||||||
|
| |||||||
3,799,551 | ||||||||
|
| |||||||
Consumer Finance — 1.7% | ||||||||
Santander Consumer USA Holdings, Inc. | 67,900 | 1,449,665 | ||||||
|
| |||||||
Diversified Telecommunication Services — 0.3% | ||||||||
Zayo Group Holdings, Inc.(1) | 9,400 | 294,126 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.8% | ||||||||
Flex Ltd.(1) | 63,000 | 695,520 | ||||||
|
| |||||||
Energy Equipment & Services — 4.0% | ||||||||
Newpark Resources, Inc.(1) | 302,372 | 2,207,316 | ||||||
TechnipFMC PLC (United Kingdom) | 46,100 | 1,133,599 | ||||||
|
| |||||||
3,340,915 | ||||||||
|
| |||||||
Entertainment — 1.3% | ||||||||
Viacom, Inc. — Class B | 38,600 | 1,115,926 | ||||||
|
| |||||||
Food Products — 3.7% | ||||||||
Conagra Brands, Inc. | 47,822 | 1,471,961 | ||||||
Hain Celestial Group, Inc. (The)(1) | 34,400 | 750,608 | ||||||
TreeHouse Foods, Inc.(1) | 7,800 | 522,444 | ||||||
Tyson Foods, Inc. | 4,900 | 367,549 | ||||||
|
| |||||||
3,112,562 | ||||||||
|
|
Issues | Shares | Value | ||||||
Health Care Equipment & Supplies — 1.6% | ||||||||
Zimmer Biomet Holdings, Inc. | 11,129 | $ | 1,370,648 | |||||
|
| |||||||
Health Care Providers & Services — 6.6% | ||||||||
Acadia Healthcare Co., Inc.(1) | 33,200 | 1,063,064 | ||||||
Centene Corp.(1) | 35,092 | 1,809,344 | ||||||
Magellan Health, Inc.(1) | 7,400 | 518,000 | ||||||
Molina Healthcare, Inc.(1) | 16,807 | 2,178,691 | ||||||
|
| |||||||
5,569,099 | ||||||||
|
| |||||||
Household Durables — 8.6% | ||||||||
Beazer Homes USA, Inc.(1) | 26,479 | 351,906 | ||||||
DR Horton, Inc. | 24,400 | 1,081,164 | ||||||
KB Home | 70,260 | 1,820,437 | ||||||
Lennar Corp. | 37,800 | 1,966,734 | ||||||
Lennar Corp. — Class B | 734 | 30,622 | ||||||
Toll Brothers, Inc. | 52,828 | 2,012,747 | ||||||
|
| |||||||
7,263,610 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 2.9% | ||||||||
AES Corp. (The) | 145,200 | 2,485,824 | ||||||
|
| |||||||
Insurance — 2.3% | ||||||||
Assured Guaranty, Ltd. | 40,102 | 1,912,865 | ||||||
|
| |||||||
IT Services — 0.2% | ||||||||
First Data Corp.(1) | 7,865 | 203,389 | ||||||
|
| |||||||
Machinery — 7.6% | ||||||||
Dover Corp. | 16,109 | 1,579,326 | ||||||
Manitowoc Co., Inc. (The)(1) | 112,900 | 2,016,394 | ||||||
SPX FLOW, Inc.(1) | 27,105 | 974,154 | ||||||
Terex Corp. | 28,898 | 963,170 | ||||||
Trinity Industries, Inc. | 29,700 | 640,332 | ||||||
Wabtec Corp. | 3,400 | 251,838 | ||||||
|
| |||||||
6,425,214 | ||||||||
|
| |||||||
Marine — 3.3% | ||||||||
Kirby Corp.(1) | 27,700 | 2,263,644 | ||||||
Matson, Inc. | 13,200 | 522,852 | ||||||
|
| |||||||
2,786,496 | ||||||||
|
| |||||||
Media — 1.5% | ||||||||
Discovery, Inc.(1) | 39,800 | 1,229,820 | ||||||
|
| |||||||
Metals & Mining — 3.1% | ||||||||
Freeport-McMoRan, Inc. | 157,904 | 1,943,798 | ||||||
Worthington Industries, Inc. | 16,840 | 675,789 | ||||||
|
| |||||||
2,619,587 | ||||||||
|
| |||||||
Multi-Utilities — 0.5% | ||||||||
Sempra Energy | 2,965 | 379,372 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.8% | ||||||||
Marathon Petroleum Corp. | 24,230 | 1,474,880 | ||||||
|
|
See accompanying notes to financial statements.
25
Table of Contents
TCW Relative Value Mid Cap Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Shares | Value | ||||||
Pharmaceuticals — 1.0% | ||||||||
Amneal Pharmaceuticals, Inc.(1) | 67,300 | $ | 866,151 | |||||
|
| |||||||
Real Estate Management & Development — 3.1% | ||||||||
Jones Lang LaSalle, Inc. | 16,978 | 2,624,289 | ||||||
|
| |||||||
REIT — 2.8% | ||||||||
Cousins Properties, Inc. | 111,900 | 1,070,883 | ||||||
Mid-America Apartment Communities, Inc. | 11,800 | 1,291,038 | ||||||
|
| |||||||
2,361,921 | ||||||||
|
| |||||||
Road & Rail — 1.4% | ||||||||
Genesee & Wyoming, Inc.(1) | 13,400 | 1,187,910 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 6.8% | ||||||||
Cypress Semiconductor Corp. | 170,300 | 2,925,754 | ||||||
Maxim Integrated Products, Inc. | 46,246 | 2,774,760 | ||||||
|
| |||||||
5,700,514 | ||||||||
|
| |||||||
Software — 1.4% | ||||||||
Nuance Communications, Inc.(1) | 71,116 | 1,196,882 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 1.1% | ||||||||
Western Digital Corp. | 17,480 | 893,578 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.9% | ||||||||
Tapestry, Inc. | 48,787 | 1,574,356 | ||||||
|
| |||||||
Trading Companies & Distributors — 0.5% | ||||||||
Univar, Inc.(1) | 19,300 | 430,969 | ||||||
|
| |||||||
Total Common Stock | ||||||||
(Cost: $62,443,589) |
| 84,153,467 | ||||||
|
| |||||||
MONEY MARKET INVESTMENTS—0.2% | ||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 2.37%(2) | 153,385 | 153,385 | ||||||
|
| |||||||
Total Money Market Investments | ||||||||
(Cost: $153,385) |
| 153,385 | ||||||
|
| |||||||
Total Investments (100.0%) |
| |||||||
(Cost: $62,596,974) |
| 84,306,852 | ||||||
Liabilities In Excess Of Other Assets (0.0%) |
| (17,825 | ) | |||||
|
| |||||||
Net Assets (100.0%) |
| $ | 84,289,027 | |||||
|
|
Notes to the Schedule of Investments
(1) | Non-income producing security. |
(2) | Rate disclosed is the7-day net yield as of April 30, 2019. |
See accompanying notes to financial statements.
26
Table of Contents
TCW Relative Value Mid Cap Fund
Investments by Sector (Unaudited) | April 30, 2019 |
Sector | Percentage of Net Assets | |||
Aerospace & Defense | 3.0 | % | ||
Auto Components | 1.6 | |||
Banks | 15.6 | |||
Capital Markets | 3.3 | |||
Construction & Engineering | 4.5 | |||
Consumer Finance | 1.7 | |||
Diversified Telecommunication Services | 0.3 | |||
Electronic Equipment, Instruments & Components | 0.8 | |||
Energy Equipment & Services | 4.0 | |||
Entertainment | 1.3 | |||
Food Products | 3.7 | |||
Health Care Equipment & Supplies | 1.6 | |||
Health Care Providers & Services | 6.6 | |||
Household Durables | 8.6 | |||
Independent Power and Renewable Electricity Producers | 2.9 | |||
Insurance | 2.3 | |||
IT Services | 0.2 | |||
Machinery | 7.6 | |||
Marine | 3.3 | |||
Media | 1.5 | |||
Metals & Mining | 3.1 | |||
Multi-Utilities | 0.5 | |||
Oil, Gas & Consumable Fuels | 1.8 | |||
Pharmaceuticals | 1.0 | |||
Real Estate Management & Development | 3.1 | |||
REIT | 2.8 | |||
Road & Rail | 1.4 | |||
Semiconductors & Semiconductor Equipment | 6.8 | |||
Software | 1.4 | |||
Technology Hardware, Storage & Peripherals | 1.1 | |||
Textiles, Apparel & Luxury Goods | 1.9 | |||
Trading Companies & Distributors | 0.5 | |||
Money Market Investments | 0.2 | |||
|
| |||
Total | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
27
Table of Contents
TCW Relative Value Mid Cap Fund
Fair Valuation Summary (Unaudited) | April 30, 2019 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2019 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stock | ||||||||||||||||
Aerospace & Defense | $ | 2,546,385 | $ | — | $ | — | $ | 2,546,385 | ||||||||
Auto Components | 1,339,857 | — | — | 1,339,857 | ||||||||||||
Banks | 13,128,131 | — | — | 13,128,131 | ||||||||||||
Capital Markets | 2,773,455 | — | — | 2,773,455 | ||||||||||||
Construction & Engineering | 3,799,551 | — | — | 3,799,551 | ||||||||||||
Consumer Finance | 1,449,665 | — | — | 1,449,665 | ||||||||||||
Diversified Telecommunication Services | 294,126 | — | — | 294,126 | ||||||||||||
Electronic Equipment, Instruments & Components | 695,520 | — | — | 695,520 | ||||||||||||
Energy Equipment & Services | 3,340,915 | — | — | 3,340,915 | ||||||||||||
Entertainment | 1,115,926 | — | — | 1,115,926 | ||||||||||||
Food Products | 3,112,562 | — | — | 3,112,562 | ||||||||||||
Health Care Equipment & Supplies | 1,370,648 | — | — | 1,370,648 | ||||||||||||
Health Care Providers & Services | 5,569,099 | — | — | 5,569,099 | ||||||||||||
Household Durables | 7,263,610 | — | — | 7,263,610 | ||||||||||||
Independent Power and Renewable Electricity Producers | 2,485,824 | — | — | 2,485,824 | ||||||||||||
Insurance | 1,912,865 | — | — | 1,912,865 | ||||||||||||
IT Services | 203,389 | — | — | 203,389 | ||||||||||||
Machinery | 6,425,214 | — | — | 6,425,214 | ||||||||||||
Marine | 2,786,496 | — | — | 2,786,496 | ||||||||||||
Media | 1,229,820 | — | — | 1,229,820 | ||||||||||||
Metals & Mining | 2,619,587 | — | — | 2,619,587 | ||||||||||||
Multi-Utilities | 379,372 | — | — | 379,372 | ||||||||||||
Oil, Gas & Consumable Fuels | 1,474,880 | — | — | 1,474,880 | ||||||||||||
Pharmaceuticals | 866,151 | — | — | 866,151 | ||||||||||||
Real Estate Management & Development | 2,624,289 | — | — | 2,624,289 | ||||||||||||
REIT | 2,361,921 | — | — | 2,361,921 | ||||||||||||
Road & Rail | 1,187,910 | — | — | 1,187,910 | ||||||||||||
Semiconductors & Semiconductor Equipment | 5,700,514 | — | — | 5,700,514 | ||||||||||||
Software | 1,196,882 | — | — | 1,196,882 | ||||||||||||
Technology Hardware, Storage & Peripherals | 893,578 | — | — | 893,578 | ||||||||||||
Textiles, Apparel & Luxury Goods | 1,574,356 | — | — | 1,574,356 | ||||||||||||
Trading Companies & Distributors | 430,969 | — | — | 430,969 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 84,153,467 | — | — | 84,153,467 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 153,385 | — | — | 153,385 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 84,306,852 | $ | — | $ | — | $ | 84,306,852 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
28
Table of Contents
Schedule of Investments (Unaudited) | April 30, 2019 |
Issues | Shares | Value | ||||||
COMMON STOCK — 98.7% of Net Assets |
| |||||||
Beverages — 2.2% | ||||||||
Monster Beverage Corp. (1) | 351,111 | $ | 20,926,216 | |||||
|
| |||||||
Biotechnology — 3.1% | ||||||||
Alexion Pharmaceuticals, Inc. (1) | 109,772 | 14,943,261 | ||||||
BioMarin Pharmaceutical, Inc.(1) | 167,513 | 14,327,387 | ||||||
|
| |||||||
29,270,648 | ||||||||
|
| |||||||
Capital Markets — 4.1% | ||||||||
Charles Schwab Corp. (The) | 489,370 | 22,403,358 | ||||||
S&P Global, Inc. | 76,801 | 16,946,909 | ||||||
|
| |||||||
39,350,267 | ||||||||
|
| |||||||
Commercial Services & Supplies — 2.2% | ||||||||
Waste Connections, Inc. (Canada) | 225,645 | 20,933,087 | ||||||
|
| |||||||
Equity Real Estate — 2.6% | ||||||||
Equinix, Inc. | 53,655 | 24,396,929 | ||||||
|
| |||||||
Food & Staples Retailing — 2.4% | ||||||||
Costco Wholesale Corp. | 93,829 | 23,037,834 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 2.8% | ||||||||
Align Technology, Inc. (1) | 81,216 | 26,369,211 | ||||||
|
| |||||||
Insurance — 2.6% | ||||||||
Chubb, Ltd. (Switzerland) | 169,290 | 24,580,908 | ||||||
|
| |||||||
Interactive Media & Services — 10.9% | ||||||||
Alphabet, Inc. — Class C (1) | 45,175 | 53,689,584 | ||||||
Facebook, Inc. (1) | 260,677 | 50,414,932 | ||||||
|
| |||||||
104,104,516 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 8.7% | ||||||||
Amazon.com, Inc. (1) | 33,700 | 64,923,724 | ||||||
Booking Holdings, Inc. (1) | 9,392 | 17,422,066 | ||||||
|
| |||||||
82,345,790 | ||||||||
|
| |||||||
IT Services — 14.1% | ||||||||
Mastercard, Inc. | 126,448 | 32,148,140 | ||||||
PayPal Holdings, Inc. (1) | 339,551 | 38,291,166 | ||||||
Visa, Inc. | 389,304 | 64,013,257 | ||||||
|
| |||||||
134,452,563 | ||||||||
|
|
Issues | Shares | Value | ||||||
Life Sciences Tools & Services — 2.2% | ||||||||
Illumina, Inc. (1) | 67,325 | $ | 21,005,400 | |||||
|
| |||||||
Machinery — 2.2% | ||||||||
Xylem, Inc. | 256,100 | 21,358,740 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 0.9% | ||||||||
Concho Resources, Inc. (1) | 75,440 | 8,704,267 | ||||||
|
| |||||||
Pharmaceuticals — 2.6% | ||||||||
Zoetis, Inc. | 245,500 | 25,001,720 | ||||||
|
| |||||||
Professional Services — 4.2% | ||||||||
IHS Markit, Ltd. (1) | 316,300 | 18,111,338 | ||||||
TransUnion | 311,299 | 21,681,975 | ||||||
|
| |||||||
39,793,313 | ||||||||
|
| |||||||
REIT — 5.1% |
| |||||||
American Tower Corp. | 246,372 | 48,116,452 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.2% | ||||||||
NVIDIA Corp. | 115,318 | 20,872,558 | ||||||
|
| |||||||
Software — 18.1% | ||||||||
Adobe, Inc. (1) | 188,786 | 54,606,350 | ||||||
Salesforce.com, Inc. (1) | 270,033 | 44,649,957 | ||||||
ServiceNow, Inc. (1) | 182,212 | 49,472,380 | ||||||
Splunk, Inc. (1) | 172,476 | 23,808,587 | ||||||
|
| |||||||
172,537,274 | ||||||||
|
| |||||||
Specialty Retail — 5.5% | ||||||||
Home Depot, Inc. (The) | 134,549 | 27,407,631 | ||||||
Ulta Beauty, Inc. (1) | 72,595 | 25,334,203 | ||||||
|
| |||||||
52,741,834 | ||||||||
|
| |||||||
Total Common Stock |
| |||||||
(Cost: $367,946,415) |
| 939,899,527 | ||||||
|
| |||||||
MONEY MARKET INVESTMENTS—1.4% | ||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 2.37% (2) | 13,607,928 | 13,607,928 | ||||||
|
| |||||||
Total Money Market Investments |
| |||||||
(Cost: $13,607,928) |
| 13,607,928 | ||||||
|
| |||||||
Total Investments (100.1%) |
| |||||||
(Cost: $381,554,343) |
| 953,507,455 | ||||||
Liabilities In Excess Of Other Assets(-0.1%) |
| (791,799 | ) | |||||
|
| |||||||
Net Assets (100.0%) |
| $ | 952,715,656 | |||||
|
| �� |
Notes to the Schedule of Investments
(1) | Non-income producing security. |
(2) | Rate disclosed is the7-day net yield as of April 30, 2019. |
REIT - | Real Estate Investment Trust. |
See accompanying notes to financial statements.
29
Table of Contents
TCW Select Equities Fund
Investments by Sector (Unaudited) | April 30, 2019 |
Sector | Percentage of Net Assets | |||
Beverages | 2.2 | % | ||
Biotechnology | 3.1 | |||
Capital Markets | 4.1 | |||
Commercial Services & Supplies | 2.2 | |||
Equity Real Estate | 2.6 | |||
Food & Staples Retailing | 2.4 | |||
Health Care Equipment & Supplies | 2.8 | |||
Insurance | 2.6 | |||
Interactive Media & Services | 10.9 | |||
Internet & Direct Marketing Retail | 8.7 | |||
IT Services | 14.1 | |||
Life Sciences Tools & Services | 2.2 | |||
Machinery | 2.2 | |||
Oil, Gas & Consumable Fuels | 0.9 | |||
Pharmaceuticals | 2.6 | |||
Professional Services | 4.2 | |||
REIT | 5.1 | |||
Semiconductors & Semiconductor Equipment | 2.2 | |||
Software | 18.1 | |||
Specialty Retail | 5.5 | |||
Money Market Investments | 1.4 | |||
|
| |||
Total | 100.1 | % | ||
|
|
See accompanying notes to financial statements.
30
Table of Contents
TCW Select Equities Fund
Fair Valuation Summary (Unaudited) | April 30, 2019 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2019 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 | $ | 20,926,216 | $ | — | $ | — | $ | 20,926,216 | ||||||||
Biotechnology | 29,270,648 | — | — | 29,270,648 | ||||||||||||
Capital Markets | 39,350,267 | — | — | 39,350,267 | ||||||||||||
Commercial Services & Supplies | 20,933,087 | — | — | 20,933,087 | ||||||||||||
Equity Real Estate | 24,396,929 | — | — | 24,396,929 | ||||||||||||
Food & Staples Retailing | 23,037,834 | — | — | 23,037,834 | ||||||||||||
Health Care Equipment & Supplies | 26,369,211 | — | — | 26,369,211 | ||||||||||||
Insurance | 24,580,908 | — | — | 24,580,908 | ||||||||||||
Interactive Media & Services | 104,104,516 | — | — | 104,104,516 | ||||||||||||
Internet & Direct Marketing Retail | 82,345,790 | — | — | 82,345,790 | ||||||||||||
IT Services | 134,452,563 | — | — | 134,452,563 | ||||||||||||
Life Sciences Tools & Services | 21,005,400 | — | — | 21,005,400 | ||||||||||||
Machinery | 21,358,740 | — | — | 21,358,740 | ||||||||||||
Oil, Gas & Consumable Fuels | 8,704,267 | — | — | 8,704,267 | ||||||||||||
Pharmaceuticals | 25,001,720 | — | — | 25,001,720 | ||||||||||||
Professional Services | 39,793,313 | — | — | 39,793,313 | ||||||||||||
REIT | 48,116,452 | — | — | 48,116,452 | ||||||||||||
Semiconductors & Semiconductor Equipment | 20,872,558 | — | — | 20,872,558 | ||||||||||||
Software | 172,537,274 | — | — | 172,537,274 | ||||||||||||
Specialty Retail | 52,741,834 | — | — | 52,741,834 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 939,899,527 | — | — | 939,899,527 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 13,607,928 | — | — | 13,607,928 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 953,507,455 | $ | — | $ | — | $ | 953,507,455 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
31
Table of Contents
Statements of Assets and Liabilities (Unaudited)
TCW Artificial Intelligence Equity Fund | TCW Conservative Allocation Fund | TCW Global Real Estate Fund | TCW New America Premier Equities Fund | |||||||||||||
Dollar Amounts In Thousands (Except Per Share Amounts) | ||||||||||||||||
ASSETS |
| |||||||||||||||
Investments, at Value(1) | $ | 2,813 | $ | 2,106 | $ | 5,953 | $ | 80,351 | ||||||||
Investment in Affiliated Issuers, at Value | — | 27,639 | (2) | — | — | |||||||||||
Cash | — | 50 | — | — | ||||||||||||
Receivable for Securities Sold | 11 | 590 | 59 | — | ||||||||||||
Receivable for Fund Shares Sold | 4 | — | (3) | — | 939 | |||||||||||
Dividends Receivable | 2 | — | (3) | 14 | 19 | |||||||||||
Receivable from Investment Advisor | 36 | 7 | 14 | 10 | ||||||||||||
Prepaid Expenses | 14 | 20 | 17 | 24 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 2,880 | 30,412 | 6,057 | 81,343 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES |
| |||||||||||||||
Payable for Securities Purchased | — | 640 | — | — | ||||||||||||
Payable for Fund Shares Redeemed | — | 349 | — | 1 | ||||||||||||
Accrued Directors’ Fees and Expenses | 10 | 10 | 10 | 10 | ||||||||||||
Accrued Management Fees | 2 | — | 4 | 41 | ||||||||||||
Accrued Distribution Fees | — | (3) | — | (3) | — | (3) | 3 | |||||||||
Other Accrued Expenses | 25 | 21 | 25 | 19 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 37 | 1,020 | 39 | 74 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 2,843 | $ | 29,392 | $ | 6,018 | $ | 81,269 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS CONSIST OF: |
| |||||||||||||||
Paid-in Capital | $ | 2,423 | $ | 26,636 | $ | 6,283 | $ | 67,471 | ||||||||
Accumulated Earnings (Loss) | 420 | 2,756 | (265 | ) | 13,798 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 2,843 | $ | 29,392 | $ | 6,018 | $ | 81,269 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS ATTRIBUTABLE TO: |
| |||||||||||||||
I Class Share | $ | 1,938 | $ | 28,913 | $ | 5,426 | $ | 65,646 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | $ | 905 | $ | 479 | $ | 592 | $ | 15,623 | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL SHARES OUTSTANDING:(4) |
| |||||||||||||||
I Class Share | 149,696 | 2,472,884 | 537,041 | 3,447,171 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | 69,881 | 40,888 | 58,598 | 820,902 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSET VALUE PER SHARE:(5) |
| |||||||||||||||
I Class Share | $ | 12.95 | $ | 11.69 | $ | 10.10 | $ | 19.04 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | $ | 12.94 | $ | 11.71 | $ | 10.10 | $ | 19.03 | ||||||||
|
|
|
|
|
|
|
|
(1) | The identified cost for the TCW Artificial Intelligence Equity Fund, the TCW Conservative Allocation Fund, the TCW Global Real Estate Fund and the TCW New America Premier Equities Fund at April 30, 2019 was $2,367, $2,086, $5,388 and $66,048, respectively. |
(2) | The identified cost for investments in affiliated issuers of the TCW Conservative Allocation Fund was $25,462. |
(3) | Amount rounds to less than $1. |
(4) | The number of authorized shares, with a par value of $0.001 per share, is 4,000,000,000 for each of the I Class and N Class shares. |
(5) | Represents offering price and redemption price per share. |
See accompanying notes to financial statements.
32
Table of Contents
TCW Funds, Inc.
Statements of Assets and Liabilities (Unaudited) | April 30, 2019 |
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) | $ | 339,464 | $ | 211,485 | $ | 84,307 | $ | 953,507 | ||||||||
Receivable for Securities Sold | 1,282 | 38,981 | — | — | ||||||||||||
Receivable for Fund Shares Sold | 16 | 44 | 53 | 267 | ||||||||||||
Dividends Receivable | 371 | 273 | 40 | 108 | ||||||||||||
Foreign Tax Reclaims Receivable | 64 | — | — | — | ||||||||||||
Receivable from Investment Advisor | 35 | 35 | 7 | 10 | ||||||||||||
Prepaid Expenses | 19 | 21 | 15 | 22 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 341,251 | 250,839 | 84,422 | 953,914 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES |
| |||||||||||||||
Payable for Securities Purchased | 343 | 272 | — | — | ||||||||||||
Payable for Fund Shares Redeemed | 129 | 35,268 | 25 | 332 | ||||||||||||
Disbursements in Excess of Available Cash | — | 3,028 | — | — | ||||||||||||
Accrued Directors’ Fees and Expenses | 10 | 10 | 10 | 10 | ||||||||||||
Accrued Management Fees | 180 | 143 | 52 | 528 | ||||||||||||
Accrued Distribution Fees | 56 | 3 | 3 | 31 | ||||||||||||
Other Accrued Expenses | 226 | 157 | 43 | 297 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 944 | 38,881 | 133 | 1,198 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 340,307 | $ | 211,958 | $ | 84,289 | $ | 952,716 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS CONSIST OF: |
| |||||||||||||||
Paid-in Capital | $ | 264,818 | $ | 80,958 | $ | 62,718 | $ | 342,482 | ||||||||
Accumulated Earnings (Loss) | 75,489 | 131,000 | 21,571 | 610,234 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 340,307 | $ | 211,958 | $ | 84,289 | $ | 952,716 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS ATTRIBUTABLE TO: |
| |||||||||||||||
I Class Share | $ | 86,871 | $ | 199,185 | $ | 68,913 | $ | 805,141 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | $ | 253,436 | $ | 12,773 | $ | 15,376 | $ | 147,575 | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL SHARES OUTSTANDING:(2) |
| |||||||||||||||
I Class Share | 4,942,222 | 10,753,283 | 3,217,359 | 29,368,898 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | 14,162,394 | 691,380 | 738,913 | 6,044,851 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSET VALUE PER SHARE:(3) |
| |||||||||||||||
I Class Share | $ | 17.58 | $ | 18.52 | $ | 21.42 | $ | 27.41 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | $ | 17.90 | $ | 18.47 | $ | 20.81 | $ | 24.41 | ||||||||
|
|
|
|
|
|
|
|
(1) | The identified cost for the TCW Relative Value Dividend Appreciation Fund, the TCW Relative Value Large Cap Fund, the TCW Relative Value Mid Cap Fund and the TCW Select Equities Fund at April 30, 2019 was $265,961, $142,489, $62,597 and $381,554, respectively. |
(2) | The number of authorized shares, with a par value of $0.001 per share, is 4,000,000,000 for each of the I Class and N Class shares. |
(3) | Represents offering price and redemption price per share. |
See accompanying notes to financial statements.
33
Table of Contents
Statements of Operations (Unaudited)
TCW Artificial Intelligence Equity Fund | TCW Conservative Allocation Fund | TCW Global Real Estate Fund | TCW New America Premier Equities Fund | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
INVESTMENT INCOME | ||||||||||||||||
Income: | ||||||||||||||||
Dividends | $ | 9 | (1) | $ | 23 | $ | 67 | (1) | $ | 164 | (1) | |||||
Dividends from Investment in Affiliated Issuers | — | 350 | — | — | ||||||||||||
Non-cash Dividend Income | — | — | 79 | 192 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | 9 | 373 | 146 | 356 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Management Fees | 8 | — | 17 | 160 | ||||||||||||
Accounting Services Fees | — | (2) | 3 | 1 | 2 | |||||||||||
Administration Fees | 4 | 4 | 3 | 5 | ||||||||||||
Transfer Agent Fees: | ||||||||||||||||
I Class | 49 | 5 | 3 | 11 | ||||||||||||
N Class | 4 | 13 | 3 | 5 | ||||||||||||
Custodian Fees | 3 | 1 | 3 | 3 | ||||||||||||
Professional Fees | 13 | 8 | 12 | 15 | ||||||||||||
Directors’ Fees and Expenses | 21 | 21 | 21 | 21 | ||||||||||||
Registration Fees: | ||||||||||||||||
I Class | 17 | 9 | 11 | 11 | ||||||||||||
N Class | 17 | 9 | 11 | 11 | ||||||||||||
Distribution Fees: | ||||||||||||||||
N Class | 1 | 1 | 1 | 10 | ||||||||||||
Shareholder Reporting Expense | 1 | 1 | 1 | 1 | ||||||||||||
Other | 3 | 5 | 5 | 4 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | 141 | 80 | 92 | 259 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||||||
I Class | 95 | — | 50 | 30 | ||||||||||||
N Class | 36 | 22 | 20 | 21 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Expenses | 10 | 58 | 22 | 208 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Investment Income (Loss) | (1 | ) | 315 | 124 | 148 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||
Investments | (12 | ) | — | (2) | (162 | ) | (600 | ) | ||||||||
Investments in Affiliated Issuers | — | (331 | ) | — | — | |||||||||||
Realized Gain Received as Distribution from Affiliated Issuers | — | 768 | — | — | ||||||||||||
Foreign Currency | — | — | 1 | (5 | ) | |||||||||||
Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||
Investments | 374 | 48 | 426 | 9,668 | ||||||||||||
Investments in Affiliated Issuers | — | 1,119 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 362 | 1,604 | 265 | 9,063 | ||||||||||||
|
|
|
| �� |
|
|
|
| ||||||||
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 361 | $ | 1,919 | $ | 389 | $ | 9,211 | ||||||||
|
|
|
|
|
|
|
|
(1) | Net of foreign taxes withheld of $0, $2 and $29 for the TCW Artificial Intelligence Equity Fund, the TCW Global Real Estate Fund and the TCW New America Premier Equities Fund, respectively. |
(2) | Amount rounds to less than $1. |
See accompanying notes to financial statements.
34
Table of Contents
TCW Funds, Inc.
Statements of Operations (Unaudited) | Six Months Ended April 30, 2019 |
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 | $ | 6,010 | (1) | $ | 4,416 | $ | 743 | (1) | $ | 2,398 | (1) | |||||
Non-cash Dividend Income | 222 | 169 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | 6,232 | 4,585 | 743 | 2,398 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: |
| |||||||||||||||
Management Fees | 1,217 | 1,091 | 291 | 2,946 | ||||||||||||
Accounting Services Fees | 33 | 25 | 6 | 45 | ||||||||||||
Administration Fees | 20 | 15 | 6 | 27 | ||||||||||||
Transfer Agent Fees: |
| |||||||||||||||
I Class | 28 | 126 | 19 | 317 | ||||||||||||
N Class | 201 | 9 | 10 | 68 | ||||||||||||
Custodian Fees | 2 | 2 | 2 | 2 | ||||||||||||
Professional Fees | 17 | 16 | 13 | 19 | ||||||||||||
Directors’ Fees and Expenses | 21 | 21 | 21 | 21 | ||||||||||||
Registration Fees: |
| |||||||||||||||
I Class | 10 | 12 | 10 | 18 | ||||||||||||
N Class | 16 | 11 | 12 | 16 | ||||||||||||
Distribution Fees: | ||||||||||||||||
N Class | 381 | 15 | 20 | 164 | ||||||||||||
Shareholder Reporting Expense | 2 | 2 | 2 | 3 | ||||||||||||
Other | 46 | 38 | 10 | 71 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | 1,994 | 1,383 | 422 | 3,717 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||||||
I Class | 12 | 40 | 10 | — | ||||||||||||
N Class | 175 | 20 | 30 | 61 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Expenses | 1,807 | 1,323 | 382 | 3,656 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Investment Income (Loss) | 4,425 | 3,262 | 361 | (1,258 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||||||
Net Realized Gain (Loss) on: |
| |||||||||||||||
Investments | 3,026 | 61,268 | 805 | 39,761 | ||||||||||||
Change in Unrealized Appreciation (Depreciation) on: |
| |||||||||||||||
Investments | 9,613 | (43,181 | ) | 2,371 | 105,963 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 12,639 | 18,087 | 3,176 | 145,724 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 17,064 | $ | 21,349 | $ | 3,537 | $ | 144,466 | ||||||||
|
|
|
|
|
|
|
|
(1) | Net of foreign taxes withheld of $80, $3 and $12 for the TCW Relative Value Dividend Appreciation Fund, the TCW Relative Value Mid Cap Fund and the TCW Select Equities Fund, respectively. |
See accompanying notes to financial statements.
35
Table of Contents
Statements of Changes in Net Assets
TCW Artificial Intelligence Equity Fund | TCW Conservative Allocation Fund | |||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS |
| |||||||||||||||
Net Investment Income (Loss) | $ | (1 | ) | $ | (6 | ) | $ | 315 | $ | 501 | ||||||
Net Realized Gain (Loss) on Investments | (12 | ) | (2 | ) | 437 | 1,389 | ||||||||||
Change in Unrealized Appreciation (Depreciation) on Investments | 374 | (11 | ) | 1,167 | (1,850 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | 361 | (19 | ) | 1,919 | 40 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributions to Shareholders | — | — | (1) | (1,728 | ) | (1,259 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS |
| |||||||||||||||
I Class | 333 | 695 | 800 | (1,021 | ) | |||||||||||
N Class | 92 | 154 | (42 | ) | 7 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 425 | 849 | 758 | (1,014 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | 786 | 830 | 949 | (2,233 | ) | |||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | 2,057 | 1,227 | 28,443 | 30,676 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 2,843 | $ | 2,057 | $ | 29,392 | $ | 28,443 | ||||||||
|
|
|
|
|
|
|
|
(1) | Amount rounds to less than $1. |
See accompanying notes to financial statements.
36
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Global Real Estate Fund | TCW New America Premier Equities Fund | |||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS |
| |||||||||||||||
Net Investment Income (Loss) | $ | 124 | $ | 102 | $ | 148 | $ | (33 | ) | |||||||
Net Realized Gain (Loss) on Investments and Foreign Currency Transactions | (161 | ) | (193 | ) | (605 | ) | 512 | |||||||||
Change in Unrealized Appreciation (Depreciation) on Investments | 426 | (161 | ) | 9,668 | 1,221 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | 389 | (252 | ) | 9,211 | 1,700 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributions to Shareholders | (69 | ) | (82 | ) | (480 | ) | (677 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS |
| |||||||||||||||
I Class | 2,267 | 356 | 29,904 | 11,097 | ||||||||||||
N Class | 9 | 1 | 9,269 | 2,405 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Net Capital Shares Transactions | 2,276 | 357 | 39,173 | 13,502 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets | 2,596 | 23 | 47,904 | 14,525 | ||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | 3,422 | 3,399 | 33,365 | 18,840 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 6,018 | $ | 3,422 | $ | 81,269 | $ | 33,365 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
37
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Relative Value Dividend Appreciation Fund | TCW Relative Value Large Cap Fund | |||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS |
| |||||||||||||||
Net Investment Income | $ | 4,425 | $ | 9,806 | $ | 3,262 | $ | 6,043 | ||||||||
Net Realized Gain on Investments | 3,026 | 26,207 | 61,268 | 43,418 | ||||||||||||
Change in Unrealized Appreciation (Depreciation) on Investments | 9,613 | (48,642 | ) | (43,181 | ) | (69,355 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | 17,064 | (12,629 | ) | 21,349 | (19,894 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributions to Shareholders | (29,578 | ) | (33,737 | ) | (45,949 | ) | (71,597 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS |
| |||||||||||||||
I Class | (8,322 | ) | (24,898 | ) | (178,849 | ) | 18,450 | |||||||||
N Class | (145,088 | ) | (44,769 | ) | 369 | (372 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | (153,410 | ) | (69,667 | ) | (178,480 | ) | 18,078 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Decrease in Net Assets | (165,924 | ) | (116,033 | ) | (203,080 | ) | (73,413 | ) | ||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | 506,231 | 622,264 | 415,038 | 488,451 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 340,307 | $ | 506,231 | $ | 211,958 | $ | 415,038 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
38
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Relative Value Mid Cap Fund | TCW Select Equities Fund | |||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS |
| |||||||||||||||
Net Investment Income (Loss) | $ | 361 | $ | 476 | $ | (1,258 | ) | $ | (3,032 | ) | ||||||
Net Realized Gain on Investments | 805 | 6,667 | 39,761 | 134,658 | ||||||||||||
Change in Unrealized Appreciation (Depreciation) on Investments | 2,371 | (13,168 | ) | 105,963 | (20,639 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | 3,537 | (6,025 | ) | 144,466 | 110,987 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributions to Shareholders | (6,781 | ) | (8,260 | ) | (117,726 | ) | (201,824 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS |
| |||||||||||||||
I Class | (1,052 | ) | (213 | ) | 40,695 | 48,042 | ||||||||||
N Class | (1,982 | ) | 1,834 | 11,544 | 9,190 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | (3,034 | ) | 1,621 | 52,239 | 57,232 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | (6,278 | ) | (12,664 | ) | 78,979 | (33,605 | ) | |||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | 90,567 | 103,231 | 873,737 | 907,342 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 84,289 | $ | 90,567 | $ | 952,716 | $ | 873,737 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
39
Table of Contents
Notes to Financial Statements (Unaudited)
Note 1 — Organization
TCW Funds, Inc., a Maryland corporation (the “Company”), is anopen-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”), that currently offers 19no-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 its own investment objective and strategies. The following is a brief description of the investment objectives and principal investment strategies for the Funds that are covered in this report:
TCW Fund | Investment Objectives and Principal Investment Strategies | |
Non-Diversified U.S. Equity Fund | ||
TCW Artificial Intelligence Equity Fund | Seeks long term capital appreciation by investing at least 80% of the value of its net assets in publicly traded equity securities of businesses that the portfolio managers believe are benefitting from or have the potential to benefit from advances in the use of artificial intelligence. | |
Diversified U.S. Equity Funds | ||
TCW Global Real Estate Fund | Seeks to maximize total return from current income and long-term capital growth by investing at least 80% of its net assets in equity securities of real estate investment trusts (“REITs”) and real estate companies. | |
TCW New America Premier Equities Fund | Seeks to provide long-term capital appreciation by investing at least 80% of the value of its net assets in equity securities of U.S. companies; intends to achieve its objective by investing in a portfolio of companies the portfolio manager believes are enduring, cash generating 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 realize a high level of dividend income consistent with prudent investment management, with secondary objective of 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. | |
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 |
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TCW Funds, Inc.
April 30, 2019 |
Note 1 — Organization (Continued)
TCW Fund | Investment Objectives and Principal Investment Strategies | |
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 at least 80% of its net assets in equity securities; uses a highly focused approach to seek to achieve superior long-term returns over a full market cycle by owning shares of companies that the portfolio manager believes to have strong and enduring business models and inherent advantages over their competitors. | |
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. |
All Funds offer two classes of shares: I Class and N Class. The two Classes of a Fund are substantially the same except that the N Class shares are subject to a distribution fee (see Note 6).
The TCW Conservative Allocation Fund is a “fund of funds” that invests in affiliated and unaffiliated funds which are identified on the Schedule of Investments.
Note 2 — Significant Accounting Policies
The following is a summary of significant accounting policies which are in conformity with accounting principles generally accepted in the United States of America (“GAAP”) and which are consistently followed by the Funds in the preparation of their financial statements. Each Fund is considered an investment company under the Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) No. 946, Financial Services — Investment Companies.
Principles of Accounting: The Funds use the accrual method of accounting for financial reporting purposes.
Net Asset Value: The net asset value (“NAV”) per share of each class of a Fund is determined by dividing the Fund’s net assets attributable to each class by the number of shares issued and outstanding of that class on each day the New York Stock Exchange (“NYSE”) is open for trading.
Security Valuations: Equity securities listed or traded on the NYSE and other stock exchanges are valued at the latest sale price on the exchange. Securities traded on the NASDAQ stock market (“NASDAQ”) are valued using official closing prices as reported by NASDAQ, which may not be the last sale price. Options on equity securities and options on indexes are valued using mid prices (average of bid and ask prices) as reported by the exchange or pricing service. Investments inopen-end mutual funds including money market funds are valued based on the NAV per share as reported by the fund companies. All other securities for whichover-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.
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
The Company has adopted, after the approval by the Company’s Board of Directors (the “Board” and each member thereof a “Director”), a fair valuation methodology for foreign equity securities (exclusive of certain Latin American and Canadian equity securities). This methodology is designed to address the effect of movements in the U.S. market on the securities traded on foreign exchanges that have been closed for a period of time due to time zones differences. The utilization of the fair value model may result in the adjustment of prices taking into account fluctuations in the U.S. market. The fair value model is utilized each trading day and not dependent on certain thresholds or triggers.
Securities for which market quotations are not readily available, including circumstances under which the prices received are not reflective of a security’s market value, are valued by the Advisor’s Pricing Committee in accordance with the guidelines established by the Board’s Valuation Committee and under the general oversight of the Board.
Fair value is defined as the price that a fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market for the investment. In accordance with the authoritative guidance on fair value measurements and disclosures under GAAP, the Funds disclose investments in their financial statements in a three-tier hierarchy. This hierarchy is utilized to establish classification of fair value 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 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.
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TCW Funds, Inc.
April 30, 2019 |
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 innon-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and therefore, the inputs are unobservable. Certain foreign securities that are fair valued using a pricing service that considers the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets are categorized in Level 2 of the fair value hierarchy.
Mutual funds. Open-end mutual funds including money market funds are valued using the NAV as reported by the fund companies. As such, they are categorized in Level 1.
Restricted securities. Restricted securities, including illiquid Rule 144A securities, held innon-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and therefore, the inputs are unobservable. Any other restricted securities valued similar to publicly traded securities may be categorized in Level 2 or 3 of the fair value hierarchy depending on whether a discount is applied and significant to the fair value.
The summary of the inputs used as of April 30, 2019 in valuing the Funds’ investments is listed after each Fund’s Schedule of Investments.
The Funds held no investments or other financial instruments at April 30, 2019 for which fair value was calculated using Level 3 inputs.
The TCW Global Real Estate Fund had a transfer of $137,877 out of Level 2 and in to Level 1 of the fair value hierarchy for the period ended April 30, 2019. The transfer between Level 2 and Level 1 of the fair value hierarchy was due to the change in valuation to the exchange closing price from the fair value price. The Fund recognized transfers between the Levels as of the beginning of the period.
Security Transactions and Related Investment Income: Security transactions are recorded as of the trade date. Dividend income is recorded on theex-dividend date. Interest income is recognized on an accrual basis. Realized gains and losses on investments are recorded on the basis of specific identification.
Allocation of Operating Activity for Multiple Classes: Investment income, common expenses and realized and unrealized gains and losses are allocated among the share classes of the Funds based on the relative net assets of each class. Distribution fees, which are directly attributable to a class of shares, are charged to the operations of that class. All other expenses are charged to each Fund or class as incurred on a specific
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Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
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 theex-dividend date. The TCW Global Real Estate Fund and the TCW Relative Value Dividend Appreciation Fund declare and pay, or reinvest, dividends from net investment income quarterly. The other Equity Funds and TCW Conservative Allocation Fund declare and pay, or reinvest, dividends from net investment income annually. Capital gains realized by a Fund will be distributed at least annually.
Income and capital gain distributions are determined in accordance with income tax regulations which may differ from GAAP. These differences are primarily due to differing treatments for foreign currency transactions, market discount and premium, losses deferred due to wash sales, excise tax regulations and employing equalization in determining amounts to be distributed to fund shareholders. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications betweenpaid-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 fiscalyear-end is distributed in the following year. Distributions received from real estate investment trusts may include return of capital which is treated as a reduction in the cost basis of those investments. Distributions received, if any, in excess of the cost basis of a security is recognized as capital gain.
Use of Estimates: The preparation of the accompanying financial statements requires management to make estimates and assumptions that affect the reported amount of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from these estimates.
Foreign Currency Translation: The books and records of each Fund are maintained in U.S. dollars as follows: (1) 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.
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TCW Funds, Inc.
April 30, 2019 |
Note 2 — Significant Accounting Policies (Continued)
For the period ended April 30, 2019, the TCW Global Real Estate Fund had the following derivatives and transactions in derivatives, grouped in the following risk categories (amounts in thousands except Numbers of Contracts):
TCW Global Real Estate Fund
Equity Risk | ||||
Statement of Operations: | ||||
Realized Gain (Loss) |
| |||
Investments (1) | $ | (14 | ) | |
|
| |||
Total Realized Gain (Loss) | $ | (14 | ) | |
|
| |||
Number of Contracts (2) |
| |||
Options Purchased | 80 |
(1) | Represents realized gain (loss) for purchased options. |
(2) | Amount disclosed represents average notional amounts which are representative of the volume traded for the period ended April 30, 2019. |
Note 3 — Portfolio Investments
When-Issued, Delayed-Delivery and Forward Commitment Transactions: The Funds, with the exception of the TCW Conservative Allocation Fund, may enter into when-issued, delayed-delivery, or forward commitment transactions in order to lock in the purchase price of the underlying security. In when-issued, delayed-delivery, or forward commitment transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. Although the Fund does not pay for the securities until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If the Fund’s counterparty fails to deliver a security purchased on a when issued, delayed delivery or forward commitment basis, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.
Prior to settlement of these transactions, the values of the subject securities will fluctuate with market conditions. In addition, because a Fund is not required to pay for when-issued, delayed-delivery or forward commitment securities until the delivery date, they may result in a form of leverage to the extent the Fund does not set aside liquid assets to cover the commitment. To guard against the deemed leverage, the Fund monitors the obligations under these transactions on a daily basis and ensures that the Fund has sufficient liquid assets to cover them.
Repurchase Agreements: The Funds may enter into Repurchase Agreements, under the terms of a Master Repurchase Agreement (“MRA”). The MRA permits each Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from each Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of a MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, each Fund receives securities as collateral with a market value in excess of the repurchase price. Upon a bankruptcy or insolvency of the MRA counterparty, the Fund recognizes a liability with respect to such excess collateral to reflect the Fund’s obligation under bankruptcy law to return the excess to the counterparty. There were no repurchase agreements outstanding as of April 30, 2019.
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.
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 3 — Portfolio Investments (Continued)
As with any extensions of credit, the Funds may bear the risk of delay in recovery or even loss of rights in the collateral if the borrowers of the securities fail financially. The Funds earn additional income for lending their securities by investing the cash collateral in short-term investments. The Funds did not lend any securities during the period ended April 30, 2019.
Derivatives:
Options: The Funds may purchase and sell put and call options on a security or an index of securities to enhance investment performance or to protect against changes in market prices. The Funds may also enter into currency options to hedge against or take advantage of changes in currency fluctuations.
A call option gives the holder the right to purchase, and obligates the writer to sell, a security at the strike price at any time before the expiration date. A put option gives the holder the right to sell, and obligates the writer to buy, a security at the exercise price at any time before the expiration date. A Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. A Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If a Fund holds the security underlying the option, the option premium and any transaction costs will reduce any profit the Fund might have realized had it sold the underlying security instead of buying the put option. A Fund may purchase call options to hedge against an increase in the price of securities that the Fund ultimately wants to buy. A Fund may also purchase a call option as a long directional investment hoping to profit from an anticipated increase in the value of the underlying security. In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit a Fund might have realized had it bought the underlying security at the time it purchased the call option.
When a Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the underlying security does not rise (in the case of a call) or fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. Premiums paid for purchasing options that expire are treated as realized losses.
Options traded on a securities or options exchange typically have minimal exposure to counterparty risk. However, an exchange or market may at times find it necessary to impose restrictions on particular types of options transactions, such as opening transactions. If an underlying security ceases to meet qualifications imposed by an exchange or the Options Clearing Corporation, new series of options on that security will no longer be opened to replace expiring series, and opening transactions in existing series may be prohibited.
OTC options are options not traded on exchanges or backed by clearinghouses. Rather, they are entered into directly between a Fund and the counterparty to the option. In the case of an OTC option purchased by a Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result a Fund may be required to remain obligated on an unfavorable OTC option until its expiration.
During the period ended April 30, 2019, TCW Global Real Estate Fund entered into option contracts to hedge the Fund’s investments from market volatility in the real estate sector.
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TCW Funds, Inc.
April 30, 2019 |
Note 4 — Risk Considerations
Market Risk: The Funds’ investments will fluctuate with market conditions, so will the value of your investment in the Funds. You could lose money on your investment in the Funds or the Funds could underperform other investments.
Liquidity Risk: The Funds’ investments in illiquid securities may reduce the returns of the Funds because they may not be able to sell the illiquid securities at an advantageous time or price. Investments in high yield securities, foreign securities, derivatives or other securities with substantial market and/or credit risk tend to have the greatest exposure to liquidity risk. Certain investments in private placements and Rule 144A securities may be considered illiquid investments. The Funds may invest in private placements and Rule 144A securities.
Counterparty Risk: The Funds may be exposed to counterparty risk, the risk that an entity with which the Funds have unsettled or open transactions may not fulfill its obligations.
Investment Style Risk: Certain Funds may also be subject to investment style risk. The Advisor’s investment styles may be out of favor at times or may not produce the best results over short or longer time periods and may increase the volatility of a Fund’s share price.
Equity Risk: Equity securities may include common stock, preferred stock or other securities representing an ownership interest 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 5 — Federal Income Taxes
It is the policy of each Fund to comply with the requirements under Subchapter M of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute all of its net taxable income, including any net realized gains on investments, to its shareholders. Therefore, no federal income tax provision is required.
At April 30, 2019, net unrealized appreciation (depreciation) on investments for federal income tax purposes was as follows (amounts in thousands):
Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation | Cost of Investments for Federal Income Tax Purposes | |||||||||||||
TCW Artificial Intelligence Equity Fund | $ | 480 | $ | (47 | ) | $ | 433 | $ | 2,380 | |||||||
TCW Conservative Allocation Fund | 2,262 | (126 | ) | 2,136 | 27,609 | |||||||||||
TCW Global Real Estate Fund | 500 | (13 | ) | 487 | 5,466 | |||||||||||
TCW New America Premier Equities Fund | 14,016 | (3 | ) | 14,013 | 66,338 | |||||||||||
TCW Relative Value Dividend Appreciation Fund | 87,761 | (19,309 | ) | 68,452 | 271,012 | |||||||||||
TCW Relative Value Large Cap Fund | 74,938 | (8,433 | ) | 66,505 | 144,980 | |||||||||||
TCW Relative Value Mid Cap Fund | 23,447 | (2,539 | ) | 20,908 | 63,399 | |||||||||||
TCW Select Equities Fund | 580,234 | (8,495 | ) | 571,739 | 381,768 |
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 5 — Federal Income Taxes (Continued)
At October 31, 2018, 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 | $ | 1,228 | $ | 1,569 | ||||||
TCW New America Premier Equities Fund | 166 | 297 | 463 | |||||||||
TCW Global Real Estate Fund | 33 | — | 33 | |||||||||
TCW Relative Value Dividend Appreciation Fund | 506 | 25,420 | 25,926 | |||||||||
TCW Relative Value Large Cap Fund | 4,923 | 39,750 | 44,673 | |||||||||
TCW Relative Value Mid Cap Fund | — | 6,240 | 6,240 | |||||||||
TCW Select Equities Fund | — | 117,726 | 117,726 |
For the fiscal year ended October 31, 2018, the tax character of distributions paid was as follows (amounts in thousands):
Ordinary Income | Long-Term Capital Gain | Total Distributions | ||||||||||
TCW Artificial Intelligence Equity Fund | $ | — (1 | ) | $ | — | $ | — (1 | ) | ||||
TCW Conservative Allocation Fund | 510 | 749 | 1,259 | |||||||||
TCW Global Real Estate Fund | 82 | — | 82 | |||||||||
TCW New America Premier Equities Fund | 669 | 8 | 677 | |||||||||
TCW Relative Value Dividend Appreciation Fund | 11,067 | 22,670 | 33,737 | |||||||||
TCW Relative Value Large Cap Fund | 10,302 | 61,295 | 71,597 | |||||||||
TCW Relative Value Mid Cap Fund | 823 | 7,437 | 8,260 | |||||||||
TCW Select Equities Fund | — | 201,824 | 201,824 |
(1) | Amounts rounds to less than $1. |
At October 31, 2018, 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 | $ | 2 | $ | — | $ | 2 | ||||||
TCW Global Real Estate Fund | 581 | 80 | 661 |
The Funds did not have any unrecognized tax benefits at April 30, 2019, nor were there any increases or decreases in unrecognized tax benefits for the period ended April 30, 2019. The Funds are subject to examination by the U.S. Federal and state tax authorities for returns filed for the prior three and four fiscal years, respectively.
Note 6 — Fund Management Fees and Other Expenses
The Funds pay to the Advisor, as compensation for services rendered, facilities furnished and expenses borne by it, the following annual management fees as a percentage of daily net assets:
TCW Artificial Intelligence Equity Fund | 0.70 | % | ||
TCW Global Real Estate Fund | 0.80 | % | ||
TCW New America Premier Equities Fund | 0.65 | % | ||
TCW Relative Value Dividend Appreciation Fund | 0.60 | % | ||
TCW Relative Value Large Cap Fund | 0.60 | % | ||
TCW Relative Value Mid Cap Fund | 0.70 | % | ||
TCW Select Equities Fund | 0.65 | % |
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TCW Funds, Inc.
April 30, 2019 |
Note 6 — Fund Management Fees and Other Expenses (Continued)
Effective November 1, 2018 through December 31, 2018 the management fee was as follows:
TCW Artificial Intelligence Equity Fund | 0.80 | % | ||
TCW New America Premier Equities Fund | 0.80 | % | ||
TCW Relative Value Dividend Appreciation Fund | 0.65 | % | ||
TCW Relative Value Large Cap Fund | 0.65 | % | ||
TCW 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 underlying affiliated funds.
The Advisor limits the operating expenses of the Funds not to exceed the following expense ratios relative to the Funds’ average daily net assets. The expense ratios were effective January 1, 2019.
TCW Artificial Intelligence Equity Fund | ||||
I Class | 0.90 | % (1) | ||
N Class | 1.00 | % (1) | ||
TCW Conservative Allocation Fund | ||||
I Class | 0.85 | % (1) | ||
N Class | 0.85 | % (1) | ||
TCW Global Real Estate Fund | ||||
I Class | 1.00 | % (1) | ||
N Class | 1.15 | % (1) | ||
TCW New America Premier Equities Fund | ||||
I Class | 0.80 | % (1) | ||
N Class | 1.00 | % (1) | ||
TCW Relative Value Dividend Appreciation Fund | ||||
I Class | 0.73 | % (1) | ||
N Class | 0.95 | % (1) | ||
TCW Relative Value Large Cap Fund | ||||
I Class | 0.72 | % (1) | ||
N Class | 0.95 | % (1) | ||
TCW Relative Value Mid Cap Fund | ||||
I Class | 0.90 | % (1) | ||
N Class | 1.00 | % (1) | ||
TCW Select Equities Fund | ||||
I Class | 0.80 | % (1) | ||
N Class | 1.00 | % (1) |
(1) | These limitations are based on an agreement between the Advisor and Company. |
These ratios were in effect from November 1, 2018 through December 31, 2018.
TCW Artificial Intelligence Equity Fund | ||||
I Class | 1.05 | % | ||
N Class | 1.05 | % | ||
TCW New America Premier Equities Fund | ||||
I Class | 1.04 | % | ||
N Class | 1.04 | % | ||
TCW Relative Value Dividend Appreciation Fund | ||||
I Class | 0.80 | % | ||
N Class | 1.00 | % | ||
TCW Relative Value Large Cap Fund | ||||
I Class | 0.80 | % | ||
N Class | 1.00 | % |
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 6 — Fund Management Fees and Other Expenses (Continued)
The amount borne by the Advisor during a fiscal year when the operating expenses of a Fund are in excess of the expense limitation cannot be recaptured in the subsequent fiscal years should the expenses drop below the expense limitation in the subsequent years. The Advisor can only recapture expenses within a given fiscal year for that year’s operating expenses.
Directors’ Fees: Directors who are not affiliated with the Advisor receive compensation from the Funds which are shown on the Statement of Operations. Directors may elect to defer receipt of their fees in accordance with the terms of aNon-Qualified Deferred Compensation Plan. Total accrued and deferred amounts are recorded on the Fund’s books as other liabilities.
Note 7 — Distribution Plan
TCW Funds Distributors LLC (“Distributor”), an affiliate of the Advisor and the Funds, serves as the nonexclusive distributor of each class of the Funds’ shares. The Funds have a distribution plan pursuant to Rule12b-1 under the 1940 Act with respect to the N Class shares of each Fund. Under the terms of the plan, each Fund compensates the Distributor at a rate equal to 0.25% of the average daily net assets of the Fund attributable to its N Class shares for distribution and related services.
Note 8 — Transactions with Affiliates
The ownership percentage of the TCW Conservative Allocation Fund in each of the affiliated underlying funds at April 30, 2019 is as follows:
Name of Affiliated Fund | Ownership Percentage (1) | ||||
Metropolitan West Low Duration Bond Fund | 0.17 | % | |||
Metropolitan West Total Return Bond Fund | 0.00 | % (2) | |||
Metropolitan West Unconstrained Bond Fund | 0.18 | % | |||
TCW Global Bond Fund | 4.36 | % | |||
TCW Global Real Estate Fund | 24.39 | % | |||
TCW New America Premier Equities Fund | 3.88 | % | |||
TCW Relative Value Large Cap Fund | 1.36 | % | |||
TCW Relative Value Mid Cap Fund | 0.38 | % | |||
TCW Select Equities Fund | 0.29 | % | |||
TCW Total Return Bond Fund | 0.06 | % |
(1) | Percentage ownership based on total net assets of the underlying fund. |
(2) | Amount rounds to less than 0.005%. |
The financial statements of the Funds not contained in this report are available by calling800-FUND-TCW(800-386-3829) or by going to the SEC website at www.sec.gov.
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TCW Funds, Inc.
April 30, 2019 |
Note 9 — Purchases and Sales of Securities
Investment transactions (excluding short-term investments) for the six months ended April 30, 2019 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 | $ | 932 | $ | 646 | $ | — | $ | — | ||||||||
TCW Conservative Allocation Fund | 3,168 | 2,457 | — | — | ||||||||||||
TCW Global Real Estate Fund | 4,672 | 2,492 | — | — | ||||||||||||
TCW New America Premier Equities Fund | 56,565 | 19,645 | — | — | ||||||||||||
TCW Relative Value Dividend Appreciation Fund | 26,420 | 208,245 | (1) | — | — | |||||||||||
TCW Relative Value Large Cap Fund | 28,411 | 246,670 | — | — | ||||||||||||
TCW Relative Value Mid Cap Fund | 9,921 | 16,739 | — | — | ||||||||||||
TCW Select Equities Fund | 10,771 | 89,962 | — | — |
(1) | Sales include the Fund’s sale of a security from an affiliated investment account for a total of $72,730 (amount in thousands) in accordance with the provisions set forth in Section 17(a)-7 of the 1940 Act. |
Note 10 — Capital Share Transactions
Transactions in each Fund’s shares were as follows:
TCW Artificial Intelligence Equity Fund | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 48,373 | $ | 578 | 87,472 | $ | 1,068 | ||||||||||
Shares Issued upon Reinvestment of Dividends | — | — | 12 | — | (1) | |||||||||||
Shares Redeemed | (20,769 | ) | (245 | ) | (30,656 | ) | (373 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 27,604 | $ | 333 | 56,828 | $ | 695 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 9,593 | $ | 114 | 20,017 | $ | 250 | ||||||||||
Shares Issued upon Reinvestment of Dividends | — | — | 9 | — | (1) | |||||||||||
Shares Redeemed | (1,732 | ) | (22 | ) | (8,006 | ) | (96 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 7,861 | $ | 92 | 12,020 | $ | 154 | ||||||||||
|
|
|
|
|
|
|
|
(1) | Amount rounds to less than $1. |
TCW Conservative Allocation Fund | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 48,277 | $ | 559 | 91,379 | $ | 1,110 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 155,645 | 1,672 | 102,921 | 1,217 | ||||||||||||
Shares Redeemed | (122,810 | ) | (1,431 | ) | (280,133 | ) | (3,348 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 81,112 | $ | 800 | (85,833 | ) | $ | (1,021 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 1,157 | $ | 14 | 8,674 | $ | 103 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 2,560 | 27 | 1,528 | 18 | ||||||||||||
Shares Redeemed | (7,199 | ) | (83 | ) | (9,614 | ) | (114 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (3,482 | ) | $ | (42 | ) | 588 | $ | 7 | ||||||||
|
|
|
|
|
|
|
|
51
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 10 — Capital Share Transactions (Continued)
TCW Global Real Estate Fund | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 248,959 | $ | 2,472 | 125,773 | $ | 1,281 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 6,315 | 59 | 6,968 | 68 | ||||||||||||
Shares Redeemed | (28,543 | ) | (264 | ) | (101,561 | ) | (993 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 226,731 | $ | 2,267 | 31,180 | $ | 356 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | — | $ | — | 107 | $ | 1 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 995 | 9 | 1,110 | 11 | ||||||||||||
Shares Redeemed | — | — | (1,137 | ) | (11 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 995 | $ | 9 | 80 | $ | 1 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW New America Premier Equities Fund | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 1,906,948 | $ | 33,374 | 788,224 | $ | 13,092 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 26,097 | 394 | 38,162 | 572 | ||||||||||||
Shares Redeemed | (236,779 | ) | (3,864 | ) | (160,059 | ) | (2,567 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 1,696,266 | $ | 29,904 | 666,327 | $ | 11,097 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 552,554 | $ | 9,817 | 152,798 | $ | 2,489 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 5,126 | 78 | 5,974 | 90 | ||||||||||||
Shares Redeemed | (36,679 | ) | (626 | ) | (10,648 | ) | (174 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 521,001 | $ | 9,269 | 148,124 | $ | 2,405 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Relative Value Dividend Appreciation Fund | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 307,132 | $ | 5,044 | 1,170,743 | $ | 22,458 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 364,964 | 5,556 | 349,698 | 6,687 | ||||||||||||
Shares Redeemed | (1,174,308 | ) | (18,922 | ) | (2,788,916 | ) | (54,043 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (502,212 | ) | $ | (8,322 | ) | (1,268,475 | ) | $ | (24,898 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 207,457 | $ | 3,513 | 1,992,134 | $ | 38,575 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,525,981 | 23,601 | 1,359,169 | 26,431 | ||||||||||||
Shares Redeemed | (10,706,989 | ) | (172,202 | ) | (5,592,917 | ) | (109,775 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (8,973,551 | ) | $ | (145,088 | ) | (2,241,614 | ) | $ | (44,769 | ) | ||||||
|
|
|
|
|
|
|
|
52
Table of Contents
TCW Funds, Inc.
April 30, 2019 |
Note 10 — Capital Share Transactions (Continued)
TCW Relative Value Large Cap Fund | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 1,216,084 | $ | 20,824 | 2,750,555 | $ | 60,616 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 2,767,903 | 43,460 | 3,059,339 | 66,999 | ||||||||||||
Shares Redeemed | (13,515,895 | ) | (243,133 | ) | (4,954,321 | ) | (109,165 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (9,531,908 | ) | $ | (178,849 | ) | 855,573 | $ | 18,450 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 46,244 | $ | 813 | 48,027 | $ | 1,057 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 89,401 | 1,396 | 105,507 | 2,305 | ||||||||||||
Shares Redeemed | (102,942 | ) | (1,840 | ) | (171,260 | ) | (3,734 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 32,703 | $ | 369 | (17,726 | ) | $ | (372 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Relative Value Mid Cap Fund | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 173,544 | $ | 3,499 | 396,213 | $ | 10,205 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 304,588 | 5,400 | 260,385 | 6,601 | ||||||||||||
Shares Redeemed | (493,270 | ) | (9,951 | ) | (665,570 | ) | (17,019 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (15,138 | ) | $ | (1,052 | ) | (8,972 | ) | $ | (213 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 16,061 | $ | 317 | 114,082 | $ | 2,889 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 71,892 | 1,239 | 58,853 | 1,452 | ||||||||||||
Shares Redeemed | (175,631 | ) | (3,538 | ) | (101,633 | ) | (2,507 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (87,678 | ) | $ | (1,982 | ) | 71,302 | $ | 1,834 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Select Equities Fund | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 2,211,340 | $ | 54,398 | 5,631,218 | $ | 160,868 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 3,365,894 | 73,073 | 4,718,127 | 118,189 | ||||||||||||
Shares Redeemed | (3,504,357 | ) | (86,776 | ) | (8,316,559 | ) | (231,015 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 2,072,877 | $ | 40,695 | 2,032,786 | $ | 48,042 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 533,299 | $ | 12,300 | 513,203 | $ | 13,228 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 966,328 | 18,698 | 1,337,789 | 30,448 | ||||||||||||
Shares Redeemed | (869,284 | ) | (19,454 | ) | (1,353,097 | ) | (34,486 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 630,343 | $ | 11,544 | 497,895 | $ | 9,190 | ||||||||||
|
|
|
|
|
|
|
|
Note 11 — Restricted Securities
The Funds are permitted to invest in securities that have legal or contractual restrictions on resale. These securities may be sold privately, but are required to be registered before being sold to the public (exemption rules apply). Private placement securities are generally considered to be restricted except for those securities traded between qualified institutional investors under the provisions of Rule 144A of the Securities Act of 1933 (the “Securities Act”). However, the Company considers 144A securities to be
53
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 11 — Restricted Securities (Continued)
restricted if those securities have been deemed illiquid. Disposal of these securities may involve time consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. There were no restricted securities held by the Funds at April 30, 2019.
Note 12 — Committed Line Of Credit
The Company has entered into a $100,000,000 committed revolving line of credit agreement renewed annually with the State Street Bank and Trust Company (the “Bank”) for temporary borrowing purposes. The interest rate on borrowing is the higher of the Federal Funds rate or the overnight LIBOR rate, plus 1.25%. There were no borrowings from the line of credit as of or during the period ended April 30, 2019. The Funds pay the Bank a commitment fee equal to 0.25% per annum on the daily unused portion of the committed line amount. The commitment fees incurred by the Funds are presented in the Statements of Operations. The commitment fees are allocated to each applicable portfolio in proportion to its relative average daily net assets and the interest expenses are charged directly to the applicable portfolio.
Note 13 — Indemnifications
Under the Company’s organizational documents, its Officers and Directors may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Company. In addition, the Company entered into an agreement with each of the Directors which provides that the Company will indemnify and hold harmless each Director against any expenses actually and reasonably incurred by 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 andBy-Laws, the Maryland General Corporation Law, the Securities Act, and the 1940 Act, each as now or hereinafter in force. Additionally, in the normal course of business, the Company enters into agreements with service providers that may contain indemnification clauses. The Company’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Company that have not yet occurred. However, based on experience, the Company expects the risk of loss to be remote. The Company has not accrued any liability in connection with such indemnification.
Note 14 — New Accounting Pronouncement
In August 2018, the FASB released Accounting Standards Update (ASU)2018-13, which changes the fair value measurement disclosure requirements of Topic 820. The amendments in this ASU are the result of a broader disclosure project called FASB Concept Statement, Conceptual Framework for Financial Reporting — Chapter 8: Notes to Financial Statements. The objective and primary focus of the project are to improve the effectiveness of disclosures in the notes to the financial statements by facilitating clear communication of the information required by GAAP that is most important to users of the financial statements. The ASU is effective for all entities for fiscal years beginning after December 15, 2019, including interim periods therein. Early adoption is permitted for any eliminated or modified disclosures upon issuance of the ASU. Management is currently evaluating the impact of the ASU to the financial statements.
54
Table of Contents
TCW Artificial Intelligence Equity Fund
Financial Highlights — I Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | August 31, 2017 (Commencement of Operations) through October 31, 2017 | ||||||||||
Net Asset Value per Share, Beginning of Period | $ | 11.18 | $ | 10.64 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (Loss) from Investment Operations: | ||||||||||||
Net Investment Loss | (0.01 | ) | (0.04 | ) | (0.00 | ) (1) | ||||||
Net Realized and Unrealized Gain on Investments(2) | 1.78 | 0.58 | 0.64 | |||||||||
|
|
|
|
|
| |||||||
Total from Investment Operations | 1.77 | 0.54 | 0.64 | |||||||||
|
|
|
|
|
| |||||||
Less Distributions: | ||||||||||||
Distributions from Net Investment Income | — | (0.00 | ) (1) | — | ||||||||
|
|
|
|
|
| |||||||
Net Asset Value per Share, End of Period | $ | 12.95 | $ | 11.18 | $ | 10.64 | ||||||
|
|
|
|
|
| |||||||
Total Return | 15.83 | % (4) | 5.09 | % | 6.40 | % (3) | ||||||
Ratios/Supplemental Data: | ||||||||||||
Net Assets, End of Period (in thousands) | $ | 1,938 | $ | 1,364 | $ | 695 | ||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||
Before Expense Reimbursement | 13.86 | % (5) | 8.32 | % | 23.66 | % (5) | ||||||
After Expense Reimbursement | 0.94 | % (5) | 1.05 | % | 1.05 | % (5) | ||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | (0.12 | )% (5) | (0.34 | )% | 0.23 | % (5) | ||||||
Portfolio Turnover Rate | 29.98 | % (4) | 74.22 | % | 13.05 | % (3) |
(1) | Amount rounds to less than $0.01 per share. |
(2) | Computed using average shares outstanding throughout the period. |
(3) | For the period August 31, 2017 (commencement of operations) through October 31, 2017. |
(4) | For the six months ended April 30, 2019 and is not indicative of a full year’s operating results. |
(5) | Annualized. |
See accompanying notes to financial statements.
55
Table of Contents
TCW Artificial Intelligence Equity Fund
Financial Highlights — N Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | August 31, 2017 (Commencement of Operations) through October 31, 2017 | ||||||||||
Net Asset Value per Share, Beginning of Period | $ | 11.17 | $ | 10.64 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (Loss) from Investment Operations: | ||||||||||||
Net Investment Loss | (0.01 | ) | (0.04 | ) | (0.00 | ) (1) | ||||||
Net Realized and Unrealized Gain on Investments(2) | 1.78 | 0.57 | 0.64 | |||||||||
|
|
|
|
|
| |||||||
Total from Investment Operations | 1.77 | 0.53 | 0.64 | |||||||||
|
|
|
|
|
| |||||||
Less Distributions: | ||||||||||||
Distributions from Net Investment Income | — | (0.00 | ) (1) | — | ||||||||
|
|
|
|
|
| |||||||
Net Asset Value per Share, End of Period | $ | 12.94 | $ | 11.17 | $ | 10.64 | ||||||
|
|
|
|
|
| |||||||
Total Return(3) | 15.85 | % (4) | 5.00 | % | 6.40 | % (3) | ||||||
Ratios/Supplemental Data: | ||||||||||||
Net Assets, End of Period (in thousands) | $ | 905 | $ | 693 | $ | 532 | ||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||
Before Expense Reimbursement | 10.87 | % (5) | 9.60 | % | 26.07 | % (5) | ||||||
After Expense Reimbursement | 1.02 | % (5) | 1.05 | % | 1.05 | % (5) | ||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | (0.19 | )% (5) | (0.33 | )% | 0.25 | % (5) | ||||||
Portfolio Turnover Rate | 29.98 | % (4) | 74.22 | % | 13.05 | % (3) |
(1) | Amount rounds to less than $0.01 per share. |
(2) | Computed using average shares outstanding throughout the period. |
(3) | For the period August 31, 2017 (commencement of operations) through October 31, 2017. |
(4) | For the six months ended April 30, 2019 and is not indicative of a full year’s operating results. |
(5) | Annualized. |
See accompanying notes to financial statements.
56
Table of Contents
TCW Conservative Allocation Fund
Financial Highlights — I Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 11.68 | $ | 12.17 | $ | 12.13 | $ | 12.50 | $ | 12.24 | $ | 11.66 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income(1) | 0.13 | 0.20 | 0.15 | 0.17 | 0.13 | 0.11 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.60 | (0.19 | ) | 0.67 | (0.07 | ) | 0.33 | 0.67 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.73 | 0.01 | 0.82 | 0.10 | 0.46 | 0.78 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.21 | ) | (0.20 | ) | (0.29 | ) | (0.19 | ) | (0.14 | ) | (0.20 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.51 | ) | (0.30 | ) | (0.49 | ) | (0.28 | ) | (0.06 | ) | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.72 | ) | (0.50 | ) | (0.78 | ) | (0.47 | ) | (0.20 | ) | (0.20 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 11.69 | $ | 11.68 | $ | 12.17 | $ | 12.13 | $ | 12.50 | $ | 12.24 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 6.80 | % (2) | 0.04 | % | 7.28 | % | 0.78 | % | 3.88 | % | 6.66 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 28,913 | $ | 27,925 | $ | 30,144 | $ | 28,982 | $ | 33,909 | $ | 30,746 | ||||||||||||
Ratio of Expenses to Average Net Assets: (3) | 0.40 | % (4) | 0.37 | % | 0.36 | % | 0.30 | % | 0.25 | % | 0.29 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.23 | % (4) | 1.68 | % | 1.26 | % | 1.41 | % | 1.01 | % | 0.94 | % | ||||||||||||
Portfolio Turnover Rate | 8.64 | % (2) | 19.79 | % | 55.53 | % | 37.62 | % | 30.24 | % | 40.56 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2019 and is not indicative of a full year’s operating results. |
(3) | Does not include expenses of the underlying affiliated funds. |
(4) | Annualized. |
See accompanying notes to financial statements.
57
Table of Contents
TCW Conservative Allocation Fund
Financial Highlights — N Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 11.67 | $ | 12.15 | $ | 12.07 | $ | 12.44 | $ | 12.17 | $ | 11.61 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income(1) | 0.11 | 0.15 | 0.11 | 0.11 | 0.04 | 0.05 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.61 | (0.18 | ) | 0.66 | (0.08 | ) | 0.35 | 0.66 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.72 | (0.03 | ) | 0.77 | 0.03 | 0.39 | 0.71 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.17 | ) | (0.15 | ) | (0.20 | ) | (0.12 | ) | (0.06 | ) | (0.15 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.51 | ) | (0.30 | ) | (0.49 | ) | (0.28 | ) | (0.06 | ) | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.68 | ) | (0.45 | ) | (0.69 | ) | (0.40 | ) | (0.12 | ) | (0.15 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 11.71 | $ | 11.67 | $ | 12.15 | $ | 12.07 | $ | 12.44 | $ | 12.17 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 6.69 | % (2) | (0.35 | )% | 6.74 | % | 0.31 | % | 3.31 | % | 6.07 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 479 | $ | 518 | $ | 532 | $ | 1,597 | $ | 1,876 | $ | 807 | ||||||||||||
Ratio of Expenses to Average Net Assets:(3) |
| |||||||||||||||||||||||
Before Expense Reimbursement | 9.41 | % (4) | 5.14 | % | 3.30 | % | 1.54 | % | 1.61 | % | 3.20 | % | ||||||||||||
After Expense Reimbursement | 0.74 | % (4) | 0.76 | % | 0.81 | % | 0.82 | % | 0.84 | % | 0.85 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.88 | % (4) | 1.28 | % | 0.89 | % | 0.89 | % | 0.36 | % | 0.41 | % | ||||||||||||
Portfolio Turnover Rate | 8.64 | % (2) | 19.79 | % | 55.53 | % | 37.62 | % | 30.24 | % | 40.56 | % |
(1) Computed | using average shares outstanding throughout the period. |
(2) For | the six months ended April 30, 2019 and is not indicative of a full year’s operating results. |
(3) Does | not include expenses of the underlying affiliated funds. |
(4) Annualized. |
See accompanying notes to financial statements.
58
Table of Contents
TCW Global Real Estate Fund
Financial Highlights — I Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, | November 28, 2014 (Commencement of Operations) through October 31, 2015 | ||||||||||||||||||
2018 | 2017 | 2016 | ||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 9.30 | $ | 10.10 | $ | 9.42 | $ | 9.71 | $ | 10.00 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.28 | 0.25 | 0.25 | 0.30 | 0.21 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.68 | (0.85 | ) | 0.70 | (0.26 | ) | (0.27 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.96 | (0.60 | ) | 0.95 | 0.04 | (0.06 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.16 | ) | (0.20 | ) | (0.27 | ) | (0.29 | ) | (0.23 | ) | ||||||||||
Distributions from Net Realized Gain | — | — | — | (0.01 | ) | — | ||||||||||||||
Distributions from Return of Capital | — | — | — | (0.03 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.16 | ) | (0.20 | ) | (0.27 | ) | (0.33 | ) | (0.23 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Period | $ | 10.10 | $ | 9.30 | $ | 10.10 | $ | 9.42 | $ | 9.71 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 10.56 | % (3) | (6.06 | )% | 10.28 | % | 0.31 | % | (0.62 | )% (2) | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 5,426 | $ | 2,886 | $ | 2,818 | $ | 3,499 | $ | 4,320 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 3.74 | % (4) | 3.78 | % | 4.38 | % | 3.29 | % | 5.28 | % (4) | ||||||||||
After Expense Reimbursement | 1.00 | % (4) | 1.12 | % | 1.37 | % | 1.40 | % | 1.43 | % (4) | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 5.82 | % (4) | 2.55 | % | 2.57 | % | 3.14 | % | 2.27 | % (4) | ||||||||||
Portfolio Turnover Rate | 61.87 | % (3) | 121.67 | % | 74.51 | % | 68.69 | % | 23.58 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period November 28, 2014 (Commencement of Operations) through October 31, 2015. |
(3) | For the six months ended April 30, 2019 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
59
Table of Contents
TCW Global Real Estate Fund
Financial Highlights — N Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, | November 28, 2014 (Commencement of Operations) through October 31, 2015 | ||||||||||||||||||
2018 | 2017 | 2016 | ||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 9.30 | $ | 10.10 | $ | 9.42 | $ | 9.70 | $ | 10.00 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income(1) | 0.31 | 0.24 | 0.25 | 0.32 | 0.24 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.65 | (0.85 | ) | 0.70 | (0.27 | ) | (0.31 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.96 | (0.61 | ) | 0.95 | 0.05 | (0.07 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.16 | ) | (0.19 | ) | (0.27 | ) | (0.29 | ) | (0.23 | ) | ||||||||||
Distributions from Net Realized Gain | — | — | — | (0.01 | ) | — | ||||||||||||||
Distributions from Return of Capital | — | — | — | (0.03 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.16 | ) | (0.19 | ) | (0.27 | ) | (0.33 | ) | (0.23 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Period | $ | 10.10 | $ | 9.30 | $ | 10.10 | $ | 9.42 | $ | 9.70 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 10.48 | % (3) | (6.14 | )% | 10.28 | % | 0.41 | % | (0.72 | )% (2) | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 592 | $ | 536 | $ | 581 | $ | 517 | $ | 510 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 8.43 | % (4) | 7.65 | % | 7.92 | % | 6.66 | % | 9.21 | % (4) | ||||||||||
After Expense Reimbursement | 1.15 | % (4) | 1.22 | % | 1.37 | % | 1.40 | % | 1.43 | % (4) | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 6.57 | % (4) | 2.46 | % | 2.51 | % | 3.34 | % | 2.58 | % (4) | ||||||||||
Portfolio Turnover Rate | 61.87 | % (3) | 121.67 | % | 74.51 | % | 68.69 | % | 23.58 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period November 28, 2014 (Commencement of Operations) through October 31, 2015. |
(3) | For the six months ended April 30, 2019 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
60
Table of Contents
TCW New America Premier Equities Fund
Financial Highlights — I Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, | January 29, 2016 (Commencement of Operations) through October 31, 2016 | ||||||||||||||
2018 | 2017 | |||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 16.27 | $ | 15.24 | $ | 11.23 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net Investment Income (Loss)(1) | 0.06 | (0.02 | ) | 0.01 | 0.08 | |||||||||||
Net Realized and Unrealized Gain on Investments | 2.93 | 1.59 | 4.22 | 1.15 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from Investment Operations | 2.99 | 1.57 | 4.23 | 1.23 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Distributions: | ||||||||||||||||
Distributions from Net Investment Income | (0.01 | ) | — | (0.05 | ) | — | ||||||||||
Distributions from Net Realized Gain | (0.21 | ) | (0.54 | ) | (0.17 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions | (0.22 | ) | (0.54 | ) | (0.22 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net Asset Value per Share, End of Period | $ | 19.04 | $ | 16.27 | $ | 15.24 | $ | 11.23 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Return | 18.68 | % (3) | 10.60 | % | 38.41 | % | 12.30 | % (2) | ||||||||
Ratios/Supplemental Data: | ||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 65,646 | $ | 28,486 | $ | 16,527 | $ | 3,143 | ||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||
Before Expense Reimbursement | 1.02 | % (4) | 1.28 | % | 1.79 | % | 4.72 | % (4) | ||||||||
After Expense Reimbursement | 0.86 | % (4) | 1.04 | % | 1.04 | % | 1.05 | % (4) | ||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 0.66 | % (4) | (0.13 | )% | 0.11 | % | 1.03 | % (4) | ||||||||
Portfolio Turnover Rate | 41.63 | % (3) | 49.68 | % | 114.48 | % | 73.83 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period January 29, 2016 (commencement of operations) through October 31, 2016. |
(3) | For the six months ended April 30, 2019 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
61
Table of Contents
TCW New America Premier Equities Fund
Financial Highlights — N Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, | January 29, 2016 (Commencement of Operations) through October 31, 2016 | ||||||||||||||
2018 | 2017 | |||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 16.27 | $ | 15.24 | $ | 11.23 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net Investment Income (Loss)(1) | 0.04 | (0.02 | ) | 0.01 | 0.08 | |||||||||||
Net Realized and Unrealized Gain on Investments | 2.94 | 1.59 | 4.22 | 1.15 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from Investment Operations | 2.98 | 1.57 | 4.23 | 1.23 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Distributions: | ||||||||||||||||
Distributions from Net Investment Income | (0.01 | ) | — | (0.05 | ) | — | ||||||||||
Distributions from Net Realized Gain | (0.21 | ) | (0.54 | ) | (0.17 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions | (0.22 | ) | (0.54 | ) | (0.22 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net Asset Value per Share, End of Period | $ | 19.03 | $ | 16.27 | $ | 15.24 | $ | 11.23 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Return | 18.62 | % (3) | 10.60 | % | 38.41 | % | 12.30 | % (2) | ||||||||
Ratios/Supplemental Data: | ||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 15,623 | $ | 4,879 | $ | 2,313 | $ | 1,128 | ||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||
Before Expense Reimbursement | 1.55 | % (4) | 2.14 | % | 3.64 | % | 6.08 | % (4) | ||||||||
After Expense Reimbursement | 1.01 | % (4) | 1.04 | % | 1.04 | % | 1.05 | % (4) | ||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 0.52 | % (4) | (0.13 | )% | 0.11 | % | 0.98 | % (4) | ||||||||
Portfolio Turnover Rate | 41.63 | % (3) | 49.68 | % | 114.48 | % | 73.83 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period January 29, 2016 (commencement of operations) through October 31, 2016. |
(3) | For the six months ended April 30, 2019 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
62
Table of Contents
TCW Relative Value Dividend Appreciation Fund
Financial Highlights — I Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 17.47 | $ | 19.14 | $ | 16.95 | $ | 16.49 | $ | 16.71 | $ | 15.11 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income(1) | 0.20 | 0.35 | 0.48 | 0.35 | 0.30 | 0.27 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 1.02 | (0.90 | ) | 2.17 | 0.41 | (0.24 | ) | 1.61 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 1.22 | (0.55 | ) | 2.65 | 0.76 | 0.06 | 1.88 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.19 | ) | (0.40 | ) | (0.46 | ) | (0.30 | ) | (0.28 | ) | (0.28 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.92 | ) | (0.72 | ) | — | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (1.11 | ) | (1.12 | ) | (0.46 | ) | (0.30 | ) | (0.28 | ) | (0.28 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 17.58 | $ | 17.47 | $ | 19.14 | $ | 16.95 | $ | 16.49 | $ | 16.71 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 7.94 | % (2) | (3.28 | )% | 15.69 | % | 4.66 | % | 0.40 | % | 12.49 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 86,871 | $ | 95,108 | $ | 128,498 | $ | 165,331 | $ | 175,694 | $ | 195,400 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 0.78 | % (3) | 0.78 | % | 0.78 | % | 0.87 | % | 0.86 | % | 0.86 | % | ||||||||||||
After Expense Reimbursement | 0.75 | % (3) | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.42 | % (3) | 1.84 | % | 2.60 | % | 2.11 | % | 1.81 | % | 1.67 | % | ||||||||||||
Portfolio Turnover Rate | 6.59 | % (2) | 18.48 | % | 23.45 | % | 19.13 | % | 17.95 | % | 17.33 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2019 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
63
Table of Contents
TCW Relative Value Dividend Appreciation Fund
Financial Highlights — N Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 17.77 | $ | 19.46 | $ | 17.23 | $ | 16.76 | $ | 16.99 | $ | 15.34 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (1) | 0.19 | 0.32 | 0.43 | 0.31 | 0.26 | 0.23 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 1.04 | (0.93 | ) | 2.23 | 0.43 | (0.25 | ) | 1.63 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 1.23 | (0.61 | ) | 2.66 | 0.74 | 0.01 | 1.86 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.18 | ) | (0.36 | ) | (0.43 | ) | (0.27 | ) | (0.24 | ) | (0.21 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.92 | ) | (0.72 | ) | — | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (1.10 | ) | (1.08 | ) | (0.43 | ) | (0.27 | ) | (0.24 | ) | (0.21 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 17.90 | $ | 17.77 | $ | 19.46 | $ | 17.23 | $ | 16.76 | $ | 16.99 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 7.80 | % (2) | (3.52 | )% | 15.46 | % | 4.43 | % | 0.10 | % | 12.19 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 253,436 | $ | 411,123 | $ | 493,766 | $ | 876,421 | $ | 878,544 | $ | 970,397 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 1.09 | % (3) | 1.05 | % | 1.05 | % | 1.15 | % | 1.14 | % | 1.14 | % | ||||||||||||
After Expense Reimbursement | 0.97 | % (3) | 1.00 | % | 1.00 | % | 1.11 | % | N/A | N/A | ||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.21 | % (3) | 1.62 | % | 2.24 | % | 1.86 | % | 1.53 | % | 1.40 | % | ||||||||||||
Portfolio Turnover Rate | 6.59 | % (2) | 18.48 | % | 23.45 | % | 19.13 | % | 17.95 | % | 17.33 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2019 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
64
Table of Contents
TCW Relative Value Large Cap Fund
Financial Highlights — I Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 19.82 | $ | 24.30 | $ | 21.38 | $ | 21.99 | $ | 22.09 | $ | 19.47 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income(1) | 0.17 | 0.28 | 0.49 | 0.32 | 0.26 | 0.21 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.83 | (1.18 | ) | 3.96 | 0.19 | (0.14 | ) | 2.65 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 1.00 | (0.90 | ) | 4.45 | 0.51 | 0.12 | 2.86 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.31 | ) | (0.47 | ) | (0.41 | ) | (0.25 | ) | (0.22 | ) | (0.24 | ) | ||||||||||||
Distributions from Net Realized Gain | (1.99 | ) | (3.11 | ) | (1.12 | ) | (0.87 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (2.30 | ) | (3.58 | ) | (1.53 | ) | (1.12 | ) | (0.22 | ) | (0.24 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 18.52 | $ | 19.82 | $ | 24.30 | $ | 21.38 | $ | 21.99 | $ | 22.09 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 7.21 | %(2) | (5.11 | )% | 21.55 | % | 2.61 | % | 0.50 | % | 14.79 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 199,185 | $ | 402,035 | $ | 472,078 | $ | 480,174 | $ | 667,957 | $ | 700,484 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 0.77 | %(3) | 0.77 | % | 0.77 | % | 0.88 | % | 0.88 | % | 0.88 | % | ||||||||||||
After Expense Reimbursement | 0.74 | %(3) | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.86 | %(3) | 1.28 | % | 2.11 | % | 1.57 | % | 1.14 | % | 1.02 | % | ||||||||||||
Portfolio Turnover Rate | 8.35 | %(2) | 20.47 | % | 24.44 | % | 14.71 | % | 21.60 | % | 18.77 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2019 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
65
Table of Contents
TCW Relative Value Large Cap Fund
Financial Highlights — N Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 19.74 | $ | 24.21 | $ | 21.31 | $ | 21.91 | $ | 22.04 | $ | 19.44 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income(1) | 0.15 | 0.23 | 0.44 | 0.28 | 0.19 | 0.16 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.84 | (1.18 | ) | 3.94 | 0.19 | (0.14 | ) | 2.65 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.99 | (0.95 | ) | 4.38 | 0.47 | 0.05 | 2.81 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.27 | ) | (0.41 | ) | (0.36 | ) | (0.20 | ) | (0.18 | ) | (0.21 | ) | ||||||||||||
Distributions from Net Realized Gain | (1.99 | ) | (3.11 | ) | (1.12 | ) | (0.87 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (2.26 | ) | (3.52 | ) | (1.48 | ) | (1.07 | ) | (0.18 | ) | (0.21 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 18.47 | $ | 19.74 | $ | 24.21 | $ | 21.31 | $ | 21.91 | $ | 22.04 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 7.11 | %(2) | (5.35 | )% | 21.27 | % | 2.42 | % | 0.20 | % | 14.52 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 12,773 | $ | 13,003 | $ | 16,373 | $ | 19,530 | $ | 25,084 | $ | 29,589 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 1.27 | %(3) | 1.21 | % | 1.16 | % | 1.23 | % | 1.20 | % | 1.12 | % | ||||||||||||
After Expense Reimbursement | 0.95 | %(3) | 0.99 | % | 1.00 | % | 1.10 | % | 1.16 | % | N/A | |||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.62 | %(3) | 1.05 | % | 1.93 | % | 1.35 | % | 0.86 | % | 0.77 | % | ||||||||||||
Portfolio Turnover Rate | 8.35 | %(2) | 20.47 | % | 24.44 | % | 14.71 | % | 21.60 | % | 18.77 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2019 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
66
Table of Contents
TCW Relative Value Mid Cap Fund
Financial Highlights — I Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 22.44 | $ | 25.96 | $ | 20.02 | $ | 22.43 | $ | 26.62 | $ | 26.56 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (1) | 0.09 | 0.12 | 0.11 | 0.18 | 0.17 | 0.13 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.66 | (1.56 | ) | 5.96 | 0.34 | (1.16 | ) | 2.70 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.75 | (1.44 | ) | 6.07 | 0.52 | (0.99 | ) | 2.83 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.15 | ) | (0.13 | ) | (0.13 | ) | (0.16 | ) | (0.12 | ) | (0.14 | ) | ||||||||||||
Distributions from Net Realized Gain | (1.62 | ) | (1.95 | ) | — | (2.77 | ) | (3.08 | ) | (2.63 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (1.77 | ) | (2.08 | ) | (0.13 | ) | (2.93 | ) | (3.20 | ) | (2.77 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 21.42 | $ | 22.44 | $ | 25.96 | $ | 20.02 | $ | 22.43 | $ | 26.62 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 4.94 | % (2) | (6.48 | )% | 30.40 | % | 3.53 | % | (4.58 | )% | 11.09 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 68,913 | $ | 72,527 | $ | 84,136 | $ | 74,840 | $ | 93,356 | $ | 114,823 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 0.93 | % (3) | 0.92 | % | 0.99 | % | 0.98 | % | 0.96 | % | 0.95 | % | ||||||||||||
After Expense Reimbursement | 0.90 | % (3) | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.89 | % (3) | 0.48 | % | 0.45 | % | 0.96 | % | 0.68 | % | 0.49 | % | ||||||||||||
Portfolio Turnover Rate | 11.94 | % (2) | 22.60 | % | 31.93 | % | 17.81 | % | 23.15 | % | 21.67 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2019 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
67
Table of Contents
TCW Relative Value Mid Cap Fund
Financial Highlights — N Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 21.82 | $ | 25.28 | $ | 19.50 | $ | 21.90 | $ | 26.08 | $ | 26.07 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income(1) | 0.08 | 0.09 | 0.07 | 0.14 | 0.10 | 0.06 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.64 | (1.52 | ) | 5.80 | 0.32 | (1.12 | ) | 2.65 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.72 | (1.43 | ) | 5.87 | 0.46 | (1.02 | ) | 2.71 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.11 | ) | (0.08 | ) | (0.09 | ) | (0.09 | ) | (0.08 | ) | (0.07 | ) | ||||||||||||
Distributions from Net Realized Gain | (1.62 | ) | (1.95 | ) | — | (2.77 | ) | (3.08 | ) | (2.63 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (1.73 | ) | (2.03 | ) | (0.09 | ) | (2.86 | ) | (3.16 | ) | (2.70 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 20.81 | $ | 21.82 | $ | 25.28 | $ | 19.50 | $ | 21.90 | $ | 26.08 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 4.93 | % (2) | (6.61 | )% | 30.15 | % | 3.30 | % | (4.78 | )% | 10.80 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 15,376 | $ | 18,040 | $ | 19,095 | $ | 16,839 | $ | 19,559 | $ | 28,458 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.39 | % (3) | 1.31 | % | 1.37 | % | 1.35 | % | 1.30 | % | 1.27 | % | ||||||||||||
After Expense Reimbursement | 1.00 | % (3) | 1.04 | % | 1.16 | % | 1.20 | % | 1.21 | % | 1.20 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.79 | % (3) | 0.36 | % | 0.29 | % | 0.74 | % | 0.44 | % | 0.23 | % | ||||||||||||
Portfolio Turnover Rate | 11.94 | % (2) | 22.60 | % | 31.93 | % | 17.81 | % | 23.15 | % | 21.67 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2019 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
68
Table of Contents
TCW Select Equities Fund
Financial Highlights — I Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 27.13 | $ | 30.42 | $ | 26.06 | $ | 29.65 | $ | 26.71 | $ | 24.84 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Loss (1) | (0.03 | ) | (0.08 | ) | (0.05 | ) | (0.10 | ) | (0.02 | ) | (0.03 | ) | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 3.95 | 3.37 | 5.99 | (1.42 | ) | 3.80 | 2.71 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 3.92 | 3.29 | 5.94 | (1.52 | ) | 3.78 | 2.68 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | — | — | — | — | — | (0.00 | ) (2) | |||||||||||||||||
Distributions from Net Realized Gain | (3.64 | ) | (6.58 | ) | (1.58 | ) | (2.07 | ) | (0.84 | ) | (0.81 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (3.64 | ) | (6.58 | ) | (1.58 | ) | (2.07 | ) | (0.84 | ) | (0.81 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 27.41 | $ | 27.13 | $ | 30.42 | $ | 26.06 | $ | 29.65 | $ | 26.71 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 17.99 | % (3) | 12.59 | % | 24.47 | % | (5.56 | )% | 14.54 | % | 11.01 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 805,141 | $ | 740,485 | $ | 768,535 | $ | 1,264,622 | $ | 1,629,090 | $ | 1,611,400 | ||||||||||||
Ratio of Expenses to Average Net Assets | 0.82 | % (4) | 0.87 | % | 0.88 | % | 0.89 | % | 0.88 | % | 0.86 | % | ||||||||||||
Ratio of Net Investment Loss to Average Net Assets | (0.26 | )% (4) | (0.29 | )% | (0.18 | )% | (0.38 | )% | (0.08 | )% | (0.11 | )% | ||||||||||||
Portfolio Turnover Rate | 1.24 | % (3) | 15.43 | % | 17.95 | % | 14.05 | % | 27.19 | % | 25.79 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Amount rounds to less than $0.01 per share. |
(3) | For the six months ended April 30, 2019 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
69
Table of Contents
TCW Select Equities Fund
Financial Highlights — N Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 24.61 | $ | 28.23 | $ | 24.35 | $ | 27.91 | $ | 25.26 | $ | 23.59 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Loss (1) | (0.05 | ) | (0.13 | ) | (0.10 | ) | (0.16 | ) | (0.09 | ) | (0.10 | ) | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 3.49 | 3.09 | 5.56 | (1.33 | ) | 3.58 | 2.58 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 3.44 | 2.96 | 5.46 | (1.49 | ) | 3.49 | 2.48 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Realized Gain | (3.64 | ) | (6.58 | ) | (1.58 | ) | (2.07 | ) | (0.84 | ) | (0.81 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 24.41 | $ | 24.61 | $ | 28.23 | $ | 24.35 | $ | 27.91 | $ | 25.26 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 17.87 | % (2) | 12.36 | % | 24.20 | % | (5.81 | )% | 14.22 | % | 10.73 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 147,575 | $ | 133,252 | $ | 138,807 | $ | 151,174 | $ | 274,026 | $ | 227,231 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.11 | % (3) | 1.15 | % | 1.16 | % | 1.16 | % | 1.14 | % | 1.13 | % | ||||||||||||
After Expense Reimbursement | 1.01 | % (3) | 1.08 | % | 1.11 | % | 1.14 | % | N/A | N/A | ||||||||||||||
Ratio of Net Investment Loss to Average Net Assets | (0.46) | % (3) | (0.50 | )% | (0.39 | )% | (0.64 | )% | (0.33 | )% | (0.40 | )% | ||||||||||||
Portfolio Turnover Rate | 1.24 | % (2) | 15.43 | % | 17.95 | % | 14.05 | % | 27.19 | % | 25.79 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2019 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
70
Table of Contents
Shareholder Expenses (Unaudited)
As a shareholder of a Fund, you incur ongoing operational costs of the Fund, including management fees and other fund expenses. The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in a Fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from November 1, 2018 to April 30, 2019 (181 days).
Actual Expenses The first line under each Fund in the table below provides information about the actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your Fund under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes The second line under each Fund in the table below provides information about the hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account value and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
TCW Funds, Inc. | Beginning Account Value November 1, 2018 | Ending Account Value April 30, 2019 | Annualized Expense Ratio | Expenses Paid During Period (November 1, 2018 to April 30, 2019) | ||||||||||||
TCW Artificial Intelligence Equity Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,158.30 | 0.94 | % | $ | 5.03 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.13 | 0.94 | % | 4.71 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,158.50 | 1.02 | % | $ | 5.46 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.74 | 1.02 | % | 5.11 | |||||||||||
TCW Conservative Allocation Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,068.00 | 0.40 | % (1) | $ | 2.05 | (1) | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.81 | 0.40 | % (1) | 2.01 | (1) | ||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,066.90 | 0.74 | % (1) | $ | 3.79 | (1) | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.13 | 0.74 | % (1) | 3.71 | (1) | ||||||||||
TCW Global Real Estate Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,105.60 | 1.00 | % | $ | 5.22 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.84 | 1.00 | % | 5.01 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,104.80 | 1.15 | % | $ | 6.00 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.09 | 1.15 | % | 5.76 |
71
Table of Contents
TCW Funds, Inc.
Shareholder Expenses (Unaudited) (Continued)
TCW Funds, Inc. | Beginning Account Value November 1, 2018 | Ending Account Value April 30, 2019 | Annualized Expense Ratio | Expenses Paid During Period (November 1, 2018 to April 30, 2019) | ||||||||||||
TCW New America Premier Equities Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,186.80 | 0.86 | % | $ | 4.66 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.53 | 0.86 | % | 4.31 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,186.20 | 1.01 | % | $ | 5.47 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.79 | 1.01 | % | 5.06 | |||||||||||
TCW Relative Value Dividend Appreciation Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,079.40 | 0.75 | % | $ | 3.87 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.08 | 0.75 | % | 3.76 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,078.00 | 0.97 | % | $ | 5.00 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.98 | 0.97 | % | 4.86 | |||||||||||
TCW Relative Value Large Cap Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,072.10 | 0.74 | % | $ | 3.80 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.13 | 0.74 | % | 3.71 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,071.10 | 0.95 | % | $ | 4.88 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.08 | 0.95 | % | 4.76 | |||||||||||
TCW Relative Value Mid Cap Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,049.40 | 0.90 | % | $ | 4.57 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.33 | 0.90 | % | 4.51 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,049.30 | 1.00 | % | $ | 5.08 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.84 | 1.00 | % | 5.01 | |||||||||||
TCW Select Equities Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,179.90 | 0.82 | % | $ | 4.43 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.73 | 0.82 | % | 4.11 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,178.70 | 1.01 | % | $ | 5.46 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.79 | 1.01 | % | 5.06 |
(1) | Does not include expenses of the underlying affiliated investments. |
72
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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 calling800-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 FormN-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 calling800-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 FormN-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 FormN-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 FormN-Q.
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Table of Contents
TCW Funds, Inc.
865 South Figueroa Street
Los Angeles, California 90017
800 FUND TCW
(800 386 3829)
www.TCW.com
INVESTMENT ADVISOR
TCW Investment Management Company LLC
865 South Figueroa Street
Los Angeles, California 90017
TRANSFER AGENT
U.S. Bancorp Fund Services, LLC
615 E. Michigan Street
Milwaukee, Wisconsin 53202
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
555 West 5th Street
Los Angeles, California 90013
CUSTODIAN & ADMINISTRATOR
State Street Bank & Trust Company
One Lincoln Street
Boston, Massachusetts 02111
DISTRIBUTOR
TCW Funds Distributors LLC
865 South Figueroa Street
Los Angeles, California 90017
DIRECTORS
Patrick C. Haden
Director and Chairman of the Board
Samuel P. Bell
Director
David S. DeVito
Director
Peter McMillan
Director
Victoria B. Rogers
Director
Marc I. Stern
Director
Andrew Tarica
Director
OFFICERS
David S. DeVito
President and Chief Executive Officer
Meredith S. Jackson
Senior Vice President,
General Counsel and Secretary
Richard M. Villa
Treasurer and Principal Financial and Accounting Officer
Jeffrey A. Engelsman
Chief Compliance Officer and Anti-Money Laundering Officer
Patrick W. Dennis
Vice President and Assistant Secretary
Lisa Eisen
Tax Officer
Eric W. Chan
Assistant Treasurer
TCW FAMILY OF FUNDS
EQUITY FUNDS
TCW Artificial Intelligence Equity Fund
TCW Global Real Estate Fund
TCW New America Premier Equities Fund
TCW Relative Value Dividend Appreciation Fund
TCW Relative Value Large Cap Fund
TCW Relative Value Mid Cap Fund
TCW Select Equities Fund
ASSET ALLOCATION FUND
TCW Conservative Allocation Fund
FIXED INCOME FUNDS
TCW Core Fixed Income Fund
TCW Enhanced Commodity Strategy Fund
TCW Global Bond Fund
TCW High Yield Bond Fund
TCW Short Term Bond Fund
TCW Total Return Bond Fund
INTERNATIONAL FUNDS
TCW Developing Markets Equity Fund
TCW Emerging Markets Income Fund
TCW Emerging Markets Local Currency Income Fund
TCW Emerging Markets Multi-Asset Opportunities Fund
TCW International Small Cap Fund
FUNDsarEQ0419
Table of Contents
APRIL 30
SEMI-ANNUAL
R E P O R T
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
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website (www.tcw.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds or your financial intermediary electronically by contacting your financial intermediary (such as a broker-dealer or bank) if you invest through a financial intermediary, or by calling 1-800-FUND-TCW (1-800-386-3829) if you invest directly with the Funds.
Beginning on January 1, 2019, you may elect to receive all future reports in paper free of charge. You can call1-800-FUND-TCW (1-800-386-3829), if you invest directly with the Funds, or contact your financial intermediary, if you invest though a financial intermediary, to inform the Funds or the financial intermediary that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all Funds held directly with TCW or through your financial intermediary.
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TCW Funds, Inc.
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Proxy Voting Guidelines and Availability of Quarterly Portfolio Schedule | 116 |
Table of Contents
|
David S. DeVito President, Chief Executive Officer and Director |
Dear Valued Investors,
I am pleased to present the semi-annual report for the TCW Funds, Inc. covering thesix-month period ended April 30, 2019. I would like to express our appreciation for your continued investment in the TCW Funds as well as welcome new shareholders to our fund family. As of April 30, 2019, the TCW Funds held total assets of approximately $15.1 billion.
This report contains information outlining the performance and a list of portfolio holdings as of April 30, 2019 for the TCW Funds’ Fixed Income Funds.
Economic Review and Market Environment
Reeling from 2018’s fourth quarter, over which risk markets tumbled and, as if to dare the Fed to maintain its ongoing tightening regime, US Treasury issues rallied sharply, it took only a few days into the new year for a dovish pivot to change sentiment. Foreshadowed by Fed Chair Powell’s January 3rd “low inflation” and “patient” comments, the Federal Open Market Committee (FOMC) meeting concluded later in the month with an unchanged funds rate and substantially softened messaging, suppressing volatility and providing cover for higher valuations. The runway clear, risk assets remediated significantly over the first four months of 2019. The S&P 500 Index gained 9.8% for thesix-month period, while the Bloomberg Barclays Aggregate and High Yield Indexes both returned 5.5%, the latter on an impressive 168 basis points of spread narrowing from the start of the year as risk aversion subsided. Other indicators of the reversal in sentiment included a nearly 6% gain for emerging markets debt to open the year after a rugged 2018, and oil, which ran up more than 40%year-to-date (though likely for technical reasons as much as anything as economic fundamentals faded).
Given the Fed’s transmitted pause to hikes and the resulting calm (and then some) to the markets, theup-move in valuations was in keeping with post-crisis (or
should we say post-Volcker?) norms. Digging into the details of the fixed income market over the period, corporates drove performance in the Aggregate Index, as strong inflows paired with the renewed risk appetite and spreads ultimately ended over 40 basis points lower fromyear-end levels. Relevantly, it is worth pointing out that investor unease remained under the surface, as high yield’sCCC-rated cohort did not rally into the start of the year to the same extent as BBs, indicating that although investors remain yield-hungry, higher default risk in lower quality tiers is priced in. Securitized sectors also recovered from Q4 softness, though generally trailed credit. Agency mortgage backed securities (MBS) outpaced Treasuries by 13 basis points, with performance tempered largely due to negative technical factors. In particular, the Fed’s reduced purchases of agency MBS has had a negative impact on the To Be Announced (TBA) market, as the worst to deliver bonds are no longer being purchased by the Fed, depressing TBA valuations versus specified pools. Further weakness stemmed from uncertainty regarding implementation of the single security platform, the joint initiative between Fannie Mae and Freddie Mac to develop a single MBS that will be issued by the government-sponsored enterprises (GSEs). Finally,non-agency MBS and asset-backed securities (ABS) also bounced back from December with modest gains as benign fundamentals remained intact, while both agency andnon-agency commercial mortgage-backed securities (CMBS) outpaced Treasuries, by nearly 70 and 95 basis points respectively.
The Economy and Market Ahead
The Fed’s surprisingly dovish shift to start the year effectively signaled that this might just be the end of the hiking cycle. While the Fed may think they are in a holding pattern and will take future actions based on incoming economic data, their recent capitulation to the markets has yet again demonstrated that markets may dictate the Fed’s future course of action more than the Fed itself lets on. Meanwhile, the inverted yield curve demonstrates that
1
Table of Contents
Letter to Shareholders (Continued) |
bond investors have a distinctively cautious view of future growth, which stands in stark contrast with the heady equity market rally of Q1. Regardless of the signaling effects, an inverted or flat curve weighs on banks’ willingness to extend credit as net interest margins are pressured, limiting credit creation on ago-forward basis and exacerbating liquidity conditions. Outside of the domestic concerns, there are numerous global sources of volatility with few identifiable catalysts to drive positive momentum. Considering these factors, we believe that fixed income valuations have not fully priced in long-term fundamentals and investors are not being compensated to take on these risks, in our opinion. Echoing a theme of the past several quarters, credit conditions and pricing remain decidedly late cycle.
Overall sector positioning emphasizes regulated sectors like U.S. financials and utilities, and select industrials with stable cash flows, strong balance sheets, and solid asset coverage, though we will continue to look for opportunities to add exposure as spreads widen toward median levels. Where held, high yield credit exposure represents a very small position, made up of higher quality holdings that we believe are robust enough to weather anticipated volatility going forward. Despite aggressive underwriting in certain sectors of the market and relatively tight spreads overall, senior parts of the structured products markets are a reasonable place to find protection from credit excesses while still generating incremental return.Non-agency MBS continues to present attractive risk-adjusted return potential despite a shrinking market. Agency MBS offers better liquidity characteristics, but there is risk as the Fed continues to shrink its position. Finally, super senior ABS and CMBS markets are still solid fundamentally, but tighter spreads have made the sectors less compelling. Within CMBS, the emphasis remains on agency-backed issues, though exposure may be trimmed in favor of other opportunities. Thenon-agency CMBS allocation continues to emphasize seasoned issues at the top of the capital structure and single asset single borrower deals to avoid the underwriting challenges faced by current vintagenon-agency CMBS. Consistent with this defensive posture,
the ABS allocation favors sectors that offer strong structures and solid collateral such as federally guaranteed student loans and top of the capital structure CLOs. Finally, agency MBS positioning is focused on specified pools over TBAs given the increasing expense and negative convexity of TBA rolls.
TCW Total Return Bond Fund Receives 2019 Lipper Fund Award
On March 8, 2019, the TCW Total Return Bond Fund was named the Best U.S. Mortgage Fund for the10-Year Period ended 11/30/18 by Lipper Fund Awards from Refinitiv. The TCW Total Return Bond Fund has been a consistent recipient of the Best U.S. Mortgage Fund designation, for various time periods, by Lipper Fund Awards for over 10 years. For more than three decades, the Refinitiv Lipper Fund Awards have recognized funds and fund management firms for their consistently strong risk-adjusted three-, five- andten-year performance relative to their peers. Based on Lipper’s quantitative, proprietary methodology, the awards reflect a truly independent and uncompromised assessment of fund performance.
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 at800-386-3829.
I look forward to further correspondence with you through our annual report later this year.
Sincerely,
David S. DeVito
President, Chief Executive Officer and Director
2
Table of Contents
Performance Summary (Unaudited)
NAV | Six Months Return as of April 30, 2019 | Total Return Annualized as of April 30, 2019 (1) | Inception Date | |||||||||||||||||||||||||
1-Year | 5-Year | 10-Year | Since Inception | |||||||||||||||||||||||||
TCW Core Fixed Income Fund | ||||||||||||||||||||||||||||
I Class | $ | 10.93 | 5.41 | % | 5.26 | % | 2.30 | % | 4.94 | % | 5.87 | % (2) | 01/01/90 | (3) | ||||||||||||||
N Class | $ | 10.90 | 5.31 | % | 5.04 | % | 2.02 | % | 4.62 | % | 4.89 | % | 02/26/99 | |||||||||||||||
TCW Enhanced Commodity Strategy Fund |
| |||||||||||||||||||||||||||
I Class | $ | 4.92 | (0.64 | )% | (7.53 | )% | (8.48 | )% | N/A | (6.57 | )% | 03/31/11 | ||||||||||||||||
N Class | $ | 4.92 | (0.64 | )% | (7.53 | )% | (8.50 | )% | N/A | (6.57 | )% | 03/31/11 | ||||||||||||||||
TCW Global Bond Fund | ||||||||||||||||||||||||||||
I Class | $ | 9.81 | 4.86 | % | 1.74 | % | 0.52 | % | N/A | 2.17 | % | 11/30/11 | ||||||||||||||||
N Class | $ | 9.81 | 4.83 | % | 1.71 | % | 0.52 | % | N/A | 2.17 | % | 11/30/11 | ||||||||||||||||
TCW High Yield Bond Fund | ||||||||||||||||||||||||||||
I Class | $ | 6.36 | 5.93 | % | 7.02 | % | 4.37 | % | 8.66 | % | 7.13 | % (2) | 02/01/89 | (3) | ||||||||||||||
N Class | $ | 6.41 | 5.96 | % | 6.93 | % | 4.15 | % | 8.43 | % | 5.29 | % | 02/26/99 | |||||||||||||||
TCW Short Term Bond Fund | ||||||||||||||||||||||||||||
I Class | $ | 8.60 | 1.99 | % | 2.81 | % | 1.07 | % | 2.43 | % | 3.88 | % (2) | 02/01/90 | (3) | ||||||||||||||
TCW Total Return Bond Fund | ||||||||||||||||||||||||||||
I Class | $ | 9.76 | 5.10 | % | 5.08 | % | 2.49 | % | 5.85 | % | 6.22 | % | 06/17/93 | |||||||||||||||
N Class | $ | 10.06 | 4.97 | % | 4.75 | % | 2.18 | % | 5.54 | % | 5.66 | % | 02/26/99 |
(1) | Past performance is not indicative of future performance. |
(2) | Performance data includes the performance of the predecessor limited partnership for periods before the Fund’s registration became effective. The predecessor limited partnership was not registered under the Investment Company Act of 1940, as amended (the “1940 Act”), and therefore, was not subjected to certain investment restrictions that are imposed by the 1940 Act. If the limited partnership had been registered under the 1940 Act, the limited partnership’s performance may have been lower. |
(3) | Inception date of the predecessor entity. |
3
Table of Contents
Schedule of Investments (Unaudited)
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 98.3% of Net Assets |
| |||||||||||
CORPORATE BONDS — 26.2% |
| |||||||||||
Aerospace/Defense — 0.3% | ||||||||||||
L3 Technologies, Inc. |
| |||||||||||
4.40% | 06/15/28 | $ | 2,470,000 | $ | 2,608,365 | |||||||
Northrop Grumman Corp. |
| |||||||||||
3.25% | 01/15/28 | 1,170,000 | 1,151,634 | |||||||||
|
| |||||||||||
3,759,999 | ||||||||||||
|
| |||||||||||
Agriculture — 0.4% | ||||||||||||
BAT Capital Corp. |
| |||||||||||
3.56% | 08/15/27 | 3,144,000 | 2,999,325 | |||||||||
4.39% | 08/15/37 | 470,000 | 427,805 | |||||||||
Reynolds American, Inc. |
| |||||||||||
4.45% | 06/12/25 | 610,000 | 629,755 | |||||||||
|
| |||||||||||
4,056,885 | ||||||||||||
|
| |||||||||||
Airlines — 0.5% | ||||||||||||
America West Airlines, Inc. Pass-Through Certificates(01-1) (EETC) |
| |||||||||||
7.10% | 10/02/22 | 1,281,148 | 1,331,112 | |||||||||
Continental Airlines, Inc. Pass-Through Certificates(00-2-A1) (EETC) |
| |||||||||||
7.71% | 10/02/22 | 9,931 | 10,339 | |||||||||
Continental Airlines, Inc. Pass-Through Certificates,(07-1-A) (EETC) |
| |||||||||||
5.98% | 10/19/23 | 796,463 | 840,228 | |||||||||
Continental Airlines, Inc. Pass-Through Certificates,(09-2-A1) (EETC) |
| |||||||||||
7.25% | 05/10/21 | 541,465 | 552,971 | |||||||||
Northwest Airlines LLC Pass-Through Certificates,(01-1-A1) (EETC) |
| |||||||||||
7.04% | 10/01/23 | 420,635 | 448,271 | |||||||||
US Airways Group, Inc. Pass-Through Certificates(12-1-A) (EETC) |
| |||||||||||
5.90% | 04/01/26 | 1,452,932 | 1,576,958 | |||||||||
US Airways Group, Inc. Pass-Through Certificates,(10-1A) (EETC) |
| |||||||||||
6.25% | 10/22/24 | 333,634 | 360,570 | |||||||||
US Airways Group, Inc. Pass-Through Certificates,(12-2-A) (EETC) |
| |||||||||||
4.63% | 12/03/26 | 601,091 | 626,098 | |||||||||
|
| |||||||||||
5,746,547 | ||||||||||||
|
| |||||||||||
Auto Manufacturers — 1.1% | ||||||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
2.34% | 11/02/20 | 1,500,000 | 1,475,724 | |||||||||
2.43% | 06/12/20 | 650,000 | 644,446 | |||||||||
3.48% (1) | 10/12/21 | 2,265,000 | 2,224,448 | |||||||||
3.82% (3 mo. USD LIBOR + 1.080%) (2) | 08/03/22 | 1,000,000 | 969,730 | |||||||||
5.60% | 01/07/22 | 3,740,000 | 3,910,945 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Auto Manufacturers (Continued) | ||||||||||||
8.13% | 01/15/20 | $ | 1,265,000 | $ | 1,308,436 | |||||||
General Motors Co. |
| |||||||||||
6.60% | 04/01/36 | 1,545,000 | 1,698,922 | |||||||||
General Motors Financial Co., Inc. |
| |||||||||||
2.40% | 05/09/19 | 555,000 | 554,973 | |||||||||
|
| |||||||||||
12,787,624 | ||||||||||||
|
| |||||||||||
Banks — 4.6% | ||||||||||||
Bank of America Corp. |
| |||||||||||
2.74% (2.738% to 01/23/21 then 3 mo. USD LIBOR + 0.37%) (2) | 01/23/22 | 1,105,000 | 1,101,666 | |||||||||
3.00% (3.004% to 02/20/22 then 3 mo. USD LIBOR + 0.79%) (2) | 12/20/23 | 4,161,000 | 4,146,069 | |||||||||
3.09% (3.093% to 10/01/24 then 3 Mo. USD LIBOR + 1.09%) (2) | 10/01/25 | 2,350,000 | 2,332,374 | |||||||||
3.71% (3 mo. USD LIBOR + 1.512%) (2) | 04/24/28 | 4,110,000 | 4,144,499 | |||||||||
Citigroup, Inc. |
| |||||||||||
8.50% | 05/22/19 | 1,485,000 | 1,489,828 | |||||||||
Discover Bank |
| |||||||||||
7.00% | 04/15/20 | 1,375,000 | 1,427,353 | |||||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||||
2.63% | 04/25/21 | 920,000 | 917,000 | |||||||||
3.81% (3.814% to 04/23/28 then 3 mo. USD LIBOR + 1.158%) (2) | 04/23/29 | 1,615,000 | 1,605,138 | |||||||||
3.85% | 07/08/24 | 2,235,000 | 2,290,005 | |||||||||
4.22% (4.223% to 05/01/28 the 3 mo. USD LIBOR + 1.301%) (2) | 05/01/29 | 610,000 | 622,954 | |||||||||
6.00% | 06/15/20 | 50,000 | 51,726 | |||||||||
JPMorgan Chase & Co. |
| |||||||||||
3.22% (3 mo. USD LIBOR + 1.155%) (2) | 03/01/25 | 2,985,000 | 2,978,199 | |||||||||
3.90% | 07/15/25 | 2,195,000 | 2,274,631 | |||||||||
4.02% (4.023% to 12/05/23 then 3 mo.USD LIBOR + 1.00%) (2) | 12/05/24 | 3,060,000 | 3,174,642 | |||||||||
Lloyds Banking Group PLC (United Kingdom) |
| |||||||||||
2.91% (2.907% to 11/07/22 then 3 mo. USD LIBOR + 0.81%) (2) | 11/07/23 | 1,600,000 | 1,568,451 | |||||||||
4.05% | 08/16/23 | 1,540,000 | 1,578,686 |
See accompanying notes to financial statements.
4
Table of Contents
TCW Core Fixed Income Fund
April 30, 2019 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Banks (Continued) | ||||||||||||
Lloyds TSB Bank PLC (United Kingdom) |
| |||||||||||
5.80% (3) | 01/13/20 | $ | 780,000 | $ | 796,832 | |||||||
Morgan Stanley |
| |||||||||||
3.52% (3 mo. USD LIBOR + 0.930%) (2) | 07/22/22 | 4,595,000 | 4,629,745 | |||||||||
3.77% (3.772% to 01/24/28 then 3 mo. USD LIBOR + 1.14%) (2) | 01/24/29 | 865,000 | 873,564 | |||||||||
PNC Bank NA |
| |||||||||||
2.25% | 07/02/19 | 1,840,000 | 1,838,795 | |||||||||
Santander UK Group Holdings PLC (United Kingdom) |
| |||||||||||
3.37% (3.373% to 01/05/23 then 3 mo. USD LIBOR + 1.08%) (2) | 01/05/24 | 2,460,000 | 2,440,460 | |||||||||
Santander UK PLC (United Kingdom) |
| |||||||||||
3.40% | 06/01/21 | 2,050,000 | 2,076,403 | |||||||||
Wells Fargo & Co. |
| |||||||||||
2.60% | 07/22/20 | 2,165,000 | 2,161,420 | |||||||||
2.63% | 07/22/22 | 1,840,000 | 1,824,709 | |||||||||
3.00% | 04/22/26 | 4,015,000 | 3,923,916 | |||||||||
3.55% | 09/29/25 | 850,000 | 866,686 | |||||||||
|
| |||||||||||
53,135,751 | ||||||||||||
|
| |||||||||||
Beverages — 0.4% | ||||||||||||
Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide, Inc. |
| |||||||||||
4.90% (3) | 02/01/46 | 2,285,000 | 2,308,328 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. |
| |||||||||||
4.75% | 01/23/29 | 1,205,000 | 1,291,242 | |||||||||
Bacardi, Ltd. |
| |||||||||||
4.70% (3) | 05/15/28 | 1,240,000 | 1,267,977 | |||||||||
|
| |||||||||||
4,867,547 | ||||||||||||
|
| |||||||||||
Biotechnology — 0.7% | ||||||||||||
Amgen, Inc. |
| |||||||||||
4.40% | 05/01/45 | 1,590,000 | 1,564,103 | |||||||||
Baxalta, Inc. |
| |||||||||||
2.88% | 06/23/20 | 548,000 | 547,493 | |||||||||
Biogen, Inc. |
| |||||||||||
5.20% | 09/15/45 | 1,073,000 | 1,145,279 | |||||||||
Celgene Corp. |
| |||||||||||
3.90% | 02/20/28 | 2,295,000 | 2,347,774 | |||||||||
5.00% | 08/15/45 | 2,020,000 | 2,167,617 | |||||||||
|
| |||||||||||
7,772,266 | ||||||||||||
|
| |||||||||||
Chemicals — 0.2% | ||||||||||||
International Flavors & Fragrances, Inc. |
| |||||||||||
5.00% | 09/26/48 | 1,735,000 | 1,831,260 | |||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Commercial Services — 0.2% | ||||||||||||
IHS Markit, Ltd. |
| |||||||||||
4.75% (3) | 02/15/25 | $ | 750,000 | $ | 786,495 | |||||||
4.75% | 08/01/28 | 1,750,000 | 1,826,720 | |||||||||
|
| |||||||||||
2,613,215 | ||||||||||||
|
| |||||||||||
Diversified Financial Services — 1.0% | ||||||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Ireland) |
| |||||||||||
4.50% | 05/15/21 | 1,690,000 | 1,725,912 | |||||||||
AerCap Ireland Capital, Ltd. / AerCap Global Aviation Trust (Netherlands) |
| |||||||||||
5.00% | 10/01/21 | 590,000 | 614,338 | |||||||||
Air Lease Corp. |
| |||||||||||
4.75% | 03/01/20 | 3,120,000 | 3,164,698 | |||||||||
GE Capital International Funding Co. Unlimited Co. (Ireland) |
| |||||||||||
2.34% | 11/15/20 | 3,415,000 | 3,371,879 | |||||||||
4.42% | 11/15/35 | 425,000 | 398,796 | |||||||||
International Lease Finance Corp. |
| |||||||||||
6.25% | 05/15/19 | 1,380,000 | 1,381,593 | |||||||||
Raymond James Financial, Inc. |
| |||||||||||
4.95% | 07/15/46 | 965,000 | 1,032,368 | |||||||||
|
| |||||||||||
11,689,584 | ||||||||||||
|
| |||||||||||
Electric — 2.8% | ||||||||||||
Appalachian Power Co. |
| |||||||||||
3.30% | 06/01/27 | 690,000 | 682,660 | |||||||||
4.45% | 06/01/45 | 690,000 | 712,539 | |||||||||
Dominion Energy, Inc. |
| |||||||||||
3.03%(1)(3) | 12/01/20 | 4,595,000 | 4,593,621 | |||||||||
Duke Energy Florida LLC |
| |||||||||||
2.10% | 12/15/19 | 896,250 | 893,943 | |||||||||
Duke Energy Progress LLC |
| |||||||||||
3.70% | 10/15/46 | 2,575,000 | 2,485,857 | |||||||||
El Paso Electric Co. |
| |||||||||||
3.30% | 12/15/22 | 2,065,000 | 2,034,285 | |||||||||
Emera US Finance LP |
| |||||||||||
2.15% | 06/15/19 | 3,384,000 | 3,382,382 | |||||||||
Entergy Mississippi, Inc. |
| |||||||||||
3.10% | 07/01/23 | 2,755,000 | 2,765,827 | |||||||||
Indiana Michigan Power Co. |
| |||||||||||
4.55% | 03/15/46 | 920,000 | 977,439 | |||||||||
KCP&L Greater Missouri Operations Co. |
| |||||||||||
8.27% | 11/15/21 | 1,100,000 | 1,242,515 | |||||||||
Metropolitan Edison Co. |
| |||||||||||
3.50% (3) | 03/15/23 | 3,030,000 | 3,055,050 | |||||||||
MidAmerican Energy Co. |
| |||||||||||
5.80% | 10/15/36 | 1,655,000 | 2,021,790 | |||||||||
NextEra Energy Capital Holdings, Inc. |
| |||||||||||
3.18% (3 mo. USD LIBOR + 55.0%) (2) | 08/28/21 | 2,000,000 | 1,998,828 |
See accompanying notes to financial statements.
5
Table of Contents
TCW Core Fixed Income Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Electric (Continued) | ||||||||||||
Niagara Mohawk Power Corp. |
| |||||||||||
2.72% (3) | 11/28/22 | $ | 920,000 | $ | 917,556 | |||||||
Public Service Co. of Oklahoma |
| |||||||||||
4.40% | 02/01/21 | 1,840,000 | 1,889,330 | |||||||||
Puget Energy, Inc. |
| |||||||||||
6.00% | 09/01/21 | 1,820,000 | 1,938,442 | |||||||||
Tucson Electric Power Co. |
| |||||||||||
5.15% | 11/15/21 | 1,000,000 | 1,043,968 | |||||||||
|
| |||||||||||
32,636,032 | ||||||||||||
|
| |||||||||||
Energy-Alternate Sources — 0.1% | ||||||||||||
Alta Wind Holdings LLC |
| |||||||||||
7.00% (3)(4)(5) | 06/30/35 | 937,740 | 1,002,005 | |||||||||
|
| |||||||||||
Food — 0.6% | ||||||||||||
Kraft Heinz Foods Co. |
| |||||||||||
4.38% | 06/01/46 | 1,560,000 | 1,388,267 | |||||||||
5.00% | 06/04/42 | 378,000 | 365,150 | |||||||||
5.38% | 02/10/20 | 143,000 | 145,532 | |||||||||
Kroger Co. (The) |
| |||||||||||
5.40% | 01/15/49 | 1,320,000 | 1,381,763 | |||||||||
Mondelez International Holdings Netherlands BV (Netherlands) |
| |||||||||||
2.00% (3) | 10/28/21 | 920,000 | 899,280 | |||||||||
3.19% (3 mo. USD LIBOR + 0.610%) (2)(3) | 10/28/19 | 2,205,000 | 2,209,103 | |||||||||
|
| |||||||||||
6,389,095 | ||||||||||||
|
| |||||||||||
Gas — 0.3% | ||||||||||||
CenterPoint Energy Resources Corp. |
| |||||||||||
6.25% | 02/01/37 | 1,610,000 | 1,917,677 | |||||||||
KeySpan Gas East Corp. |
| |||||||||||
5.82% (3) | 04/01/41 | 1,551,000 | 1,875,295 | |||||||||
|
| |||||||||||
3,792,972 | ||||||||||||
|
| |||||||||||
Healthcare-Products — 0.3% | ||||||||||||
Becton Dickinson and Co. |
| |||||||||||
3.48% (1) | 12/29/20 | 2,756,000 | 2,756,557 | |||||||||
|
| |||||||||||
Healthcare-Services — 1.8% | ||||||||||||
Anthem, Inc. |
| |||||||||||
3.65% | 12/01/27 | 2,405,000 | 2,381,306 | |||||||||
Cigna Corp. |
| |||||||||||
3.05% | 10/15/27 | 775,000 | 727,783 | |||||||||
Fresenius Medical Care US Finance II, Inc. |
| |||||||||||
5.63% (3) | 07/31/19 | 4,700,000 | 4,724,542 | |||||||||
Hartford HealthCare Corp. |
| |||||||||||
5.75% | 04/01/44 | 2,545,000 | 2,859,386 | |||||||||
HCA, Inc. |
| |||||||||||
5.25% | 04/15/25 | 1,770,000 | 1,898,005 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Healthcare-Services (Continued) | ||||||||||||
NYU Hospitals Center |
| |||||||||||
4.43% | 07/01/42 | $ | 2,755,000 | $ | 2,900,673 | |||||||
Saint Barnabas Health Care System |
| |||||||||||
4.00% | 07/01/28 | 3,290,000 | 3,334,242 | |||||||||
Sutter Health |
| |||||||||||
2.29% | 08/15/53 | 2,270,000 | 2,234,352 | |||||||||
|
| |||||||||||
21,060,289 | ||||||||||||
|
| |||||||||||
Insurance — 0.5% | ||||||||||||
Berkshire Hathaway Finance Corp. |
| |||||||||||
4.40% | 05/15/42 | 500,000 | 533,625 | |||||||||
Farmers Exchange Capital |
| |||||||||||
7.20% (3) | 07/15/48 | 1,495,000 | 1,718,541 | |||||||||
Farmers Exchange Capital II |
| |||||||||||
6.15% (3 mo. USD LIBOR + 3.744%) (2)(3) | 11/01/53 | 2,065,000 | 2,208,449 | |||||||||
MetLife, Inc. |
| |||||||||||
5.70% | 06/15/35 | 300,000 | 368,566 | |||||||||
Prudential Financial, Inc. |
| |||||||||||
4.50% | 11/15/20 | 920,000 | 945,130 | |||||||||
|
| |||||||||||
5,774,311 | ||||||||||||
|
| |||||||||||
Media — 0.9% | ||||||||||||
CBS Corp. |
| |||||||||||
3.70% | 06/01/28 | 2,395,000 | 2,347,451 | |||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital |
| |||||||||||
3.75% | 02/15/28 | 721,000 | 700,732 | |||||||||
4.91% | 07/23/25 | 2,500,000 | 2,647,498 | |||||||||
5.75% | 04/01/48 | 200,000 | 212,410 | |||||||||
Comcast Corp. |
| |||||||||||
4.60% | 10/15/38 | 3,820,000 | 4,118,519 | |||||||||
NBCUniversal Media LLC |
| |||||||||||
5.15% | 04/30/20 | 200,000 | 204,737 | |||||||||
|
| |||||||||||
10,231,347 | ||||||||||||
|
| |||||||||||
Miscellaneous Manufacturers — 1.0% | ||||||||||||
General Electric Capital Corp. |
| |||||||||||
3.15% | 09/07/22 | 287,000 | 286,310 | |||||||||
General Electric Co. |
| |||||||||||
3.16% (3 mo. USD LIBOR + 0.480%) (2) | 08/15/36 | 3,045,000 | 2,369,287 | |||||||||
4.63% | 01/07/21 | 2,080,000 | 2,134,890 | |||||||||
4.65% | 10/17/21 | 1,205,000 | 1,249,282 | |||||||||
5.50% | 01/08/20 | 2,660,000 | 2,705,253 | |||||||||
5.55% | 01/05/26 | 1,840,000 | 1,988,926 | |||||||||
6.75% | 03/15/32 | 1,000,000 | 1,170,457 | |||||||||
|
| |||||||||||
11,904,405 | ||||||||||||
|
|
See accompanying notes to financial statements.
6
Table of Contents
TCW Core Fixed Income Fund
April 30, 2019 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Oil & Gas — 0.3% | ||||||||||||
Petroleos Mexicanos |
| |||||||||||
6.50% | 03/13/27 | $ | 1,105,000 | $ | 1,118,592 | |||||||
6.50% | 01/23/29 | 2,495,000 | 2,495,000 | |||||||||
|
| |||||||||||
3,613,592 | ||||||||||||
|
| |||||||||||
Packaging & Containers — 0.4% | ||||||||||||
Amcor Finance USA, Inc. |
| |||||||||||
3.63% (3) | 04/28/26 | 1,380,000 | 1,365,662 | |||||||||
WestRock MWV LLC |
| |||||||||||
7.38% | 09/01/19 | 1,840,000 | 1,866,442 | |||||||||
WRKCo, Inc. |
| |||||||||||
4.90% | 03/15/29 | 1,225,000 | 1,314,593 | |||||||||
|
| |||||||||||
4,546,697 | ||||||||||||
|
| |||||||||||
Pharmaceuticals — 1.8% | ||||||||||||
AbbVie, Inc. |
| |||||||||||
3.60% | 05/14/25 | 953,000 | 959,409 | |||||||||
4.40% | 11/06/42 | 650,000 | 606,070 | |||||||||
4.45% | 05/14/46 | 50,000 | 46,604 | |||||||||
Actavis, Inc. |
| |||||||||||
3.25% | 10/01/22 | 936,000 | 933,988 | |||||||||
Bayer US Finance II LLC |
| |||||||||||
4.38% (3) | 12/15/28 | 2,840,000 | 2,847,851 | |||||||||
CVS Health Corp. |
| |||||||||||
3.88% | 07/20/25 | 3,600,000 | 3,624,840 | |||||||||
5.05% | 03/25/48 | 3,870,000 | 3,824,878 | |||||||||
Halfmoon Parent, Inc. |
| |||||||||||
4.13% (3) | 11/15/25 | 4,545,000 | 4,701,625 | |||||||||
Shire Acquisitions Investments Ireland DAC (Ireland) |
| |||||||||||
1.90% | 09/23/19 | 3,525,000 | 3,511,785 | |||||||||
|
| |||||||||||
21,057,050 | ||||||||||||
|
| |||||||||||
Pipelines — 1.9% | ||||||||||||
Enbridge Energy Partners LP |
| |||||||||||
5.88% | 10/15/25 | 333,000 | 377,741 | |||||||||
Energy Transfer Partners LP |
| |||||||||||
5.15% | 03/15/45 | 1,100,000 | 1,073,806 | |||||||||
5.95% | 10/01/43 | 630,000 | 670,758 | |||||||||
Florida Gas Transmission Co. LLC |
| |||||||||||
7.90% (3) | 05/15/19 | 1,150,000 | 1,151,879 | |||||||||
Panhandle Eastern Pipe Line Co. LP |
| |||||||||||
8.13% | 06/01/19 | 760,000 | 762,742 | |||||||||
Plains All American Pipeline LP / PAA Finance Corp. |
| |||||||||||
4.65% | 10/15/25 | 2,115,000 | 2,215,722 | |||||||||
Rockies Express Pipeline LLC |
| |||||||||||
4.95% (3) | 07/15/29 | 1,000,000 | 1,001,969 | |||||||||
Ruby Pipeline LLC |
| |||||||||||
6.00% (3) | 04/01/22 | 1,851,515 | 1,818,267 | |||||||||
Sabine Pass Liquefaction LLC |
| |||||||||||
5.75% | 05/15/24 | 905,000 | 994,457 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Pipelines (Continued) | ||||||||||||
Southern Natural Gas Co. LLC |
| |||||||||||
7.35% | 02/15/31 | $ | 2,380,000 | $ | 2,917,580 | |||||||
Sunoco Logistics Partners Operations LP |
| |||||||||||
5.40% | 10/01/47 | 825,000 | 832,924 | |||||||||
TC PipeLines LP |
| |||||||||||
4.38% | 03/13/25 | 1,840,000 | 1,885,163 | |||||||||
Tennessee Gas Pipeline Co. |
| |||||||||||
8.38% | 06/15/32 | 1,920,000 | 2,520,274 | |||||||||
Texas Eastern Transmission LP |
| |||||||||||
2.80% (3) | 10/15/22 | 920,000 | 907,183 | |||||||||
TransCanada PipeLines, Ltd. (Canada) |
| |||||||||||
6.10% | 06/01/40 | 375,000 | 444,645 | |||||||||
Williams Partners LP |
| |||||||||||
3.90% | 01/15/25 | 920,000 | 938,922 | |||||||||
6.30% | 04/15/40 | 1,150,000 | 1,331,829 | |||||||||
|
| |||||||||||
21,845,861 | ||||||||||||
|
| |||||||||||
REIT — 2.0% | ||||||||||||
American Campus Communities Operating Partnership LP |
| |||||||||||
3.35% | 10/01/20 | 1,840,000 | 1,848,283 | |||||||||
4.13% | 07/01/24 | 425,000 | 436,053 | |||||||||
AvalonBay Communities, Inc. |
| |||||||||||
3.95% | 01/15/21 | 920,000 | 935,889 | |||||||||
Boston Properties LP |
| |||||||||||
2.75% | 10/01/26 | 1,000,000 | 952,067 | |||||||||
3.20% | 01/15/25 | 1,605,000 | 1,600,122 | |||||||||
GLP Capital LP / GLP Financing II, Inc. |
| |||||||||||
5.30% | 01/15/29 | 1,280,000 | 1,357,178 | |||||||||
5.38% | 04/15/26 | 1,308,000 | 1,384,596 | |||||||||
5.75% | 06/01/28 | 1,600,000 | 1,724,080 | |||||||||
HCP, Inc. |
| |||||||||||
3.88% | 08/15/24 | 2,110,000 | 2,161,299 | |||||||||
4.00% | 12/01/22 | 1,000,000 | 1,030,801 | |||||||||
4.25% | 11/15/23 | 1,000,000 | 1,041,496 | |||||||||
Healthcare Realty Trust, Inc. |
| |||||||||||
3.75% | 04/15/23 | 1,840,000 | 1,855,310 | |||||||||
Host Hotels & Resorts LP |
| |||||||||||
5.25% | 03/15/22 | 1,840,000 | 1,924,718 | |||||||||
SL Green Operating Partnership LP |
| |||||||||||
3.25% | 10/15/22 | 2,380,000 | 2,378,484 | |||||||||
SL Green Realty Corp. |
| |||||||||||
7.75% | 03/15/20 | 920,000 | 958,467 | |||||||||
Ventas Realty LP |
| |||||||||||
3.85% | 04/01/27 | 690,000 | 695,353 | |||||||||
Welltower, Inc. | ||||||||||||
3.75% | 03/15/23 | 555,000 | 569,885 | |||||||||
4.95% | 01/15/21 | 545,000 | 561,197 | |||||||||
|
| |||||||||||
23,415,278 | ||||||||||||
|
|
See accompanying notes to financial statements.
7
Table of Contents
TCW Core Fixed Income Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Retail — 0.2% | ||||||||||||
Alimentation Couche-Tard, Inc. (Canada) |
| |||||||||||
3.55%(3) | 07/26/27 | $ | 1,710,000 | $ | 1,678,729 | |||||||
|
| |||||||||||
Savings & Loans — 0.1% | ||||||||||||
Nationwide Building Society (United Kingdom) |
| |||||||||||
3.62%(1)(3) | 04/26/23 | 800,000 | 805,419 | |||||||||
|
| |||||||||||
Semiconductors — 0.2% | ||||||||||||
Broadcom Corp. / Broadcom Cayman Finance, Ltd. |
| |||||||||||
2.38% | 01/15/20 | 2,675,000 | 2,663,567 | |||||||||
|
| |||||||||||
Telecommunications — 1.5% | ||||||||||||
AT&T, Inc. | ||||||||||||
4.75% | 05/15/46 | 1,700,000 | 1,690,843 | |||||||||
4.80% | 06/15/44 | 890,000 | 893,792 | |||||||||
4.85% | 03/01/39 | 1,554,000 | 1,591,492 | |||||||||
5.25% | 03/01/37 | 3,155,000 | 3,386,299 | |||||||||
Qwest Corp. | ||||||||||||
7.25% | 09/15/25 | 920,000 | 1,008,550 | |||||||||
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC |
| |||||||||||
3.36%(3) | 03/20/23 | 625,000 | 624,219 | |||||||||
4.74%(3) | 09/20/29 | 3,240,000 | 3,308,850 | |||||||||
Verizon Communications, Inc. |
| |||||||||||
4.27% | 01/15/36 | 1,324,000 | 1,363,035 | |||||||||
5.25% | 03/16/37 | 1,380,000 | 1,564,237 | |||||||||
Vodafone Group PLC (United Kingdom) |
| |||||||||||
4.38% | 05/30/28 | 1,470,000 | 1,515,055 | |||||||||
|
| |||||||||||
16,946,372 | ||||||||||||
|
| |||||||||||
Trucking & Leasing — 0.1% | ||||||||||||
Park Aerospace Holdings, Ltd. |
| |||||||||||
4.50%(3) | 03/15/23 | 1,000,000 | 1,012,664 | |||||||||
|
| |||||||||||
Total Corporate Bonds |
| |||||||||||
(Cost: $293,064,036) |
| 301,392,920 | ||||||||||
|
| |||||||||||
MUNICIPAL BONDS — 0.9% | ||||||||||||
Fiscal Year 2005 Securitization Corp., Special Obligation Bond for the City of New York |
| |||||||||||
4.93% | 04/01/20 | 90,000 | 90,920 | |||||||||
Los Angeles Unified School District/CA, General Obligation |
| |||||||||||
5.76% | 07/01/29 | 2,500,000 | 2,950,200 | |||||||||
New York State Dormitory Authority, Revenue Bond |
| |||||||||||
5.50% | 03/15/30 | 2,480,000 | 2,859,241 | |||||||||
New York State, Build America Bonds, General Obligation |
| |||||||||||
5.82% | 10/01/31 | 730,000 | 760,733 | |||||||||
State of California, General Obligation |
| |||||||||||
7.95% | 03/01/36 | 3,000,000 | 3,126,450 | |||||||||
|
| |||||||||||
Total Municipal Bonds |
| |||||||||||
(Cost: $10,152,096) |
| 9,787,544 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES — 7.6% | ||||||||||||
321 Henderson Receivables I LLC(13-3A-A) |
| |||||||||||
4.08%(3) | 01/17/73 | $ | 1,520,293 | $ | 1,571,597 | |||||||
321 Henderson Receivables I LLC(14-2A-A) |
| |||||||||||
3.61%(3) | 01/17/73 | 1,783,825 | 1,805,483 | |||||||||
Academic Loan Funding Trust(12-1A-A2) |
| |||||||||||
3.58% (1 mo. USD LIBOR + 1.100%)(2)(3) | 12/27/44 | 2,365,457 | 2,379,568 | |||||||||
Babson CLO, Ltd.(16-2A-AR) |
| |||||||||||
3.67%(1)(3) | 07/20/28 | 3,100,000 | 3,102,161 | |||||||||
Brazos Education Loan Authority, Inc.(12-1-A1) |
| |||||||||||
3.18% (1 mo. USD LIBOR + 0.700%)(2) | 12/26/35 | 886,109 | 885,305 | |||||||||
Brazos Higher Education Authority, Inc.(10-1-A2) |
| |||||||||||
3.85% (3 mo. USD LIBOR + 1.200%)(2) | 02/25/35 | 675,000 | 691,869 | |||||||||
Brazos Higher Education Authority, Inc.(11-1-A3) |
| |||||||||||
3.70% (3 mo. USD LIBOR + 1.050%)(2) | 11/25/33 | 1,695,000 | 1,710,910 | |||||||||
Dryden XXVI Senior Loan Fund(13-26A-AR) |
| |||||||||||
3.50%(1)(3) | 04/15/29 | 2,200,000 | 2,182,697 | |||||||||
Educational Funding of the South, Inc.(11-1-A2) |
| |||||||||||
3.23% (3 mo. USD LIBOR + 0.650%)(2) | 04/25/35 | 1,303,060 | 1,297,168 | |||||||||
Educational Services of America, Inc.(12-2-A) |
| |||||||||||
3.21% (1 mo. USD LIBOR + 0.730%)(2)(3) | 04/25/39 | 638,142 | 634,079 | |||||||||
GCO Education Loan Funding Master Trust(06-2AR-A1RN) |
| |||||||||||
3.13% (1 mo. USD LIBOR + 0.650%)(2)(3) | 08/27/46 | 2,629,392 | 2,508,738 | |||||||||
Global SC Finance SRL(14-1A-A2) |
| |||||||||||
3.09%(3) | 07/17/29 | 1,619,625 | 1,601,501 | |||||||||
GoldenTree Loan Opportunities IX, Ltd.(14-9A-AR2) |
| |||||||||||
3.69%(1)(3) | 10/29/29 | 3,100,000 | 3,094,775 | |||||||||
Higher Education Funding I(14-1-A) |
| |||||||||||
3.70% (3 mo. USD LIBOR + 1.050%)(2)(3) | 05/25/34 | 2,695,551 | 2,715,195 | |||||||||
Magnetite XI, Ltd.(14-11A-A1R) |
| |||||||||||
3.72% (3 mo. USD LIBOR + 1.120%)(2)(3) | 01/18/27 | 1,903,472 | 1,905,660 | |||||||||
Navient Student Loan Trust(14-2-A) |
| |||||||||||
3.12% (1 mo. USD LIBOR + 0.640%)(2) | 03/25/83 | 3,721,817 | 3,668,921 | |||||||||
Navient Student Loan Trust(14-3-A) |
| |||||||||||
3.10% (1 mo. USD LIBOR + 0.620%)(2) | 03/25/83 | 3,830,222 | 3,791,574 | |||||||||
Navient Student Loan Trust(14-4-A) |
| |||||||||||
3.10% (1 mo. USD LIBOR + 0.620%)(2) | 03/25/83 | 1,848,594 | 1,814,308 | |||||||||
Navient Student Loan Trust(16-1A-A) |
| |||||||||||
3.18% (1 mo. USD LIBOR + 0.700%)(2)(3) | 02/25/70 | 3,748,322 | 3,743,430 |
See accompanying notes to financial statements.
8
Table of Contents
TCW Core Fixed Income Fund
April 30, 2019 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (Continued) | ||||||||||||
Navient Student Loan Trust(17-3A-A3) |
| |||||||||||
3.53% (1 mo. USD LIBOR + 1.050%)(2)(3) | 07/26/66 | $ | 4,400,000 | $ | 4,450,112 | |||||||
Nelnet Student Loan Trust(11-1A-A) |
| |||||||||||
3.33% (1 mo. USD LIBOR + 0.850%)(2)(3) | 02/25/48 | 2,270,387 | 2,290,025 | |||||||||
Nelnet Student Loan Trust(14-4A-A2) |
| |||||||||||
3.43% (1 mo. USD LIBOR + 0.950%)(2)(3) | 11/25/48 | 2,965,000 | 2,949,316 | |||||||||
Octagon Investment Partners 25, Ltd.(15-1A-AR) |
| |||||||||||
3.39%(1)(3) | 10/20/26 | 4,500,000 | 4,485,611 | |||||||||
PHEAA Student Loan Trust(15-1A-A) |
| |||||||||||
3.08% (1 mo. USD LIBOR + 0.600%)(2)(3) | 10/25/41 | 1,858,385 | 1,841,247 | |||||||||
SLM Student Loan Trust(03-7A-A5A) |
| |||||||||||
3.81% (3 mo. USD LIBOR + 1.200%)(2)(3) | 12/15/33 | 2,909,950 | 2,914,544 | |||||||||
SLM Student Loan Trust(06-2-A6) |
| |||||||||||
2.75% (3 mo. USD LIBOR + 0.170%)(2) | 01/25/41 | 3,129,235 | 3,037,336 | |||||||||
SLM Student Loan Trust(06-8-A6) |
| |||||||||||
2.74% (3 mo. USD LIBOR + 0.160%) (2) | 01/25/41 | 3,400,000 | 3,255,028 | |||||||||
SLM Student Loan Trust(08-2-B) |
| |||||||||||
3.78% (3 mo. USD LIBOR + 1.200%)(2) | 01/25/83 | 710,000 | 683,671 | |||||||||
SLM Student Loan Trust(08-3-B) |
| |||||||||||
3.78% (3 mo. USD LIBOR + 1.200%)(2) | 04/26/83 | 710,000 | 680,167 | |||||||||
SLM Student Loan Trust(08-4-A4) |
| |||||||||||
4.23% (3 mo. USD LIBOR + 1.650%)(2) | 07/25/22 | 5,153,866 | 5,215,973 | |||||||||
SLM Student Loan Trust(08-4-B) |
| |||||||||||
4.43% (3 mo. USD LIBOR + 1.850%)(2) | 04/25/73 | 710,000 | 721,346 | |||||||||
SLM Student Loan Trust(08-5-B) |
| |||||||||||
4.43% (3 mo. USD LIBOR + 1.850%)(2) | 07/25/73 | 710,000 | 721,129 | |||||||||
SLM Student Loan Trust(08-6-A4) |
| |||||||||||
3.68% (3 mo. USD LIBOR + 1.100%)(2) | 07/25/23 | 4,154,149 | 4,157,740 | |||||||||
SLM Student Loan Trust(08-6-B) |
| |||||||||||
4.43% (3 mo. USD LIBOR + 1.850%)(2) | 07/26/83 | 710,000 | 723,500 | |||||||||
SLM Student Loan Trust(08-7-B) |
| |||||||||||
4.43% (3 mo. USD LIBOR + 1.850%)(2) | 07/26/83 | 710,000 | 724,100 | |||||||||
SLM Student Loan Trust(08-8-B) |
| |||||||||||
4.83% (3 mo. USD LIBOR + 2.250%)(2) | 10/25/75 | 710,000 | 729,297 | |||||||||
SLM Student Loan Trust(08-9-A) |
| |||||||||||
4.08% (3 mo. USD LIBOR + 1.500%)(2) | 04/25/23 | 1,639,701 | 1,660,826 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (Continued) | ||||||||||||
SLM Student Loan Trust(08-9-B) |
| |||||||||||
4.83% (3 mo. USD LIBOR + 2.250%)(2) | 10/25/83 | $ | 710,000 | $ | 727,518 | |||||||
SLM Student Loan Trust(11-2-A2) |
| |||||||||||
3.68% (1 mo. USD LIBOR + 1.200%)(2) | 10/25/34 | 2,000,000 | 2,039,935 | |||||||||
SLM Student Loan Trust(12-7-A3) |
| |||||||||||
3.13% (1 mo. USD LIBOR + 0.650%)(2) | 05/26/26 | 2,180,128 | 2,148,904 | |||||||||
|
| |||||||||||
Total Asset-backed Securities |
| |||||||||||
(Cost: $86,130,178) |
| 87,262,264 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY — 4.5% | ||||||||||||
Fannie Mae(14-M12-FA) (ACES) |
| |||||||||||
2.78% (1 mo. USD LIBOR + 0.300%)(2) | 10/25/21 | 525,676 | 524,759 | |||||||||
Fannie Mae, Pool #AE0134 |
| |||||||||||
4.40% | 02/01/20 | 202,002 | 204,030 | |||||||||
Fannie Mae, Pool #AM3058 |
| |||||||||||
3.41% | 04/01/28 | 3,394,047 | 3,514,124 | |||||||||
Fannie Mae, Pool #AM8645 |
| |||||||||||
2.69% | 05/01/27 | 4,652,469 | 4,581,579 | |||||||||
Fannie Mae, Pool #AM9536 |
| |||||||||||
3.34% | 08/01/30 | 2,950,568 | 3,028,440 | |||||||||
Fannie Mae, Pool #AN0245 |
| |||||||||||
3.42% | 11/01/35 | 2,184,343 | 2,230,803 | |||||||||
Fannie Mae, Pool #AN5742 |
| |||||||||||
3.19% | 05/01/30 | 3,377,806 | 3,382,459 | |||||||||
Fannie Mae, Pool #AN5977 |
| |||||||||||
3.49% | 02/01/33 | 3,000,000 | 3,055,727 | |||||||||
Fannie Mae, Pool #AN9655 |
| |||||||||||
3.71% | 06/01/30 | 4,480,000 | 4,717,235 | |||||||||
Fannie Mae, Pool #BL0844 |
| |||||||||||
3.87% | 02/01/29 | 5,965,000 | 6,357,552 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (K158-A3) |
| |||||||||||
0.00%(6) | 10/25/33 | 2,250,000 | 2,410,135 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates(K155-A3) |
| |||||||||||
3.75% | 04/25/33 | 4,045,000 | 4,275,730 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates(KJ05-A1) |
| |||||||||||
1.42% | 05/25/21 | 1,985,222 | 1,968,572 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates(Q004-A2H) |
| |||||||||||
3.05%(1) | 01/25/46 | 6,278,121 | 6,293,023 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates(Q006-A-PT2) |
| |||||||||||
2.49%(1) | 09/25/26 | 4,741,327 | 4,773,924 |
See accompanying notes to financial statements.
9
Table of Contents
TCW Core Fixed Income Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
NCUA Guaranteed Notes(11-C1-2A) |
| |||||||||||
3.13% (1 mo. USD LIBOR + 0.530%)(2) | 03/09/21 | $ | 652,913 | $ | 653,313 | |||||||
|
| |||||||||||
Total Commercial Mortgage-backed Securities — Agency |
| |||||||||||
(Cost: $51,178,923) |
| 51,971,405 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 1.6% | ||||||||||||
BAMLL Commercial Mortgage Securities Trust(18-PARK-A) |
| |||||||||||
4.23%(1)(3) | 08/10/38 | 1,930,000 | 2,062,534 | |||||||||
BBCMS Trust(13-TYSN-A2) |
| |||||||||||
3.76%(3) | 09/05/32 | 1,740,000 | 1,761,347 | |||||||||
CALI Mortgage Trust(19-101C-A) |
| |||||||||||
3.96%(3) | 03/10/39 | 1,285,000 | 1,356,866 | |||||||||
CGRBS Commercial Mortgage Trust(13-VN05-A) |
| |||||||||||
3.37%(3) | 03/13/35 | 1,700,000 | 1,723,808 | |||||||||
CityLine Commercial Mortgage Trust(16-CLNE-A) |
| |||||||||||
2.87%(1)(3) | 11/10/31 | 1,815,000 | 1,807,677 | |||||||||
COMM Mortgage Trust(13-300P-A1) |
| |||||||||||
4.35%(3) | 08/10/30 | 1,515,000 | 1,599,615 | |||||||||
COMM Mortgage Trust(14-277P-A) |
| |||||||||||
3.73%(1)(3) | 08/10/49 | 400,000 | 415,038 | |||||||||
COMM Mortgage Trust(16-787S-A) |
| |||||||||||
3.55%(3) | 02/10/36 | 1,635,000 | 1,675,628 | |||||||||
Core Industrial Trust(15-CALW-A) |
| |||||||||||
3.04%(3) | 02/10/34 | 1,375,573 | 1,387,176 | |||||||||
SFAVE Commercial Mortgage Securities Trust(15-5AVE-A1) |
| |||||||||||
3.87%(1)(3) | 01/05/43 | 1,710,000 | 1,704,860 | |||||||||
VNDO Mortgage Trust(12-6AVE-A) |
| |||||||||||
3.00%(3) | 11/15/30 | 1,550,000 | 1,560,627 | |||||||||
VNDO Mortgage Trust(13-PENN-A) |
| |||||||||||
3.81%(3) | 12/13/29 | 1,675,000 | 1,698,371 | |||||||||
WF-RBS Commercial Mortgage Trust(11-C4-A3) |
| |||||||||||
4.39%(3) | 06/15/44 | 57,562 | 57,575 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-backedSecurities — Non-agency |
| |||||||||||
(Cost: $18,774,720) |
| 18,811,122 | ||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY — 28.5% | ||||||||||||
Fannie Mae(01-14-SH) (I/F) |
| |||||||||||
19.16%(-3.50 x 1 mo. USD LIBOR + 27.825%) (2) | 03/25/30 | 130,148 | 189,997 | |||||||||
Fannie Mae(01-34-FV) |
| |||||||||||
2.98% (1 mo. USD LIBOR + 0.500%) (2) | 08/25/31 | 173,735 | 174,824 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae(04-W10-A6) (PAC) |
| |||||||||||
5.75% | 08/25/34 | $ | 1,937,761 | $ | 2,073,524 | |||||||
Fannie Mae(07-89-GF) |
| |||||||||||
3.00% (1 mo. USD LIBOR + 0.520%)(2) | 09/25/37 | 696,704 | 699,724 | |||||||||
Fannie Mae(08-30-SA) (I/O) (I/F) |
| |||||||||||
4.37%(-1.00 x 1 mo. USD LIBOR + 6.850%)(2) | 04/25/38 | 110,797 | 19,581 | |||||||||
Fannie Mae(08-62-SN) (I/O) (I/F) |
| |||||||||||
3.72%(-1.00 x 1 mo. USD LIBOR + 6.200%) (2) | 07/25/38 | 162,122 | 25,869 | |||||||||
Fannie Mae(09-64-TB) |
| |||||||||||
4.00% | 08/25/29 | 1,677,719 | 1,734,568 | |||||||||
Fannie Mae(09-68-SA) (I/O) (I/F) |
| |||||||||||
4.27%(-1.00 x 1 mo. USD LIBOR + 6.750%) (2) | 09/25/39 | 80,839 | 13,650 | |||||||||
Fannie Mae(10-26-AS) (I/O) (I/F) |
| |||||||||||
3.85%(-1.00 x 1 mo. USD LIBOR + 6.330%) (2) | 03/25/40 | 1,304,297 | 162,872 | |||||||||
Fannie Mae(11-111-DB) |
| |||||||||||
4.00% | 11/25/41 | 4,000,000 | 4,177,956 | |||||||||
Fannie Mae, Pool #254634 |
| |||||||||||
5.50% | 02/01/23 | 8,906 | 9,373 | |||||||||
Fannie Mae, Pool #596686 |
| |||||||||||
6.50% | 11/01/31 | 11,924 | 13,049 | |||||||||
Fannie Mae, Pool #679263 |
| |||||||||||
4.50% | 11/01/24 | 12,733 | 13,251 | |||||||||
Fannie Mae, Pool #727575 |
| |||||||||||
5.00% | 06/01/33 | 39,177 | 41,350 | |||||||||
Fannie Mae, Pool #748751 |
| |||||||||||
5.50% | 10/01/33 | 93,838 | 99,151 | |||||||||
Fannie Mae, Pool #AB2127 |
| |||||||||||
3.50% | 01/01/26 | 860,695 | 881,449 | |||||||||
Fannie Mae, Pool #AL0209 |
| |||||||||||
4.50% | 05/01/41 | 661,349 | 708,210 | |||||||||
Fannie Mae, Pool #AL0851 |
| |||||||||||
6.00% | 10/01/40 | 665,300 | 744,889 | |||||||||
Fannie Mae, Pool #AS9830 |
| |||||||||||
4.00% | 06/01/47 | 4,685,883 | 4,834,971 | |||||||||
Fannie Mae, Pool #CA1710 |
| |||||||||||
4.50% | 05/01/48 | 7,526,809 | 7,850,055 | |||||||||
Fannie Mae, Pool #CA1711 |
| |||||||||||
4.50% | 05/01/48 | 5,346,889 | 5,576,516 | |||||||||
Fannie Mae, Pool #CA2208 |
| |||||||||||
4.50% | 08/01/48 | 4,797,146 | 4,997,264 |
See accompanying notes to financial statements.
10
Table of Contents
TCW Core Fixed Income Fund
April 30, 2019 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae, Pool #CA2327 |
| |||||||||||
4.00% | 09/01/48 | $ | 1,311,638 | $ | 1,366,484 | |||||||
Fannie Mae, Pool #MA1146 |
| |||||||||||
4.00% | 08/01/42 | 2,134,229 | 2,221,017 | |||||||||
Fannie Mae, Pool #MA1561 |
| |||||||||||
3.00% | 09/01/33 | 3,057,093 | 3,072,328 | |||||||||
Fannie Mae, Pool #MA1584 |
| |||||||||||
3.50% | 09/01/33 | 4,789,803 | 4,898,070 | |||||||||
Fannie Mae, Pool #MA2995 |
| |||||||||||
4.00% | 05/01/47 | 98,894 | 101,890 | |||||||||
Fannie Mae, Pool #MA3182 |
| |||||||||||
3.50% | 11/01/47 | 1,599,576 | 1,619,237 | |||||||||
Fannie Mae TBA, 15 Year |
| |||||||||||
3.00%(7) | 03/01/33 | 730,000 | 733,721 | |||||||||
Fannie Mae TBA, 30 Year |
| |||||||||||
4.50%(7) | 07/01/48 | 5,685,000 | 5,916,286 | |||||||||
5.00%(7) | 08/01/48 | 4,425,000 | 4,664,486 | |||||||||
Freddie Mac(2439-KZ) |
| |||||||||||
6.50% | 04/15/32 | 136,349 | 152,674 | |||||||||
Freddie Mac(2575-FD) (PAC) |
| |||||||||||
2.92% (1 mo. USD LIBOR + 0.450%) (2) | 02/15/33 | 325,561 | 326,437 | |||||||||
Freddie Mac(2662-MT) (TAC) |
| |||||||||||
4.50% | 08/15/33 | 208,628 | 216,568 | |||||||||
Freddie Mac(3315-S) (I/O) (I/F) |
| |||||||||||
3.94%(-1.00 x 1 mo. USD LIBOR + 6.410%) (2) | 05/15/37 | 34,757 | 4,023 | |||||||||
Freddie Mac(3339-JS) (I/F) |
| |||||||||||
26.76%(-6.50 x 1 mo. USD LIBOR + 42.835%) (2) | 07/15/37 | 456,234 | 856,069 | |||||||||
Freddie Mac(3351-ZC) |
| |||||||||||
5.50% | 07/15/37 | 347,846 | 383,037 | |||||||||
Freddie Mac(3380-SM) (I/O) (I/F) |
| |||||||||||
3.94%(-1.00 x 1 mo. USD LIBOR + 6.410%) (2) | 10/15/37 | 561,301 | 95,101 | |||||||||
Freddie Mac(3382-FL) |
| |||||||||||
3.17% (1 mo. USD LIBOR + 0.700%) (2) | 11/15/37 | 191,783 | 193,369 | |||||||||
Freddie Mac(3439-SC) (I/O) (I/F) |
| |||||||||||
3.43%(-1.00 x 1 mo. USD LIBOR + 5.900%) (2) | 04/15/38 | 1,907,985 | 251,161 | |||||||||
Freddie Mac(3578-DI) (I/O) (I/F) |
| |||||||||||
4.18%(-1.00 x 1 mo. USD LIBOR + 6.650%) (2) | 04/15/36 | 798,141 | 120,761 | |||||||||
Freddie Mac(4818-CA) |
| |||||||||||
3.00% | 04/15/48 | 3,116,542 | 3,085,027 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac, Pool #A97179 |
| |||||||||||
4.50% | 03/01/41 | $ | 2,043,098 | $ | 2,183,391 | |||||||
Freddie Mac, Pool #B15026 |
| |||||||||||
5.00% | 06/01/19 | 126 | 128 | |||||||||
Freddie Mac, Pool #B15591 |
| |||||||||||
5.00% | 07/01/19 | 196 | 199 | |||||||||
Freddie Mac, Pool #C90526 |
| |||||||||||
5.50% | 02/01/22 | 6,526 | 6,696 | |||||||||
Freddie Mac, Pool #G06360 |
| |||||||||||
4.00% | 03/01/41 | 2,509,228 | 2,617,408 | |||||||||
Freddie Mac, Pool #G06498 |
| |||||||||||
4.00% | 04/01/41 | 1,831,599 | 1,916,052 | |||||||||
Freddie Mac, Pool #G06499 |
| |||||||||||
4.00% | 03/01/41 | 1,321,823 | 1,378,836 | |||||||||
Freddie Mac, Pool #G07849 |
| |||||||||||
3.50% | 05/01/44 | 1,476,165 | 1,505,137 | |||||||||
Freddie Mac, Pool #G07924 |
| |||||||||||
3.50% | 01/01/45 | 2,912,857 | 2,977,333 | |||||||||
Freddie Mac, Pool #G08710 |
| |||||||||||
3.00% | 06/01/46 | 4,625,381 | 4,579,701 | |||||||||
Freddie Mac, Pool #G08711 |
| |||||||||||
3.50% | 06/01/46 | 8,849,353 | 8,970,566 | |||||||||
Freddie Mac, Pool #G08715 |
| |||||||||||
3.00% | 08/01/46 | 8,668,246 | 8,582,629 | |||||||||
Freddie Mac, Pool #G08716 |
| |||||||||||
3.50% | 08/01/46 | 5,937,426 | 6,015,072 | |||||||||
Freddie Mac, Pool #G08721 |
| |||||||||||
3.00% | 09/01/46 | 7,013,942 | 6,944,666 | |||||||||
Freddie Mac, Pool #G08722 |
| |||||||||||
3.50% | 09/01/46 | 2,342,597 | 2,373,388 | |||||||||
Freddie Mac, Pool #G08726 |
| |||||||||||
3.00% | 10/01/46 | 6,720,075 | 6,652,413 | |||||||||
Freddie Mac, Pool #G08732 |
| |||||||||||
3.00% | 11/01/46 | 6,518,998 | 6,453,360 | |||||||||
Freddie Mac, Pool #G08795 |
| |||||||||||
3.00% | 01/01/48 | 1,339,026 | 1,324,152 | |||||||||
Freddie Mac, Pool #G08800 |
| |||||||||||
3.50% | 02/01/48 | 7,007,515 | 7,079,546 | |||||||||
Freddie Mac, Pool #G08816 |
| |||||||||||
3.50% | 06/01/48 | 2,130,635 | 2,152,343 | |||||||||
Freddie Mac, Pool #G08826 |
| |||||||||||
5.00% | 06/01/48 | 1,649,158 | 1,742,998 | |||||||||
Freddie Mac, Pool #G16584 |
| |||||||||||
3.50% | 08/01/33 | 5,698,058 | 5,829,595 | |||||||||
Freddie Mac, Pool #G18592 |
| |||||||||||
3.00% | 03/01/31 | 1,979,713 | 1,994,557 | |||||||||
Freddie Mac, Pool #G18670 |
| |||||||||||
3.00% | 12/01/32 | 1,494,346 | 1,503,221 |
See accompanying notes to financial statements.
11
Table of Contents
TCW Core Fixed Income Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac, Pool #G18713 |
| |||||||||||
3.50% | 11/01/33 | $ | 4,765,773 | $ | 4,873,818 | |||||||
Freddie Mac, Pool #G60344 |
| |||||||||||
4.00% | 12/01/45 | 1,332,815 | 1,391,354 | |||||||||
Freddie Mac, Pool #G67700 |
| |||||||||||
3.50% | 08/01/46 | 1,980,881 | 2,022,871 | |||||||||
Freddie Mac, Pool #G67703 |
| |||||||||||
3.50% | 04/01/47 | 11,739,668 | 11,981,182 | |||||||||
Freddie Mac, Pool #G67706 |
| |||||||||||
3.50% | 12/01/47 | 7,913,148 | 8,008,098 | |||||||||
Freddie Mac, Pool #G67707 |
| |||||||||||
3.50% | 01/01/48 | 13,773,921 | 14,067,209 | |||||||||
Freddie Mac, Pool #G67708 |
| |||||||||||
3.50% | 03/01/48 | 15,406,893 | 15,657,674 | |||||||||
Freddie Mac, Pool #G67710 |
| |||||||||||
3.50% | 03/01/48 | 13,475,121 | 13,668,744 | |||||||||
Freddie Mac, Pool #G67711 |
| |||||||||||
4.00% | 03/01/48 | 4,416,263 | 4,607,473 | |||||||||
Freddie Mac, Pool #G67718 |
| |||||||||||
4.00% | 01/01/49 | 5,787,157 | 6,017,378 | |||||||||
Freddie Mac, Pool #Q05261 |
| |||||||||||
3.50% | 12/01/41 | 2,091,183 | 2,142,699 | |||||||||
Freddie Mac, Pool #Q20178 |
| |||||||||||
3.50% | 07/01/43 | 3,562,070 | 3,639,010 | |||||||||
Ginnie Mae(08-27-SI) (I/O) (I/F) |
| |||||||||||
3.99%(-1.00 x 1 mo. USD LIBOR + 6.470%) (2) | 03/20/38 | 339,033 | 56,045 | |||||||||
Ginnie Mae(08-81-S) (I/O) (I/F) |
| |||||||||||
3.72%(-1.00 x 1 mo. USD LIBOR + 6.200%) (2) | 09/20/38 | 1,295,653 | 208,455 | |||||||||
Ginnie Mae(09-66-UF) |
| |||||||||||
3.48% (1 mo. USD LIBOR + 1.000%) (2) | 08/16/39 | 514,712 | 525,476 | |||||||||
Ginnie Mae(10-1-S) (I/O) (I/F) |
| |||||||||||
3.27%(-1.00 x 1 mo. USD LIBOR + 5.750%) (2) | 01/20/40 | 2,038,355 | 216,029 | |||||||||
Ginnie Mae(18-124-NW) |
| |||||||||||
3.50% | 09/20/48 | 2,563,105 | 2,601,275 | |||||||||
Ginnie Mae, Pool #608259 |
| |||||||||||
4.50% | 08/15/33 | 41,180 | 43,150 | |||||||||
Ginnie Mae, Pool #782114 |
| |||||||||||
5.00% | 09/15/36 | 138,051 | 148,006 | |||||||||
Ginnie Mae, Pool #MA4127 |
| |||||||||||
3.50% | 12/20/46 | 4,615,377 | 4,700,805 | |||||||||
Ginnie Mae II, Pool #MA3521 |
| |||||||||||
3.50% | 03/20/46 | 3,658,843 | 3,727,903 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Ginnie Mae II, Pool #MA3597 |
| |||||||||||
3.50% | 04/20/46 | $ | 3,535,878 | $ | 3,602,617 | |||||||
Ginnie Mae II, Pool #MA3663 |
| |||||||||||
3.50% | 05/20/46 | 3,569,963 | 3,637,346 | |||||||||
Ginnie Mae II, Pool #MA4126 |
| |||||||||||
3.00% | 12/20/46 | 9,222,526 | 9,212,273 | |||||||||
Ginnie Mae II, Pool #MA4196 |
| |||||||||||
3.50% | 01/20/47 | 3,016,420 | 3,070,678 | |||||||||
Ginnie Mae II, Pool #MA4454 |
| |||||||||||
5.00% | 05/20/47 | 1,236,454 | 1,301,085 | |||||||||
Ginnie Mae II, Pool #MA4510 |
| |||||||||||
3.50% | 06/20/47 | 1,741,249 | 1,771,051 | |||||||||
Ginnie Mae II, Pool #MA4589 |
| |||||||||||
5.00% | 07/20/47 | 3,331,031 | 3,495,371 | |||||||||
Ginnie Mae II, Pool #MA4722 |
| |||||||||||
5.00% | 09/20/47 | 1,159,329 | 1,217,030 | |||||||||
Ginnie Mae II, Pool #MA4777 |
| |||||||||||
3.00% | 10/20/47 | 1,288,877 | 1,285,799 | |||||||||
Ginnie Mae II, Pool #MA4836 |
| |||||||||||
3.00% | 11/20/47 | 5,086,692 | 5,078,517 | |||||||||
Ginnie Mae II, Pool #MA4837 |
| |||||||||||
3.50% | 11/20/47 | 11,508,146 | 11,705,111 | |||||||||
Ginnie Mae II, Pool #MA4838 |
| |||||||||||
4.00% | 11/20/47 | 3,618,365 | 3,734,527 | |||||||||
Ginnie Mae II, Pool #MA4901 |
| |||||||||||
4.00% | 12/20/47 | 6,342,840 | 6,546,467 | |||||||||
Ginnie Mae II, Pool #MA5078 |
| |||||||||||
4.00% | 03/20/48 | 5,653,228 | 5,827,862 | |||||||||
Ginnie Mae II, Pool #MA5399 |
| |||||||||||
4.50% | 08/20/48 | 13,554,782 | 14,055,774 | |||||||||
Ginnie Mae II, Pool #MA5466 |
| |||||||||||
4.00% | 09/20/48 | 403,317 | 415,570 | |||||||||
Ginnie Mae II, Pool #MA5467 |
| |||||||||||
4.50% | 09/20/48 | 884,832 | 917,890 | |||||||||
|
| |||||||||||
Total Residential Mortgage-backed Securities — Agency |
| |||||||||||
(Cost: $328,318,452) |
| 327,282,848 | ||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 7.9% | ||||||||||||
Aames Mortgage Investment Trust(06-1-A4) |
| |||||||||||
3.04% (1 mo. USD LIBOR + 0.560%) (2) | 04/25/36 | 6,840,000 | 6,777,231 | |||||||||
Aegis Asset Backed Securities Trust(05-5-2A) |
| |||||||||||
2.73% (1 mo. USD LIBOR + 0.250%) (2) | 12/25/35 | 4,003,445 | 4,006,575 | |||||||||
Banc of America Funding Trust(15-R2-9A1) |
| |||||||||||
2.69% (1 mo. USD LIBOR + 0.215%) (2)(3) | 03/27/36 | 2,112,143 | 2,107,295 |
See accompanying notes to financial statements.
12
Table of Contents
TCW Core Fixed Income Fund
April 30, 2019 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Bear Stearns Asset-Backed Securities Trust(06-HE1-1M1) |
| |||||||||||
2.89% (1 mo. USD LIBOR + 0.410%) (2) | 12/25/35 | $ | 200,593 | $ | 202,431 | |||||||
Centex Home Equity(02-C-AF6) |
| |||||||||||
4.50%(1) | 09/25/32 | 17,366 | 17,446 | |||||||||
CIM Trust(17-7-A) |
| |||||||||||
3.00%(1)(3) | 04/25/57 | 6,570,506 | 6,535,180 | |||||||||
Citigroup Mortgage Loan Trust(06-2AD) |
| |||||||||||
2.73% | 08/25/36 | 2,636,574 | 2,594,473 | |||||||||
Citigroup Mortgage Loan Trust, Inc.(05-5-2A2) |
| |||||||||||
5.75%(8) | 08/25/35 | 324,819 | 254,714 | |||||||||
COLT Mortgage Loan Trust(17-2-A1A) |
| |||||||||||
2.42%(1)(3) | 10/25/47 | 5,063,602 | 5,040,202 | |||||||||
Conseco Financial Corp.(98-6-A8) |
| |||||||||||
6.66%(1) | 06/01/30 | 531,210 | 551,308 | |||||||||
Credit Suisse First Boston Mortgage Securities Corp.(03-8-4PPA) |
| |||||||||||
5.75% | 04/22/33 | 7,450 | 7,830 | |||||||||
Credit Suisse Mortgage Capital Certificates(15-5R-1A1) |
| |||||||||||
3.32%(1)(3) | 09/27/46 | 3,579,486 | 3,542,282 | |||||||||
CSMC Series, Ltd.(10-3R-2A3) |
| |||||||||||
4.50%(1)(3) | 12/26/36 | 3,601,000 | 3,666,741 | |||||||||
CSMC Trust(14-7R-8A1) |
| |||||||||||
3.79%(1)(3) | 07/27/37 | 2,785,000 | 2,787,600 | |||||||||
CSMC Trust(18-RPL9-A) |
| |||||||||||
3.85%(1)(3) | 09/25/57 | 5,605,491 | 5,702,682 | |||||||||
GS Mortgage-Backed Securities Trust(18-RPL1-A1A) |
| |||||||||||
3.75%(3) | 10/25/57 | 5,475,195 | 5,419,803 | |||||||||
GSAA Home Equity Trust(05-11-2A2) |
| |||||||||||
2.80% (1 mo. USD LIBOR + 0.320%) (2) | 10/25/35 | 1,520,813 | 1,506,990 | |||||||||
Home Equity Asset Trust(06-3-1A1) |
| |||||||||||
2.68% (1 mo. USD LIBOR + 0.200%) (2) | 07/25/36 | 3,006,227 | 3,011,196 | |||||||||
Indymac Index Mortgage Loan Trust(05-AR6-2A1) |
| |||||||||||
2.96% (1 mo. USD LIBOR + 0.480%) (2) | 04/25/35 | 827,782 | 800,439 | |||||||||
Mid-State Trust(04-1-B) |
| |||||||||||
8.90% | 08/15/37 | 1,139,179 | 1,299,801 | |||||||||
Morgan Stanley Capital, Inc.(04-WMC2-M1) |
| |||||||||||
3.39% (1 mo. USD LIBOR + 0.915%) (2) | 07/25/34 | 1,170,847 | 1,180,909 | |||||||||
Morgan Stanley Home Equity Loan Trust(05-1-M3) |
| |||||||||||
3.26% (1 mo. USD LIBOR + 0.780%) (2) | 12/25/34 | 1,683,982 | 1,696,551 | |||||||||
Morgan Stanley Mortgage Loan Trust(04-3-4A) |
| |||||||||||
5.63%(1) | 04/25/34 | 193,384 | 208,809 | |||||||||
New Century Home Equity Loan Trust(05-3-M2) |
| |||||||||||
3.21% (1 mo. USD LIBOR + 0.735%) (2) | 07/25/35 | 266,658 | 267,417 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
New Century Home Equity Loan Trust(05-D-A1) |
| |||||||||||
2.70% (1 mo. USD LIBOR + 0.220%) (2) | 02/25/36 | $ | 5,342,539 | $ | 5,292,596 | |||||||
Nomura Resecuritization Trust(14-5R-3A1) |
| |||||||||||
2.72% (1 mo. USD LIBOR + 0.240%) (2)(3) | 05/26/37 | 491,529 | 491,549 | |||||||||
Nomura Resecuritization Trust(15-5R-2A1) |
| |||||||||||
4.50%(1)(3) | 03/26/35 | 1,725,619 | 1,748,793 | |||||||||
Option One Mortgage Loan Trust(05-2-M1) |
| |||||||||||
3.14% (1 mo. USD LIBOR + 0.660%) (2) | 05/25/35 | 3,612,387 | 3,621,575 | |||||||||
Structured Asset Investment Loan Trust(04-6-A3) |
| |||||||||||
3.28% (1 mo. USD LIBOR + 0.800%) (2) | 07/25/34 | 3,555,212 | 3,515,895 | |||||||||
Structured Asset Securities Corp.(03-34A-5A4) |
| |||||||||||
4.57%(1) | 11/25/33 | 374,170 | 384,803 | |||||||||
WaMu Mortgage Pass-Through Certificates(05-AR15-A1A1) |
| |||||||||||
2.74% (1 mo. USD LIBOR + 0.260%) (2) | 11/25/45 | 5,025,230 | 5,043,615 | |||||||||
WaMu Mortgage Pass-Through Certificates(05-AR3-A2) |
| |||||||||||
4.46%(1) | 03/25/35 | 1,491,436 | 1,521,861 | |||||||||
Wells Fargo Alternative Loan Trust(07-PA3-2A1) |
| |||||||||||
6.00% | 07/25/37 | 113,869 | 112,275 | |||||||||
Wells Fargo Home Equity Asset-Backed Securities Trust(05-3-M6) |
| |||||||||||
3.48% (1 mo. USD LIBOR + 1.005%) (2) | 11/25/35 | 4,087,681 | 4,097,989 | |||||||||
Wells Fargo Home Equity Trust(04-2-A33) |
| |||||||||||
3.48% (1 mo. USD LIBOR + 1.000%) (2) | 10/25/34 | 6,136,411 | 6,144,930 | |||||||||
|
| |||||||||||
Total Residential Mortgage-backedSecurities — Non-agency |
| |||||||||||
(Cost: $89,559,629) |
| 91,161,786 | ||||||||||
|
| |||||||||||
U.S. TREASURY SECURITIES — 21.1% | ||||||||||||
U.S. Treasury Inflation Indexed Note |
| |||||||||||
0.13%(9) | 07/15/24 | 351,255 | 347,681 | |||||||||
0.38%(9) | 07/15/25 | 2,744,358 | 2,741,675 | |||||||||
0.75%(9) | 07/15/28 | 4,294,301 | 4,385,652 | |||||||||
U.S. Treasury Note | ||||||||||||
2.13% | 03/31/24 | 78,849,000 | 78,273,032 | |||||||||
2.25% | 03/31/21 | 20,845,000 | 20,835,229 | |||||||||
2.25% | 04/30/21 | 9,350,000 | 9,346,530 | |||||||||
2.25% | 04/30/24 | 20,475,000 | 20,445,410 | |||||||||
2.63% | 02/15/29 | 23,568,000 | 23,812,482 | |||||||||
3.00% | 02/15/49 | 81,773,000 | 82,822,869 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $241,397,195) |
| 243,010,560 | ||||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $1,118,575,229) |
| 1,130,680,449 | ||||||||||
|
|
See accompanying notes to financial statements.
13
Table of Contents
TCW Core Fixed Income Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Shares | Value | ||||||||||
MONEY MARKET INVESTMENTS — 2.0% | ||||||||||||
Dreyfus Government Cash Management Fund — Institutional Shares, |
| |||||||||||
2.33% (10) |
| 424,000 | $ | 424,000 | ||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, |
| |||||||||||
2.37% (10) |
| 22,688,313 | 22,688,313 | |||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $23,112,313) | 23,112,313 | |||||||||||
|
| |||||||||||
Maturity Date | Principal Amount | |||||||||||
SHORT TERM INVESTMENTS — 1.2% | ||||||||||||
U.S. TREASURY SECURITIES — 1.2% | ||||||||||||
U.S. Treasury Bill | ||||||||||||
2.41%(11) | 10/24/19 | $ | 3,805,000 | 3,761,192 | ||||||||
2.37%(11)(12) | 06/20/19 | 1,342,000 | 1,337,573 | |||||||||
2.32%(11) | 05/21/19 | 8,617,000 | 8,605,561 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $13,703,836) | 13,704,326 | |||||||||||
|
| |||||||||||
Total Short Term Investments |
| |||||||||||
(Cost: $13,703,836) | 13,704,326 | |||||||||||
|
| |||||||||||
Total Investments (101.5%) |
| |||||||||||
(Cost: $1,155,391,378) | 1,167,497,088 | |||||||||||
Liabilities In Excess Of Other Assets(-1.5%) |
| (16,942,601 | ) | |||||||||
|
| |||||||||||
Net Assets (100.0%) |
| $ | 1,150,554,487 | |||||||||
|
|
Futures Contracts | ||||||||||||||||||
Number of Contracts | Type | Expiration Date | Notional | Market Value | Net Unrealized Appreciation | |||||||||||||
Long Futures |
| |||||||||||||||||
421 | 2-Year U.S. Treasury Note Futures | 06/28/19 | $ | 89,351,170 | $ | 89,676,289 | $ | 325,119 | ||||||||||
34 | 2-Year U.S. Treasury Note Futures | 09/30/19 | 7,247,881 | �� | 7,254,750 | 6,869 | ||||||||||||
991 | 5-Year U.S. Treasury Note Futures | 06/28/19 | 113,722,815 | 114,599,859 | 877,044 | |||||||||||||
52 | 5-Year U.S. Treasury Note Futures | 09/30/19 | 6,008,542 | 6,019,000 | 10,458 | |||||||||||||
|
|
|
|
|
| |||||||||||||
$ | 216,330,408 | $ | 217,549,898 | $ | 1,219,490 | |||||||||||||
|
|
|
|
|
|
Centrally Cleared-Interest Rate Swap Agreements | ||||||||||||||||||||||||
Notional Amount | Expiration Date | Payment Frequency | Payment Made by Fund | Payment Received by Fund | Unrealized Appreciation/ (Depreciation) | Premium Paid | Value | |||||||||||||||||
$ 66,260,000 (13) | 04/11/22 | Quarterly | 3 Month USD LIBOR | 2.2635% | $ | 69,918 | $ | — | $ | 69,918 | ||||||||||||||
27,240,000 (13) | 04/11/25 | Quarterly | 2.3370% | 3 Month USD LIBOR | (36,216 | ) | — | (36,216 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 33,702 | $ | — | $ | 33,702 | |||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
14
Table of Contents
TCW Core Fixed Income Fund
April 30, 2019 |
Notes to Schedule of Investments:
ABS - | Asset-Backed Securities. |
ACES - | Alternative Credit Enhancement Securities. |
CLO - | Collateralized Loan Obligation. |
EETC - | Enhanced Equipment Trust Certificate. |
I/F - | Inverse Floating rate security whose interest rate moves in the opposite direction of prevailing interest rates. |
I/O - | Interest Only Security. |
PAC - | Planned Amortization Class. |
REIT - | Real Estate Investment Trust. |
TAC - | Target Amortization Class. |
TBA - | To be Announced. |
(1) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(2) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2019. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only to qualified institutional buyers. At April 30, 2019, the value of these securities amounted to $151,616,379 or 13.2% of net assets. These securities are determined to be liquid by the Fund’s investment advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(4) | For fair value measurement disclosure purposes, security is categorized as Level 3. |
(5) | Restricted security (Note 11). |
(6) | Security is not accruing interest. |
(7) | Security purchased on a forward commitment with an approximate principal amount. The actual principal amount and maturity date will be determined upon settlement when the security is delivered. |
(8) | A portion of the principal balance has beenwritten-off during the period due to defaults in the underlying loans. Cost basis has been adjusted. |
(9) | Interest rate for this security is a stated rate. Interest payments are determined based on the inflation-adjusted principal. |
(10) | Rate disclosed is the7-day net yield as of April 30, 2019. |
(11) | Rate shown representsyield-to-maturity. |
(12) | All or a portion of this security is held as collateral for open futures contracts. |
(13) | This instrument has a forward starting effective date. See Note 3, Portfolio Investments in the Notes to Financial Statements for further information. |
See accompanying notes to financial statements.
15
Table of Contents
TCW Core Fixed Income Fund
Investments by Sector (Unaudited) | April 30, 2019 |
Sector | Percentage of Net Assets | |||
Residential Mortgage-Backed Securities — Agency | 28.5 | % | ||
Corporate Bonds | 26.2 | |||
U.S. Treasury Securities | 21.1 | |||
Residential Mortgage-Backed Securities —Non-Agency | 7.9 | |||
Asset-Backed Securities | 7.6 | |||
Commercial Mortgage-Backed Securities — Agency | 4.5 | |||
Money Market Investments | 2.0 | |||
Commercial Mortgage-Backed Securities —Non-Agency | 1.6 | |||
U.S. Treasury Bills | 1.2 | |||
Municipal Bonds | 0.9 | |||
Other* | (1.5 | ) | ||
|
| |||
Total | 100.0 | % | ||
|
|
* | Includes cash, futures, and swaps, pending trades, interest receivable, fund share transactions and accrued expenses payable. |
See accompanying notes to Schedule of Investments.
16
Table of Contents
TCW Core Fixed Income Fund
Fair Valuation Summary (Unaudited) | April 30, 2019 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2019 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Corporate Bonds* | $ | — | $ | 300,390,915 | $ | 1,002,005 | $ | 301,392,920 | ||||||||
Municipal Bonds | — | 9,787,544 | — | 9,787,544 | ||||||||||||
Asset-Backed Securities | — | 87,262,264 | — | 87,262,264 | ||||||||||||
Commercial Mortgage-Backed Securities — Agency | — | 51,971,405 | — | 51,971,405 | ||||||||||||
Commercial Mortgage-Backed Securities —Non-Agency | — | 18,811,122 | — | 18,811,122 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 327,282,848 | — | 327,282,848 | ||||||||||||
Residential Mortgage-Backed Securities —Non-Agency | — | 91,161,786 | — | 91,161,786 | ||||||||||||
U.S. Treasury Securities | 235,535,552 | 7,475,008 | — | 243,010,560 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | 235,535,552 | 894,142,892 | 1,002,005 | 1,130,680,449 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 23,112,313 | — | — | 23,112,313 | ||||||||||||
Short-Term Investments* | 13,704,326 | — | — | 13,704,326 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 272,352,191 | 894,142,892 | 1,002,005 | 1,167,497,088 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | 1,219,490 | — | — | 1,219,490 | ||||||||||||
Swap Agreements | ||||||||||||||||
Interest Rate Risk | — | 69,918 | — | 69,918 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 273,571,681 | $ | 894,212,810 | $ | 1,002,005 | $ | 1,168,786,496 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Swap Agreements | ||||||||||||||||
Interest Rate Risk | $ | — | $ | (36,216 | ) | $ | — | $ | (36,216 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (36,216 | ) | $ | — | $ | (36,216 | ) | ||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
See accompanying notes to financial statements.
17
Table of Contents
TCW Enhanced Commodity Strategy Fund
Consolidated Schedule of Investments (Unaudited)
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 80.1% |
| |||||||||||
ASSET-BACKED SECURITIES — 10.1% | ||||||||||||
BA Credit Card Trust(18-A2-A2) |
| |||||||||||
3.00% | 09/15/23 | $ | 10,000 | $ | 10,095 | |||||||
BlueMountain CLO, Ltd.(13-1A-A1R2) |
| |||||||||||
1.23%(1)(2)(3) | 01/20/29 | 7,000 | 7,004 | |||||||||
Chase Issuance Trust(12-A7-A7) |
| |||||||||||
2.16% | 09/15/24 | 10,000 | 9,871 | |||||||||
Citibank Credit Card Issuance Trust(14-A5-A5) |
| |||||||||||
2.68% | 06/07/23 | 10,000 | 10,044 | |||||||||
Educational Services of America, Inc.(12-2-A) |
| |||||||||||
3.21% (1 mo. USD LIBOR + 0.730%) (1)(4) | 04/25/39 | 6,381 | 6,341 | |||||||||
Madison Park Funding, Ltd.(18-30A-A) |
| |||||||||||
3.35%(1)(2) | 04/15/29 | 10,000 | 9,886 | |||||||||
Nelnet Student Loan Trust(12-5A-A) |
| |||||||||||
3.08% (1 mo. USD LIBOR + 0.600%) (1)(4) | 10/27/36 | 3,927 | 3,914 | |||||||||
Scholar Funding Trust(11-A-A) |
| |||||||||||
3.48% (3 mo. USD LIBOR + 0.900%) (1)(4) | 10/28/43 | 3,386 | 3,390 | |||||||||
SLM Student Loan Trust(05-4-A3) |
| |||||||||||
2.70% (3 mo. USD LIBOR + 0.120%)(4) | 01/25/27 | 12,906 | 12,833 | |||||||||
SLM Student Loan Trust(08-1-A4) |
| |||||||||||
3.23% (3 mo. USD LIBOR + 0.650%)(4) | 01/25/22 | 10,265 | 10,167 | |||||||||
SLM Student Loan Trust(08-3-A3) |
| |||||||||||
3.58% (3 mo. USD LIBOR + 1.000%)(4) | 10/25/21 | 10,650 | 10,644 | |||||||||
SLM Student Loan Trust(08-3-B) |
| |||||||||||
3.78% (3 mo. USD LIBOR + 1.200%)(4) | 04/26/83 | 10,000 | 9,580 | |||||||||
SLM Student Loan Trust(13-4-A) |
| |||||||||||
3.03% (1 mo. USD LIBOR + 0.550%)(4) | 06/25/43 | 9,952 | 9,922 | |||||||||
SLM Student Loan Trust(13-6-A3) |
| |||||||||||
3.13% (1 mo. USD LIBOR + 0.650%)(4) | 06/25/55 | 11,499 | 11,502 | |||||||||
|
| |||||||||||
Total Asset-backed Securities | ||||||||||||
(Cost: $124,986) |
| 125,193 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY — 6.4% | ||||||||||||
Fannie Mae(KJ14-A1) |
| |||||||||||
2.20% | 11/25/23 | 6,123 | 6,042 | |||||||||
Fannie Mae(KJ20-A1) |
| |||||||||||
3.21% | 10/25/24 | 9,699 | 9,929 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates(KF05-A) |
| |||||||||||
2.84% (1 mo. USD LIBOR + 0.350%)(4) | 09/25/21 | 768 | 769 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates(KS07-X) (I/O) |
| |||||||||||
0.78%(2) | 09/25/25 | $ | 500,000 | $ | 18,516 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates(KS10-A10) |
| |||||||||||
3.09%(2) | 10/25/28 | 15,000 | 15,043 | |||||||||
FRESB Mortgage Trust(16-SB17-A5F) |
| |||||||||||
1.86%(2) | 06/25/21 | 10,986 | 10,841 | |||||||||
Ginnie Mae(11-53-IO) (I/O) |
| |||||||||||
0.74%(2) | 05/16/51 | 975,782 | 13,310 | |||||||||
Ginnie Mae(13-1-IO) (I/O) |
| |||||||||||
0.62%(2) | 02/16/54 | 167,578 | 5,779 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-backed Securities — Agency |
| |||||||||||
(Cost: $73,597) |
| 80,229 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 11.1% | ||||||||||||
Citigroup Commercial Mortgage Trust(12-GC8-AAB) |
| |||||||||||
2.61% | 09/10/45 | 6,806 | 6,807 | |||||||||
Citigroup Commercial Mortgage Trust(13-GC11-AAB) |
| |||||||||||
2.69% | 04/10/46 | 8,029 | 8,034 | |||||||||
COMM Mortgage Trust(12-CR2-ASB) |
| |||||||||||
2.75% | 08/15/45 | 5,284 | 5,269 | |||||||||
COMM Mortgage Trust(13-LC6-XB) (I/O) |
| |||||||||||
0.47%(1)(2) | 01/10/46 | 100,000 | 1,339 | |||||||||
Core Industrial Trust(15-CALW-A) |
| |||||||||||
3.04%(1) | 02/10/34 | 9,487 | 9,567 | |||||||||
Core Industrial Trust(15-TEXW-A) |
| |||||||||||
3.08%(1) | 02/10/34 | 9,925 | 10,023 | |||||||||
GS Mortgage Securities Corp. Trust(17-GPTX-XCP) (I/O) |
| |||||||||||
0.91%(1)(2) | 05/10/34 | 150,000 | 1,244 | |||||||||
GS Mortgage Securities Trust(11-GC5-XA) (I/O) |
| |||||||||||
1.50%(1)(2) | 08/10/44 | 45,259 | 1,044 | |||||||||
GS Mortgage Securities Trust(13-GC13-AAB) |
| |||||||||||
3.72%(2) | 07/10/46 | 8,374 | 8,543 | |||||||||
JP Morgan Chase Commercial Mortgage Securities Trust(15-JP1-ASB) |
| |||||||||||
3.73% | 01/15/49 | 10,000 | 10,396 | |||||||||
JPMBB Commercial Mortgage Securities Trust(13-C17-XA) (I/O) |
| |||||||||||
0.93%(2) | 01/15/47 | 135,606 | 4,019 | |||||||||
LB-UBS Commercial Mortgage Trust(06-C6-XCL) (I/O) |
| |||||||||||
0.77%(1)(2)(5) | 09/15/39 | 529,502 | 6,187 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust(15-C20-ASB) |
| |||||||||||
3.07% | 02/15/48 | 15,000 | 15,153 |
See accompanying notes to financial statements.
18
Table of Contents
TCW Enhanced Commodity Strategy Fund
April 30, 2019 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust(15-C25-ASB) |
| |||||||||||
3.38% | 10/15/48 | $ | 10,000 | $ | 10,219 | |||||||
Morgan Stanley Capital I Trust(11-C3-A4) |
| |||||||||||
4.12% | 07/15/49 | 10,000 | 10,171 | |||||||||
Morgan Stanley Capital I Trust(15-MS1-ASB) |
| |||||||||||
3.46% | 05/15/48 | 10,000 | 10,210 | |||||||||
Morgan Stanley Capital I Trust(18-H3-A1) |
| |||||||||||
3.18% | 07/15/51 | 13,366 | 13,405 | |||||||||
WFRBS Commercial Mortgage Trust(12-C9-XA) (I/O) |
| |||||||||||
2.04%(1)(2) | 11/15/45 | 115,192 | 6,289 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-backedSecurities — Non-agency |
| |||||||||||
(Cost: $132,240) |
| 137,919 | ||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY — 0.9%(Cost: $11,435) | ||||||||||||
Fannie Mae(05-W3-2AF) |
| |||||||||||
2.70% (1 mo. USD LIBOR + 0.220%)(4) | 03/25/45 | 11,728 | 11,685 | |||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 11.1% | ||||||||||||
Bear StearnsAlt-A Trust(04-13-A1) |
| |||||||||||
3.22% (1 mo. USD LIBOR + 0.740%)(4) | 11/25/34 | 715 | 715 | |||||||||
Centex Home Equity Loan Trust(05-A-AF5) |
| |||||||||||
5.78%(2) | 01/25/35 | 56,358 | 56,999 | |||||||||
Credit-Based Asset Servicing and Securitization LLC(03-CB5-M1) |
| |||||||||||
3.50% (1 mo. USD LIBOR + 1.020%) (4) | 11/25/33 | 9,310 | 9,196 | |||||||||
First Franklin Mortgage Loan Asset-Backed Certificates(04-FF5-A3C) |
| |||||||||||
3.48% (1 mo. USD LIBOR + 1.000%) (4) | 08/25/34 | 8,688 | 8,517 | |||||||||
JP Morgan Mortgage Trust(05-A5-TA1) |
| |||||||||||
4.53%(2) | 08/25/35 | 1,201 | 1,214 | |||||||||
JPMorgan Mortgage Trust(05-A6-7A1) |
| |||||||||||
4.32%(2) | 08/25/35 | 19,742 | 19,255 | |||||||||
MASTR Seasoned Securitization Trust(05-1-4A1) |
| |||||||||||
4.59%(2) | 10/25/32 | 14,829 | 15,194 | |||||||||
Mid-State Trust(04-1-M1) |
| |||||||||||
6.50% | 08/15/37 | 21,011 | 22,210 | |||||||||
Morgan Stanley Mortgage Loan Trust(04-6AR-1A) |
| |||||||||||
3.38% (1 mo. USD LIBOR + 0.900%) (4) | 07/25/34 | 2,856 | 2,868 | |||||||||
Residential Asset Mortgage Products, Inc.(04-SL3-A2) |
| |||||||||||
6.50% | 12/25/31 | 1,484 | 1,481 | |||||||||
|
| |||||||||||
Total Residential Mortgage-backedSecurities — Non-agency |
| |||||||||||
(Cost: $123,050) |
| 137,649 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATE BONDS — 30.4% |
| |||||||||||
Aerospace/Defense — 0.3% | ||||||||||||
United Technologies Corp. |
| |||||||||||
3.33%(2)(4) | 08/16/21 | $ | 4,000 | $ | 4,004 | |||||||
|
| |||||||||||
Airlines — 3.3% | ||||||||||||
Continental Airlines, Inc. Pass-Through Certificates(00-1-A1) (EETC) |
| |||||||||||
8.05% | 05/01/22 | 32,165 | 32,798 | |||||||||
US Airways Group, Inc. Pass-Through Certificates(12-1-A) (EETC) |
| |||||||||||
5.90% | 04/01/26 | 7,435 | 8,070 | |||||||||
|
| |||||||||||
40,868 | ||||||||||||
|
| |||||||||||
Auto Manufacturers — 1.6% | ||||||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
4.25% | 09/20/22 | 10,000 | 10,099 | |||||||||
5.75% | 02/01/21 | 5,000 | 5,181 | |||||||||
General Motors Financial Co., Inc. |
| |||||||||||
3.55% | 04/09/21 | 5,000 | 5,047 | |||||||||
|
| |||||||||||
20,327 | ||||||||||||
|
| |||||||||||
Banks — 6.3% | ||||||||||||
Bank of America NA |
| |||||||||||
3.34% (3.335% to 1/25/22 then 3 mo. USD LIBOR + 0.650%) (2) | 01/25/23 | 10,000 | 10,127 | |||||||||
Citigroup, Inc. |
| |||||||||||
3.53% (3 mo. USD LIBOR + 0.950%) (4) | 07/24/23 | 22,000 | 22,150 | |||||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||||
2.91% (3 mo. USD LIBOR + 0.990%) (4) | 07/24/23 | 5,000 | 4,967 | |||||||||
JPMorgan Chase & Co. |
| |||||||||||
3.60% (3 mo. USD LIBOR + 1.000%) (4) | 01/15/23 | 25,000 | 25,306 | |||||||||
Lloyds TSB Bank PLC (United Kingdom) |
| |||||||||||
6.38% | 01/21/21 | 10,000 | 10,593 | |||||||||
Santander UK Group Holdings PLC (United Kingdom) |
| |||||||||||
3.13% | 01/08/21 | 5,000 | 5,003 | |||||||||
|
| |||||||||||
78,146 | ||||||||||||
|
| |||||||||||
Commercial Services — 0.4% | ||||||||||||
IHS Markit, Ltd. |
| |||||||||||
5.00%(1) | 11/01/22 | 5,000 | 5,264 | |||||||||
|
| |||||||||||
Diversified Financial Services — 0.5% | ||||||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Ireland) |
| |||||||||||
4.63% | 10/30/20 | 6,000 | 6,139 | |||||||||
|
| |||||||||||
Food — 0.8% | ||||||||||||
Conagra Brands, Inc. |
| |||||||||||
3.09%(2)(4) | 10/09/20 | 10,000 | 9,976 | |||||||||
|
|
See accompanying notes to financial statements.
19
Table of Contents
TCW Enhanced Commodity Strategy Fund
Consolidated Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Healthcare-Products — 0.4% | ||||||||||||
Becton Dickinson and Co. |
| |||||||||||
2.89% | 06/06/22 | $ | 5,000 | $ | 4,987 | |||||||
|
| |||||||||||
Healthcare-Services — 0.8% | ||||||||||||
Fresenius Medical Care US Finance II, Inc. |
| |||||||||||
4.13%(1) | 10/15/20 | 5,000 | 5,065 | |||||||||
HCA, Inc. |
| |||||||||||
5.00% | 03/15/24 | 5,000 | 5,299 | |||||||||
|
| |||||||||||
10,364 | ||||||||||||
|
| |||||||||||
Insurance — 5.6% | ||||||||||||
Nationwide Mutual Insurance Co. |
| |||||||||||
4.90% (3 mo. USD LIBOR + 2.290%) (1)(4) | 12/15/24 | 70,000 | 69,825 | |||||||||
|
| |||||||||||
Media — 0.7% | ||||||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital |
| |||||||||||
4.23%(2) | 02/01/24 | 4,000 | 4,026 | |||||||||
Fox Corp. |
| |||||||||||
3.67%(1) | 01/25/22 | 4,000 | 4,085 | |||||||||
|
| |||||||||||
8,111 | ||||||||||||
|
| |||||||||||
Miscellaneous Manufacturers — 0.6% | ||||||||||||
General Electric Co. |
| |||||||||||
3.16% (3 mo. USD LIBOR + 0.480%) (4) | 08/15/36 | 10,000 | 7,781 | |||||||||
|
| |||||||||||
Pharmaceuticals — 2.0% | ||||||||||||
Allergan Sales LLC |
| |||||||||||
5.00%(1) | 12/15/21 | 6,000 | 6,254 | |||||||||
Bayer US Finance II LLC |
| |||||||||||
3.62%(1)(2) | 12/15/23 | 10,000 | 9,866 | |||||||||
CVS Health Corp. |
| |||||||||||
3.32%(2) | 03/09/21 | 8,000 | 8,035 | |||||||||
|
| |||||||||||
24,155 | ||||||||||||
|
| |||||||||||
Pipelines — 0.4% | ||||||||||||
Energy Transfer Operating LP |
| |||||||||||
4.50% | 04/15/24 | 5,000 | 5,224 | |||||||||
|
| |||||||||||
Real Estate — 0.4% | ||||||||||||
WEA Finance LLC |
| |||||||||||
3.15%(1) | 04/05/22 | 5,000 | 5,029 | |||||||||
|
| |||||||||||
REIT — 4.9% | ||||||||||||
American Campus Communities Operating Partnership LP |
| |||||||||||
3.75% | 04/15/23 | 5,000 | 5,068 | |||||||||
Camden Property Trust |
| |||||||||||
2.95% | 12/15/22 | 5,000 | 5,017 | |||||||||
Digital Realty Trust LP |
| |||||||||||
5.25% | 03/15/21 | 5,000 | 5,178 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
REIT (Continued) | ||||||||||||
GLP Capital LP / GLP Financing II, Inc. |
| |||||||||||
5.38% | 11/01/23 | $ | 5,000 | $ | 5,284 | |||||||
HCP, Inc. |
| |||||||||||
3.15% | 08/01/22 | 15,000 | 15,028 | |||||||||
Healthcare Trust of America Holdings LP |
| |||||||||||
3.70% | 04/15/23 | 5,000 | 5,054 | |||||||||
National Retail Properties, Inc. |
| |||||||||||
3.80% | 10/15/22 | 5,000 | 5,114 | |||||||||
SL Green Operating Partnership LP |
| |||||||||||
3.25% | 10/15/22 | 5,000 | 4,997 | |||||||||
UDR, Inc. |
| |||||||||||
4.63% | 01/10/22 | 5,000 | 5,189 | |||||||||
Welltower, Inc. |
| |||||||||||
5.25% | 01/15/22 | 5,000 | 5,285 | |||||||||
|
| |||||||||||
61,214 | ||||||||||||
|
| |||||||||||
Telecommunications — 1.2% | ||||||||||||
AT&T, Inc. |
| |||||||||||
3.78%(2) | 06/12/24 | 10,000 | 10,043 | |||||||||
Vodafone Group PLC (United Kingdom) |
| |||||||||||
3.75% | 01/16/24 | 4,000 | 4,073 | |||||||||
|
| |||||||||||
14,116 | ||||||||||||
|
| |||||||||||
Trucking & Leasing — 0.2% | ||||||||||||
Park Aerospace Holdings, Ltd. |
| |||||||||||
4.50%(1) | 03/15/23 | 2,000 | 2,025 | |||||||||
|
| |||||||||||
Total Corporate Bonds | ||||||||||||
(Cost: $370,656) |
| 377,555 | ||||||||||
|
| |||||||||||
U.S. TREASURY SECURITIES — 10.1% | ||||||||||||
U.S. Treasury Note |
| |||||||||||
2.25% | 03/31/21 | 75,000 | 74,965 | |||||||||
2.25% | 04/30/21 | 5,000 | 4,998 | |||||||||
2.50% | 01/31/21 | 10,000 | 10,035 | |||||||||
2.50% | 02/28/21 | 35,000 | 35,132 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost: $124,834) |
| 125,130 | ||||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $960,798) |
| 995,360 | ||||||||||
|
| |||||||||||
Security | Shares | |||||||||||
Money Market Investments — 8.8% | ||||||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 2.37% (6)(7) | 110,019 | 110,019 | ||||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $110,019) |
| 110,019 | ||||||||||
|
|
See accompanying notes to financial statements.
20
Table of Contents
TCW Enhanced Commodity Strategy Fund
April 30, 2019 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
SHORT TERM INVESTMENTS — 7.0% |
| |||||||||||
U.S. TREASURY SECURITIES — 7.0% |
| |||||||||||
U.S. Treasury Bill (8) | $ | 87,000 | $ | 86,845 | ||||||||
|
| |||||||||||
Total Short Term Investments |
| |||||||||||
(Cost: $86,845) |
| 86,845 | ||||||||||
|
| |||||||||||
Total Investments (95.9%) | ||||||||||||
(Cost: $1,157,662) |
| 1,192,224 | ||||||||||
Excess Of Other Assets Over Liabilities (4.1%) |
| 50,953 | ||||||||||
|
| |||||||||||
Net Assets (100.0%) | $ | 1,243,177 | ||||||||||
|
|
Total Return Swaps(7) | ||||||||||||||||||||||||||||
Notional Amount | Expiration Date | Counterparty | Payment Made by Fund | Payment Received by Fund | Payment Frequency | Unrealized (Depreciation) | Premium Paid | Value | ||||||||||||||||||||
OTC Swaps | ||||||||||||||||||||||||||||
$ | 1,255,881 | 5/21/19 | Credit Suisse International | 3-Month U.S. Treasury Bills plus 0.2% | Credit Suisse Custom 24 Total Return Index (9) | Monthly | $ (16,562) | $ | — | $ | (16,562 | ) | ||||||||||||||||
|
|
|
|
|
|
Notes to Schedule of Investments:
CLO - | Collateralized Loan Obligation. |
EETC - | Enhanced Equipment Trust Certificate. |
I/O - | Interest Only Security. |
OTC - | Over the Counter. |
REIT - | Real Estate Investment Trust. |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only to qualified institutional buyers. At April 30, 2019, the value of these securities amounted to $173,641 or 14.0% of net assets. These securities are determined to be liquid by the Fund’s investment advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(2) | 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) | This security is purchased on a when-issued, delayed delivery or forward commitment basis. |
(4) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2019. |
(5) | Restricted security (Note 11). |
(6) | Rate disclosed is the7-day net yield as of April 30, 2019. |
(7) | All or a portion of this security is owned by TCW Cayman Enhanced Commodity Fund, Ltd. |
(8) | Rate shown representsyield-to-maturity. |
(9) | Custom Index has exposure to the following commodities as shown on the next page. |
See accompanying notes to financial statements.
21
Table of Contents
TCW Enhanced Commodity Strategy Fund
Consolidated Schedule of Investments (Unaudited) (Continued)
Description(1) | Notional Amount | Weight% | Unrealized Appreciation (Depreciation) | |||||||||
Gold | $ | 146,813 | 11.69 | % | $ | 1,083 | ||||||
WTI Crude Oil | 120,189 | 9.57 | % | (263 | ) | |||||||
Brent Crude Oil | 108,759 | 8.66 | % | 912 | ||||||||
Copper High Grade | 96,452 | 7.68 | % | (740 | ) | |||||||
Natural Gas | 90,926 | 7.24 | % | 616 | ||||||||
Corn | 66,938 | 5.33 | % | (866 | ) | |||||||
Soybeans | 66,687 | 5.31 | % | (3,099 | ) | |||||||
Aluminium Primary | 50,235 | 4.00 | % | (2,058 | ) | |||||||
Live Cattle | 44,458 | 3.54 | % | (3,225 | ) | |||||||
Silver | 44,207 | 3.52 | % | (163 | ) | |||||||
Zinc High Grade | 43,453 | 3.46 | % | 1,087 | ||||||||
RBOB Gasoline | 41,193 | 3.28 | % | 573 | ||||||||
Soybean Meal | 38,430 | 3.06 | % | (841 | ) | |||||||
Gasoil | 36,923 | 2.94 | % | 28 | ||||||||
Sugar #11 | 36,797 | 2.93 | % | (1,882 | ) | |||||||
Soybean Oil | 36,295 | 2.89 | % | (1,556 | ) | |||||||
Nickel Primary | 35,541 | 2.83 | % | (1,380 | ) | |||||||
Lean Hogs | 33,030 | 2.63 | % | (3,175 | ) | |||||||
SRW Wheat | 31,146 | 2.48 | % | (1,393 | ) | |||||||
Heating Oil | 30,392 | 2.42 | % | 23 | ||||||||
Coffee ‘C’ Arabica | 26,876 | 2.14 | % | 71 | ||||||||
Cotton | 17,959 | 1.43 | % | (339 | ) | |||||||
HRW Wheat | 12,182 | 0.97 | % | (966 | ) | |||||||
United States Treasury Bill | — | — | 991 | |||||||||
|
|
|
|
|
| |||||||
$ | 1,255,881 | 100.00 | % | $ | (16,562 | ) | ||||||
|
|
|
|
|
|
(1) | Commodity Exposures of the Credit Suisse Custom 24 Total Return Index. |
See accompanying notes to financial statements.
22
Table of Contents
TCW Enhanced Commodity Strategy Fund
Investments by Sector (Unaudited) | April 30, 2019 |
Sector | Percentage of Net Assets | |||
Corporate Bonds | 30.4 | % | ||
Commercial Mortgage-Backed Securities —Non-Agency | 11.1 | |||
Residential Mortgage-Backed Securities —Non-Agency | 11.1 | |||
Asset-Backed Securities | 10.1 | |||
U.S. Treasury Securities | 10.1 | |||
Money Market Investments | 8.8 | |||
U.S. Treasury Bills | 7.0 | |||
Commercial Mortgage-Backed Securities — Agency | 6.4 | |||
Residential Mortgage-Backed Securities — Agency | 0.9 | |||
Other* | 4.1 | |||
|
| |||
Total | 100.0 | % | ||
|
|
* | Includes cash, swaps, pending trades, interest receivable and accrued expenses payable. |
See accompanying notes to Schedule of Investments.
23
Table of Contents
TCW Enhanced Commodity Strategy Fund
Fair Valuation Summary (Unaudited) | April 30, 2019 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2019 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 | $ | — | $ | 125,193 | $ | — | $ | 125,193 | ||||||||
Commercial Mortgage-Backed Securities — Agency | — | 80,229 | — | 80,229 | ||||||||||||
Commercial Mortgage-Backed Securities —Non-Agency | — | 137,919 | — | 137,919 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 11,685 | — | 11,685 | ||||||||||||
Residential Mortgage-Backed Securities —Non-Agency | — | 137,649 | — | 137,649 | ||||||||||||
Corporate Bonds* | — | 377,555 | — | 377,555 | ||||||||||||
U.S. Treasury Securities | 125,130 | — | — | 125,130 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | 125,130 | 870,230 | — | 995,360 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 110,019 | — | — | 110,019 | ||||||||||||
Short-Term Investments | 86,845 | — | — | 86,845 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 321,994 | 870,230 | — | 1,192,224 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Total Return Swaps | ||||||||||||||||
Commodity Risk | $ | — | $ | (16,562 | ) | $ | — | $ | (16,562 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (16,562 | ) | $ | — | $ | (16,562 | ) | ||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
See accompanying notes to financial statements.
24
Table of Contents
Schedule of Investments (Unaudited) | April 30, 2019 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 93.7% of Net Assets |
| |||||||||||
CORPORATE BONDS — 20.7% |
| |||||||||||
Advertising — 0.0% | ||||||||||||
Clear Channel International BV (Netherlands) |
| |||||||||||
8.75% (1) | 12/15/20 | $ | 3,000 | $ | 3,075 | |||||||
|
| |||||||||||
Aerospace/Defense — 0.4% | ||||||||||||
BAE Systems Holdings, Inc. |
| |||||||||||
6.38% (1) | 06/01/19 | 35,000 | 35,097 | |||||||||
L3 Technologies, Inc. |
| |||||||||||
4.40% | 06/15/28 | 25,000 | 26,400 | |||||||||
|
| |||||||||||
61,497 | ||||||||||||
|
| |||||||||||
Agriculture — 0.2% | ||||||||||||
BAT Capital Corp. |
| |||||||||||
4.54% | 08/15/47 | 10,000 | 8,957 | |||||||||
Reynolds American, Inc. |
| |||||||||||
4.45% | 06/12/25 | 25,000 | 25,810 | |||||||||
|
| |||||||||||
34,767 | ||||||||||||
|
| |||||||||||
Airlines — 0.8% | ||||||||||||
Continental Airlines, Inc. Pass-Through Trust(01-1A-1) (EETC) |
| |||||||||||
6.70% | 12/15/22 | 11,260 | 11,856 | |||||||||
Delta Air Lines, Inc. Pass-Through Certificates(02-1G1) (EETC) |
| |||||||||||
6.72% | 07/02/24 | 60,889 | 64,919 | |||||||||
US Airways Group, Inc. Pass-Through Certificates(10-1A) (EETC) |
| |||||||||||
6.25% | 10/22/24 | 12,088 | 13,064 | |||||||||
US Airways Group, Inc. Pass-Through Certificates(12-1-A) (EETC) |
| |||||||||||
5.90% | 04/01/26 | 37,175 | 40,349 | |||||||||
|
| |||||||||||
130,188 | ||||||||||||
|
| |||||||||||
Auto Manufacturers — 0.9% | ||||||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
2.34% | 11/02/20 | 25,000 | 24,596 | |||||||||
3.20% | 01/15/21 | 15,000 | 14,925 | |||||||||
3.82% (3 mo. USD LIBOR + 1.080%) (2) | 08/03/22 | 25,000 | 24,243 | |||||||||
3.87% (3 mo. USD LIBOR + 1.270%) (2) | 03/28/22 | 20,000 | 19,703 | |||||||||
8.13% | 01/15/20 | 65,000 | 67,232 | |||||||||
|
| |||||||||||
150,699 | ||||||||||||
|
| |||||||||||
Banks — 3.9% | ||||||||||||
Bank of America Corp. |
| |||||||||||
3.00% (3.004% to 12/20/22 then 3 mo. USD LIBOR + 0.790%) (2) | 12/20/23 | 10,000 | 9,964 | |||||||||
Bank of New York Mellon Corp. (The) |
| |||||||||||
3.25% | 09/11/24 | 10,000 | 10,143 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Banks (Continued) | ||||||||||||
Citigroup, Inc. |
| |||||||||||
3.14% (3) | 01/24/23 | $ | 75,000 | $ | 75,329 | |||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||||
2.88% (2.876% to 10/31/17 then 3 mo. USD LIBOR + 0.821%) (2) | 10/31/22 | 100,000 | 99,517 | |||||||||
2.91% (3 mo. USD LIBOR + 0.990%) (2) | 07/24/23 | 50,000 | 49,672 | |||||||||
JPMorgan Chase & Co. |
| |||||||||||
3.31% (3 mo. USD LIBOR + 0.680%) (2) | 06/01/21 | 50,000 | 50,215 | |||||||||
3.90% | 07/15/25 | 100,000 | 103,628 | |||||||||
4.02% (4.023% to 12/05/23 then 3 mo. USD LIBOR + 1.000%) (2) | 12/05/24 | 40,000 | 41,498 | |||||||||
Kreditanstalt fuer Wiederaufbau (Germany) |
| |||||||||||
1.13% (4) | 06/15/37 | 40,000 | 46,958 | |||||||||
Lloyds Banking Group PLC (United Kingdom) |
| |||||||||||
2.91% (2.907% to 11/07/22 then 3 mo. USD LIBOR + 0.810%) (2) | 11/07/23 | 25,000 | 24,507 | |||||||||
Santander UK Group Holdings PLC (United Kingdom) |
| |||||||||||
4.80% (4.796% to 11/15/23 then 3 mo. USD LIBOR + 1.570%) (2) | 11/15/24 | 50,000 | 52,282 | |||||||||
Wells Fargo & Co. | ||||||||||||
3.00% | 04/22/26 | 85,000 | 83,072 | |||||||||
|
| |||||||||||
646,785 | ||||||||||||
|
| |||||||||||
Beverages — 0.4% | ||||||||||||
Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide, Inc. |
| |||||||||||
4.90% (1) | 02/01/46 | 29,000 | 29,296 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. |
| |||||||||||
4.75% | 01/23/29 | 25,000 | 26,789 | |||||||||
Bacardi, Ltd. |
| |||||||||||
4.70% (1) | 05/15/28 | 15,000 | 15,339 | |||||||||
|
| |||||||||||
71,424 | ||||||||||||
|
| |||||||||||
Biotechnology — 0.5% | ||||||||||||
Amgen, Inc. |
| |||||||||||
4.40% | 05/01/45 | 25,000 | 24,593 | |||||||||
Baxalta, Inc. |
| |||||||||||
2.88% | 06/23/20 | 6,000 | 5,995 | |||||||||
Celgene Corp. |
| |||||||||||
3.88% | 08/15/25 | 20,000 | 20,641 | |||||||||
Gilead Sciences, Inc. |
| |||||||||||
3.65% | 03/01/26 | 40,000 | 40,831 | |||||||||
|
| |||||||||||
92,060 | ||||||||||||
|
|
See accompanying notes to financial statements.
25
Table of Contents
TCW Global Bond Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Commercial Services — 0.2% | ||||||||||||
IHS Markit, Ltd. |
| |||||||||||
4.75% | 08/01/28 | $ | 30,000 | $ | 31,315 | |||||||
|
| |||||||||||
Diversified Financial Services — 0.2% | ||||||||||||
Air Lease Corp. |
| |||||||||||
2.13% | 01/15/20 | 35,000 | 34,829 | |||||||||
|
| |||||||||||
Electric — 1.1% | ||||||||||||
AEP Texas Central Co. |
| |||||||||||
3.85% (1) | 10/01/25 | 50,000 | 50,958 | |||||||||
ITC Holdings Corp. |
| |||||||||||
3.65% | 06/15/24 | 40,000 | 40,657 | |||||||||
MidAmerican Energy Co. |
| |||||||||||
3.10% | 05/01/27 | 40,000 | 40,110 | |||||||||
Pennsylvania Electric Co. |
| |||||||||||
3.25% (1) | 03/15/28 | 50,000 | 48,507 | |||||||||
|
| |||||||||||
180,232 | ||||||||||||
|
| |||||||||||
Entertainment — 0.1% | ||||||||||||
Churchill Downs, Inc. |
| |||||||||||
4.75% (1) | 01/15/28 | 10,000 | 9,850 | |||||||||
5.50% (1) | 04/01/27 | 5,000 | 5,134 | |||||||||
|
| |||||||||||
14,984 | ||||||||||||
|
| |||||||||||
Environmental Control — 0.0% | ||||||||||||
Clean Harbors, Inc. |
| |||||||||||
5.13% | 06/01/21 | 5,000 | 5,019 | |||||||||
|
| |||||||||||
Food — 0.4% | ||||||||||||
Kraft Heinz Foods Co. |
| |||||||||||
3.95% | 07/15/25 | 35,000 | 35,349 | |||||||||
Kroger Co. (The) |
| |||||||||||
4.50% | 01/15/29 | 15,000 | 15,619 | |||||||||
Post Holdings, Inc. |
| |||||||||||
5.75% (1) | 03/01/27 | 7,000 | 7,210 | |||||||||
Tyson Foods, Inc. |
| |||||||||||
4.00% | 03/01/26 | 5,000 | 5,157 | |||||||||
|
| |||||||||||
63,335 | ||||||||||||
|
| |||||||||||
Forest Products & Paper — 0.3% | ||||||||||||
Georgia-Pacific LLC |
| |||||||||||
2.54% (1) | 11/15/19 | 50,000 | 49,945 | |||||||||
|
| |||||||||||
Healthcare-Products — 0.2% | ||||||||||||
Becton Dickinson and Co. |
| |||||||||||
2.89% | 06/06/22 | 30,000 | 29,921 | |||||||||
|
| |||||||||||
Healthcare-Services — 1.3% | ||||||||||||
Anthem, Inc. |
| |||||||||||
3.50% | 08/15/24 | 50,000 | 50,648 | |||||||||
Catalent Pharma Solutions, Inc. |
| |||||||||||
4.88% (1) | 01/15/26 | 15,000 | 15,113 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Healthcare-Services (Continued) | ||||||||||||
Centene Corp. |
| |||||||||||
4.75% | 01/15/25 | $ | 10,000 | $ | 10,170 | |||||||
5.63% | 02/15/21 | 16,000 | 16,280 | |||||||||
CHS / Community Health Systems, Inc. |
| |||||||||||
8.00% (1) | 03/15/26 | 4,000 | 3,910 | |||||||||
Fresenius Medical Care US Finance II, Inc. |
| |||||||||||
5.63% (1) | 07/31/19 | 50,000 | 50,261 | |||||||||
HCA, Inc. |
| |||||||||||
5.00% | 03/15/24 | 3,000 | 3,179 | |||||||||
5.25% | 04/15/25 | 2,000 | 2,145 | |||||||||
5.38% | 02/01/25 | 4,000 | 4,220 | |||||||||
5.88% | 02/01/29 | 13,000 | 14,008 | |||||||||
6.50% | 02/15/20 | 6,000 | 6,174 | |||||||||
Molina Healthcare, Inc. |
| |||||||||||
5.38% | 11/15/22 | 16,000 | 16,800 | |||||||||
Tenet Healthcare Corp. |
| |||||||||||
4.75% | 06/01/20 | 15,000 | 15,206 | |||||||||
6.00% | 10/01/20 | 5,000 | 5,181 | |||||||||
WellCare Health Plans, Inc. |
| |||||||||||
5.25% | 04/01/25 | 5,000 | 5,181 | |||||||||
|
| |||||||||||
218,476 | ||||||||||||
|
| |||||||||||
Household Products/Wares — 0.1% | ||||||||||||
Central Garden & Pet Co. |
| |||||||||||
5.13% | 02/01/28 | 10,000 | 9,550 | |||||||||
Spectrum Brands, Inc. |
| |||||||||||
5.75% | 07/15/25 | 15,000 | 15,380 | |||||||||
|
| |||||||||||
24,930 | ||||||||||||
|
| |||||||||||
Insurance — 0.5% | ||||||||||||
Farmers Exchange Capital II |
| |||||||||||
6.15% (3 mo. USD LIBOR + 3.744%) (1)(2) | 11/01/53 | 80,000 | 85,557 | |||||||||
|
| |||||||||||
Internet — 0.0% | ||||||||||||
Zayo Group LLC / Zayo Capital, Inc. |
| |||||||||||
5.75% (1) | 01/15/27 | 3,000 | 3,053 | |||||||||
|
| |||||||||||
Media — 0.8% | ||||||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. |
| |||||||||||
5.13% (1) | 05/01/27 | 8,000 | 8,110 | |||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital |
| |||||||||||
6.48% | 10/23/45 | 30,000 | 34,026 | |||||||||
CSC Holdings LLC |
| |||||||||||
5.50% (1) | 05/15/26 | 10,000 | 10,294 | |||||||||
6.50% (1) | 02/01/29 | 14,000 | 15,059 | |||||||||
Sirius XM Radio, Inc. |
| |||||||||||
3.88% (1) | 08/01/22 | 15,000 | 15,000 | |||||||||
Walt Disney Co. (The) |
| |||||||||||
4.95% (1) | 10/15/45 | 20,000 | 23,779 |
See accompanying notes to financial statements.
26
Table of Contents
TCW Global Bond Fund
April 30, 2019 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Media (Continued) | ||||||||||||
Warner Media LLC |
| |||||||||||
3.88% | 01/15/26 | $ | 25,000 | $ | 25,468 | |||||||
|
| |||||||||||
131,736 | ||||||||||||
|
| |||||||||||
Miscellaneous Manufacturers — 1.1% | ||||||||||||
General Electric Co. |
| |||||||||||
3.16% (3 mo. USD LIBOR + 0.480%) (2) | 08/15/36 | 200,000 | 155,618 | |||||||||
5.55% | 01/05/26 | 25,000 | 27,024 | |||||||||
|
| |||||||||||
182,642 | ||||||||||||
|
| |||||||||||
Oil & Gas — 1.2% | ||||||||||||
Antero Resources Corp. |
| |||||||||||
5.00% | 03/01/25 | 3,000 | 2,955 | |||||||||
Centennial Resource Production LLC |
| |||||||||||
6.88% (1) | 04/01/27 | 4,000 | 4,155 | |||||||||
Parsley Energy LLC / Parsley Finance Corp. |
| |||||||||||
5.38% (1) | 01/15/25 | 3,000 | 3,063 | |||||||||
Petroleos Mexicanos |
| |||||||||||
3.13% (4) | 11/27/20 | EUR | 100,000 | 116,074 | ||||||||
5.50% (4) | 02/24/25 | EUR | 30,000 | 37,150 | ||||||||
Range Resources Corp. |
| |||||||||||
5.00% | 03/15/23 | 9,000 | 8,790 | |||||||||
Transocean Pontus, Ltd. |
| |||||||||||
6.13% (1) | 08/01/25 | 15,120 | 15,574 | |||||||||
Transocean Poseidon, Ltd. |
| |||||||||||
6.88% (1) | 02/01/27 | 2,000 | 2,135 | |||||||||
WPX Energy, Inc. |
| |||||||||||
5.75% | 06/01/26 | 5,000 | 5,187 | |||||||||
|
| |||||||||||
195,083 | ||||||||||||
|
| |||||||||||
Oil & Gas Services — 0.0% | ||||||||||||
USA Compression Partners LP / USA Compression Finance Corp. |
| |||||||||||
6.88% (1) | 09/01/27 | 4,000 | 4,230 | |||||||||
|
| |||||||||||
Packaging & Containers — 0.5% | ||||||||||||
Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. (United Kingdom) |
| |||||||||||
7.25% (1) | 05/15/24 | 14,000 | 14,802 | |||||||||
Berry Global, Inc. |
| |||||||||||
4.50% (1) | 02/15/26 | 4,000 | 3,890 | |||||||||
Crown Americas LLC / Crown Americas Capital Corp. V |
| |||||||||||
4.25% | 09/30/26 | 2,000 | 1,955 | |||||||||
Graphic Packaging International, Inc. |
| |||||||||||
4.88% | 11/15/22 | 8,000 | 8,200 | |||||||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer (Luxembourg) |
| |||||||||||
5.75% | 10/15/20 | 4,846 | 4,861 | |||||||||
6.10% (3 mo. USD LIBOR + 3.500%) (1)(2) | 07/15/21 | 20,000 | 20,125 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Packaging & Containers (Continued) | ||||||||||||
Sealed Air Corp. |
| |||||||||||
5.50% (1) | 09/15/25 | $ | 14,000 | $ | 14,735 | |||||||
WRKCo, Inc. |
| |||||||||||
4.65% | 03/15/26 | 15,000 | 15,871 | |||||||||
|
| |||||||||||
84,439 | ||||||||||||
|
| |||||||||||
Pharmaceuticals — 0.9% | ||||||||||||
AbbVie, Inc. |
| |||||||||||
4.50% | 05/14/35 | 25,000 | 24,496 | |||||||||
AstraZeneca PLC (United Kingdom) |
| |||||||||||
3.38% | 11/16/25 | 25,000 | 25,303 | |||||||||
Bausch Health Cos, Inc. (Canada) |
| |||||||||||
5.50% (1) | 11/01/25 | 14,000 | 14,381 | |||||||||
Bayer US Finance II LLC |
| |||||||||||
3.62% (1)(3) | 12/15/23 | 50,000 | 49,333 | |||||||||
CVS Health Corp. |
| |||||||||||
5.05% | 03/25/48 | 40,000 | 39,533 | |||||||||
|
| |||||||||||
153,046 | ||||||||||||
|
| |||||||||||
Pipelines — 0.6% | ||||||||||||
Energy Transfer Partners LP |
| |||||||||||
5.15% | 03/15/45 | 50,000 | 48,809 | |||||||||
Rockies Express Pipeline LLC |
| |||||||||||
5.63% (1) | 04/15/20 | 24,000 | 24,656 | |||||||||
Sabine Pass Liquefaction LLC |
| |||||||||||
5.75% | 05/15/24 | 15,000 | 16,483 | |||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. |
| |||||||||||
6.88% (1) | 01/15/29 | 3,000 | 3,248 | |||||||||
|
| |||||||||||
93,196 | ||||||||||||
|
| |||||||||||
REIT — 1.8% | ||||||||||||
Alexandria Real Estate Equities, Inc. |
| |||||||||||
3.45% | 04/30/25 | 25,000 | 25,151 | |||||||||
American Campus Communities Operating Partnership LP |
| |||||||||||
3.35% | 10/01/20 | 50,000 | 50,225 | |||||||||
AvalonBay Communities, Inc. |
| |||||||||||
3.03% (3) | 01/15/21 | 40,000 | 39,900 | |||||||||
GLP Capital LP / GLP Financing II, Inc. |
| |||||||||||
5.30% | 01/15/29 | 15,000 | 15,904 | |||||||||
5.38% | 04/15/26 | 25,000 | 26,464 | |||||||||
HCP, Inc. |
| |||||||||||
3.15% | 08/01/22 | 50,000 | 50,091 | |||||||||
Host Hotels & Resorts LP |
| |||||||||||
5.25% | 03/15/22 | 40,000 | 41,842 | |||||||||
SL Green Operating Partnership LP |
| |||||||||||
3.66% (3) | 08/16/21 | 50,000 | 50,035 | |||||||||
|
| |||||||||||
299,612 | ||||||||||||
|
|
See accompanying notes to financial statements.
27
Table of Contents
TCW Global Bond Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Retail — 0.5% | ||||||||||||
Alimentation Couche-Tard, Inc. (Canada) |
| |||||||||||
2.70% (1) | 07/26/22 | $ | 10,000 | $ | 9,879 | |||||||
KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC |
| |||||||||||
5.25% (1) | 06/01/26 | 4,000 | 4,120 | |||||||||
Rite Aid Corp. |
| |||||||||||
6.13% (1) | 04/01/23 | 15,000 | 12,806 | |||||||||
Walgreens Boots Alliance, Inc. |
| |||||||||||
3.45% | 06/01/26 | 60,000 | 58,090 | |||||||||
|
| |||||||||||
84,895 | ||||||||||||
|
| |||||||||||
Savings & Loans — 0.1% | ||||||||||||
Nationwide Building Society (United Kingdom) |
| |||||||||||
3.77% (3.766% to 03/08/23 then 3 mo. USD LIBOR + 1.064%) (1)(2) | 03/08/24 | 15,000 | 15,090 | |||||||||
|
| |||||||||||
Software — 0.0% | ||||||||||||
Change Healthcare Holdings LLC / Change Healthcare Finance, Inc. |
| |||||||||||
5.75% (1) | 03/01/25 | 3,000 | 2,978 | |||||||||
SS&C Technologies, Inc. |
| |||||||||||
5.50% (1) | 09/30/27 | 5,000 | 5,137 | |||||||||
|
| |||||||||||
8,115 | ||||||||||||
|
| |||||||||||
Telecommunications — 1.6% | ||||||||||||
AT&T, Inc. |
| |||||||||||
3.40% | 05/15/25 | 45,000 | 45,273 | |||||||||
4.80% | 06/15/44 | 44,000 | 44,187 | |||||||||
Intelsat Jackson Holdings S. A. (Luxembourg) |
| |||||||||||
5.50% | 08/01/23 | 8,000 | 7,280 | |||||||||
8.50% (1) | 10/15/24 | 6,000 | 5,944 | |||||||||
9.75% (1) | 07/15/25 | 9,000 | 9,281 | |||||||||
Level 3 Financing, Inc. |
| |||||||||||
5.38% | 01/15/24 | 10,000 | 10,175 | |||||||||
Qwest Corp. |
| |||||||||||
7.25% | 09/15/25 | 14,000 | 15,347 | |||||||||
Sprint Capital Corp. |
| |||||||||||
8.75% | 03/15/32 | 8,000 | 8,410 | |||||||||
6.88% | 11/15/28 | 3,000 | 2,880 | |||||||||
Sprint Communications, Inc. |
| |||||||||||
7.00% (1) | 03/01/20 | 6,000 | 6,180 | |||||||||
Sprint Corp. |
| |||||||||||
7.13% | 06/15/24 | 2,000 | 2,009 | |||||||||
7.63% | 03/01/26 | 4,000 | 4,010 | |||||||||
T-Mobile USA, Inc. |
| |||||||||||
6.00% | 04/15/24 | 24,000 | 25,050 | |||||||||
Verizon Communications, Inc. |
| |||||||||||
4.27% | 01/15/36 | 55,000 | 56,622 | |||||||||
5.25% | 03/16/37 | 25,000 | 28,338 | |||||||||
|
| |||||||||||
270,986 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Trucking & Leasing — 0.1% | ||||||||||||
Avolon Holdings Funding, Ltd. |
| |||||||||||
3.95% (1) | 07/01/24 | $ | 15,000 | $ | 14,923 | |||||||
|
| |||||||||||
Total Corporate Bonds |
| |||||||||||
(Cost: $3,319,803) |
| 3,470,084 | ||||||||||
|
| |||||||||||
MUNICIPAL BOND — 0.2%(Cost: $40,000) |
| |||||||||||
Alabama Economic Settlement Authority, Revenue Bond |
| |||||||||||
4.26% | 09/15/32 | 40,000 | 41,607 | |||||||||
|
| |||||||||||
FOREIGN GOVERNMENT BONDS — 44.2% | ||||||||||||
Australia Government Bond |
| |||||||||||
2.75% (4) | 04/21/24 | AUD | 99,000 | 74,259 | ||||||||
3.25% (4) | 04/21/29 | AUD | 170,000 | 135,582 | ||||||||
Brazil Notas do Tesouro Nacional Serie F |
| |||||||||||
10.00% | 01/01/29 | BRL | 135,000 | 37,511 | ||||||||
Canadian Government Bond |
| |||||||||||
0.50% | 03/01/22 | CAD | 215,000 | 155,191 | ||||||||
0.75% | 03/01/21 | CAD | 375,000 | 274,685 | ||||||||
China Development Bank |
| |||||||||||
3.30% | 02/01/24 | CNY | 400,000 | 58,390 | ||||||||
China Government Bond |
| |||||||||||
3.22% | 12/06/25 | CNY | 300,000 | 43,983 | ||||||||
Colombian TES |
| |||||||||||
6.25% | 11/26/25 | COP | 300,000,000 | 92,657 | ||||||||
Czech Republic Government Bond |
| |||||||||||
0.45% (4) | 10/25/23 | CZK | 3,680,000 | 152,033 | ||||||||
1.50% (4) | 10/29/19 | CZK | 2,420,000 | 105,779 | ||||||||
2.75% | 07/23/29 | CZK | 3,290,000 | 154,404 | ||||||||
France Government Bond OAT |
| |||||||||||
0.00% (4)(5) | 03/25/24 | EUR | 58,000 | 65,792 | ||||||||
2.00% (1) | 05/25/48 | EUR | 90,000 | 116,925 | ||||||||
2.50% (4) | 05/25/30 | EUR | 34,000 | 46,542 | ||||||||
Hungary Government Bond |
| |||||||||||
3.00% | 08/21/30 | HUF | 14,000,000 | 47,085 | ||||||||
Indonesia Government International Bond |
| |||||||||||
2.63% (4) | 06/14/23 | EUR | 120,000 | 144,150 | ||||||||
Indonesia Treasury Bond |
| |||||||||||
8.25% | 05/15/29 | IDR | 775,000,000 | 56,154 | ||||||||
8.38% | 03/15/24 | IDR | 775,000,000 | 56,760 | ||||||||
Ireland Government Bond |
| |||||||||||
0.90% (4) | 05/15/28 | EUR | 186,000 | 217,611 | ||||||||
1.30% (4) | 05/15/33 | EUR | 90,000 | 105,792 | ||||||||
Israel Government Bond |
| |||||||||||
3.75% | 03/31/47 | ILS | 265,000 | 83,842 | ||||||||
Italy Buoni Ordinari del Tesoro BOT |
| |||||||||||
0.00% (5) | 10/14/19 | EUR | 225,000 | 252,288 | ||||||||
0.20% | 10/15/20 | EUR | 235,000 | 263,258 | ||||||||
Japan GovernmentTen-Year Bond |
| |||||||||||
1.00% | 09/20/21 | JPY | 95,800,000 | 883,897 |
See accompanying notes to financial statements.
28
Table of Contents
TCW Global Bond Fund
April 30, 2019 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
FOREIGN GOVERNMENT BONDS (Continued) | ||||||||||||
Japan Government Thirty Year Bond |
| |||||||||||
0.70% | 12/20/48 | JPY | 3,500,000 | $ | 32,720 | |||||||
Japan Government Thirty-Year Bond |
| |||||||||||
2.00% | 03/20/42 | JPY | 41,200,000 | 496,005 | ||||||||
Japan Government Twenty Year Bond |
| |||||||||||
0.50% | 09/20/36 | JPY | 10,100,000 | 94,165 | ||||||||
Kingdom of Belgium Government Bond |
| |||||||||||
1.70% (1) | 06/22/50 | EUR | 35,000 | 41,114 | ||||||||
Korea Treasury Bond |
| |||||||||||
1.75% | 12/10/20 | KRW | 170,000,000 | 145,581 | ||||||||
1.88% | 06/10/26 | KRW | 90,000,000 | 77,358 | ||||||||
Malaysia Government Bond |
| |||||||||||
4.06% | 09/30/24 | MYR | 225,000 | 55,247 | ||||||||
4.64% | 11/07/33 | MYR | 130,000 | 33,152 | ||||||||
Mexico Government Bond (BONOS) |
| |||||||||||
8.00% | 12/07/23 | MXN | 1,100,000 | 57,952 | ||||||||
Mexico Government International Bond |
| |||||||||||
1.88% | 02/23/22 | EUR | 100,000 | 117,443 | ||||||||
Norway Government Bond |
| |||||||||||
1.75% (1) | 02/17/27 | NOK | 650,000 | 75,765 | ||||||||
1.75% (1) | 09/06/29 | NOK | 355,000 | 41,056 | ||||||||
2.00% (1) | 05/24/23 | NOK | 1,020,000 | 120,525 | ||||||||
Peru Government Bond |
| |||||||||||
5.70% | 08/12/24 | PEN | 190,000 | 61,095 | ||||||||
Peruvian Government International Bond |
| |||||||||||
6.35% (4) | 08/12/28 | PEN | 185,000 | 60,919 | ||||||||
Poland Government Bond |
| |||||||||||
2.75% | 10/25/29 | PLN | 300,000 | 76,628 | ||||||||
3.25% | 07/25/25 | PLN | 265,000 | 71,973 | ||||||||
Portugal Obrigacoes do Tesouro OT |
| |||||||||||
2.13% (1) | 10/17/28 | EUR | 140,000 | 172,946 | ||||||||
Singapore Government Bond |
| |||||||||||
2.00% | 07/01/20 | SGD | 110,000 | 80,932 | ||||||||
2.75% | 03/01/46 | SGD | 220,000 | 167,554 | ||||||||
Slovenia Government Bond |
| |||||||||||
1.00% (4) | 03/06/28 | EUR | 83,000 | 97,739 | ||||||||
South Africa Government Bond |
| |||||||||||
8.00% | 01/31/30 | ZAR | 1,250,000 | 80,643 | ||||||||
Spain Government Bond |
| |||||||||||
1.30% (1) | 10/31/26 | EUR | 100,000 | 117,917 | ||||||||
1.40% | 01/31/20 | EUR | 85,000 | 96,520 | ||||||||
2.35% (1) | 07/30/33 | EUR | 40,000 | 49,966 | ||||||||
2.75% (1) | 10/31/24 | EUR | 192,000 | 245,271 | ||||||||
2.90% (1) | 10/31/46 | EUR | 128,000 | 167,744 | ||||||||
United Kingdom Gilt |
| |||||||||||
1.63% (4) | 10/22/28 | GBP | 35,000 | 47,433 | ||||||||
1.75% (4) | 07/22/19 | GBP | 241,000 | 314,874 | ||||||||
1.75% (4) | 09/07/37 | GBP | 94,000 | 125,027 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
FOREIGN GOVERNMENT BONDS (Continued) | ||||||||||||
2.00% (4) | 07/22/20 | GBP | 90,000 | $ | 119,112 | |||||||
2.75% (4) | 09/07/24 | GBP | 170,000 | 243,087 | ||||||||
|
| |||||||||||
Total Foreign Government Bonds |
| |||||||||||
(Cost: $7,754,050) | 7,410,033 | |||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES — 2.4% |
| |||||||||||
Babson CLO, Ltd.(13-IA-AR) |
| |||||||||||
3.39% (1)(3) | 01/20/28 | $ | 40,000 | 39,828 | ||||||||
BlueMountain CLO, Ltd.(13-1A-A1R2) |
| |||||||||||
0.00% (1)(3)(6)(5) | 01/20/29 | 45,000 | 45,028 | |||||||||
Educational Funding of the South, Inc.(11-1-A2) |
| |||||||||||
3.23% (3 mo. USD LIBOR + 0.650%) (2) | 04/25/35 | 20,477 | 20,384 | |||||||||
Magnetite XI, Ltd.(14-11A-A1R) |
| |||||||||||
3.72% (3 mo. USD LIBOR + 1.120%) (1)(2) | 01/18/27 | 19,035 | 19,057 | |||||||||
Navient Student Loan Trust(17-1A-A3) |
| |||||||||||
3.63% (1 mo. USD LIBOR + 1.150%) (1)(2) | 07/26/66 | 100,000 | 101,623 | |||||||||
Palmer Square CLO, Ltd.(19-1A-A1) |
| |||||||||||
3.75% (1)(3) | 04/20/27 | 40,000 | 40,039 | |||||||||
SLC Student Loan Trust(06-1-A6) |
| |||||||||||
2.77% (3 mo. USD LIBOR + 0.160%) (2) | 03/15/55 | 100,000 | 95,340 | |||||||||
Student Loan Consolidation Center(02-2-B2) |
| |||||||||||
0.00%(28-Day Auction | 07/01/42 | 50,000 | 47,100 | |||||||||
|
| |||||||||||
Total Asset-backed Securities |
| |||||||||||
(Cost: $400,624) | 408,399 | |||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY — 3.4% | ||||||||||||
Fannie Mae(14-M12-FA) |
| |||||||||||
2.78% (1 mo. USD LIBOR + 0.300%) (2) | 10/25/21 | 4,197 | 4,190 | |||||||||
Fannie Mae(16-M2-X3) (I/O) |
| |||||||||||
2.04% (3) | 04/25/36 | 2,119,858 | 92,995 | |||||||||
Fannie Mae(16-M4-X2) (I/O) |
| |||||||||||
2.67% (3) | 01/25/39 | 1,333,739 | 115,864 | |||||||||
Freddie Mac Multifamily Structured Pass Through Certificates(K019-X1) (I/O) |
| |||||||||||
1.76% (3) | 03/25/22 | 3,368,706 | 133,580 | |||||||||
Freddie Mac Multifamily Structured Pass Through Certificates(KW02-X1) (I/O) |
| |||||||||||
0.44% (3) | 12/25/26 | 3,993,008 | 63,607 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates(K025-X3) (I/O) |
| |||||||||||
1.81% (3) | 11/25/40 | 600,000 | 34,544 | |||||||||
FREMF Mortgage Trust(10-K6-AX2) (I/O) |
| |||||||||||
0.10% (1)(3) | 12/25/46 | 93,442,126 | 42,217 |
See accompanying notes to financial statements.
29
Table of Contents
TCW Global Bond Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Ginnie Mae(11-147-IO) (I/O) |
| |||||||||||
0.04% (3) | 10/16/44 | $ | 4,299,461 | $ | 30,247 | |||||||
Ginnie Mae(14-86-IO) (I/O) |
| |||||||||||
0.75% (3) | 04/16/56 | 1,490,993 | 56,146 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-backed Securities — Agency |
| |||||||||||
(Cost: $573,412) |
| 573,390 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 9.5% | ||||||||||||
Bank of America-First Union NB Commercial Mortgage(01-3-XC) (I/O) |
| |||||||||||
1.55% (1)(3)(7) | 04/11/37 | 1,169,913 | 14,887 | |||||||||
Citigroup Commercial Mortgage Trust(14-GC23-XA) |
| |||||||||||
1.12%(3)(8) | 07/10/47 | 1,060,747 | 43,185 | |||||||||
COMM Mortgage Trust(12-CR4-XA) (I/O) |
| |||||||||||
1.92%(3) | 10/15/45 | 938,358 | 46,737 | |||||||||
COMM Mortgage Trust(14-CR16-XA) (I/O) |
| |||||||||||
1.18%(3) | 04/10/47 | 3,858,545 | 154,312 | |||||||||
COMM Mortgage Trust(14-CR18-XA) (I/O) |
| |||||||||||
1.25%(3) | 07/15/47 | 3,984,700 | 150,587 | |||||||||
GS Mortgage Securities Trust(13-GC12-XA) (I/O) |
| |||||||||||
1.56%(3) | 06/10/46 | 5,180,779 | 228,987 | |||||||||
GS Mortgage Securities Trust(14-GC20-XA) (I/O) |
| |||||||||||
1.23%(3) | 04/10/47 | 1,437,034 | 52,482 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust(14-C19-XA) (I/O) |
| |||||||||||
1.14%(3) | 04/15/47 | 3,186,415 | 79,979 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust(11-C3-XB) (I/O) |
| |||||||||||
0.64%(1)(3) | 02/15/46 | 6,837,378 | 67,308 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust(13-C13-XA) (I/O) |
| |||||||||||
1.17%(3) | 11/15/46 | 4,585,402 | 170,916 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust(13-C7-XA) (I/O) |
| |||||||||||
1.49%(3) | 02/15/46 | 2,299,436 | 96,322 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust(13-C9-XB) (I/O) |
| |||||||||||
0.41%(1)(3) | 05/15/46 | 10,000,000 | 129,200 | |||||||||
Morgan Stanley Capital I Trust(99-RM1-X) (I/O) |
| |||||||||||
0.96%(1)(3)(7) | 12/15/31 | 517,515 | 138 | |||||||||
WFRBS Commercial Mortgage Trust(11-C4-A3) |
| |||||||||||
4.39%(1) | 06/15/44 | 870 | 870 | |||||||||
WFRBS Commercial Mortgage Trust(12-C9-XA) (I/O) |
| |||||||||||
2.04%(1)(3) | 11/15/45 | 2,780,491 | 151,815 | |||||||||
WFRBS Commercial Mortgage Trust(13-C12-XA) (I/O) |
| |||||||||||
1.41%(1)(3) | 03/15/48 | 4,468,066 | 172,153 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
WFRBS Commercial Mortgage Trust(14-LC14-XA) (I/O) |
| |||||||||||
1.40%(3) | 03/15/47 | $ | 844,556 | $ | 38,047 | |||||||
|
| |||||||||||
Total Commercial Mortgage-backed Securities —Non-agency |
| |||||||||||
(Cost: $1,462,416) |
| 1,597,925 | ||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY — 8.0% | ||||||||||||
Fannie Mae(07-52-LS) (I/O) (I/F) |
| |||||||||||
3.57%(-1.00 X 1 mo. USD LIBOR + 6.050%) (2) | 06/25/37 | 72,866 | 7,672 | |||||||||
Fannie Mae(08-18-SM) (I/O) (I/F) |
| |||||||||||
4.52% (-1.00 X 1 mo. USD LIBOR + 7.000%) (2) | 03/25/38 | 64,631 | 7,949 | |||||||||
Fannie Mae(09-115-SB) (I/O) (I/F) |
| |||||||||||
3.77%(-1.00 X 1 mo. USD LIBOR + 6.250%) (2) | 01/25/40 | 53,869 | 8,465 | |||||||||
Fannie Mae(10-116-SE) (I/O) (I/F) |
| |||||||||||
4.12%(-1.00 X 1 mo. USD LIBOR + 6.600%) (2) | 10/25/40 | 107,523 | 14,633 | |||||||||
Fannie Mae, Pool #AB3679 |
| |||||||||||
3.50% | 10/01/41 | 100,588 | 102,241 | |||||||||
Fannie Mae, Pool #AB4045 |
| |||||||||||
3.50% | 12/01/41 | 130,238 | 132,728 | |||||||||
Fannie Mae, Pool #AT5914 |
| |||||||||||
3.50% | 06/01/43 | 48,239 | 49,143 | |||||||||
Fannie Mae, Pool #BD7081 |
| |||||||||||
4.00% | 03/01/47 | 83,411 | 86,202 | |||||||||
Fannie Mae, Pool #CA2208 |
| |||||||||||
4.50% | 08/01/48 | 9,315 | 9,703 | |||||||||
Fannie Mae, Pool #MA1527 |
| |||||||||||
3.00% | 08/01/33 | 29,645 | 29,793 | |||||||||
Fannie Mae, Pool #MA1652 |
| |||||||||||
3.50% | 11/01/33 | 47,922 | 49,005 | |||||||||
Fannie Mae TBA, 15 Year |
| |||||||||||
3.50%(9) | 04/01/33 | 25,000 | 25,527 | |||||||||
Freddie Mac(2990-ND) (I/F) (PAC) |
| |||||||||||
10.61%(-2.54 X 1 mo. USD LIBOR + 16.891%) (2) | 12/15/34 | 1,547 | 1,583 | |||||||||
Freddie Mac(3439-SC) (I/O) (I/F) |
| |||||||||||
3.43%(-1.00 X 1 mo. USD LIBOR + 5.900%) (2) | 04/15/38 | 72,859 | 9,591 | |||||||||
Freddie Mac, Pool #G08681 |
| |||||||||||
3.50% | 12/01/45 | 72,126 | 73,159 | |||||||||
Freddie Mac, Pool #G08698 |
| |||||||||||
3.50% | 03/01/46 | 71,602 | 72,538 | |||||||||
Freddie Mac, Pool #G08716 |
| |||||||||||
3.50% | 08/01/46 | 71,449 | 72,384 | |||||||||
Freddie Mac, Pool #G08721 |
| |||||||||||
3.00% | 09/01/46 | 12,051 | 11,932 |
See accompanying notes to financial statements.
30
Table of Contents
TCW Global Bond Fund
April 30, 2019 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac, Pool #G08722 |
| |||||||||||
3.50% | 09/01/46 | $ | 7,208 | $ | 7,303 | |||||||
Freddie Mac, Pool #G08732 |
| |||||||||||
3.00% | 11/01/46 | 16,390 | 16,225 | |||||||||
Freddie Mac, Pool #G08762 |
| |||||||||||
4.00% | 05/01/47 | 82,068 | 84,742 | |||||||||
Freddie Mac, Pool #G08833 |
| |||||||||||
5.00% | 07/01/48 | 12,887 | 13,618 | |||||||||
Freddie Mac, Pool #G18592 |
| |||||||||||
3.00% | 03/01/31 | 8,972 | 9,039 | |||||||||
Ginnie Mae(11-146-EI) (I/O) (PAC) |
| |||||||||||
5.00% | 11/16/41 | 76,517 | 15,608 | |||||||||
Ginnie Mae(11-69-GI) (I/O) |
| |||||||||||
5.00% | 05/16/40 | 108,907 | 6,709 | |||||||||
Ginnie Mae(12-7-PI) (I/O) (PAC) |
| |||||||||||
3.50% | 01/20/38 | 46,357 | 798 | |||||||||
Ginnie Mae II, Pool #MA3597 |
| |||||||||||
3.50% | 04/20/46 | 41,599 | 42,384 | |||||||||
Ginnie Mae II, Pool #MA3663 |
| |||||||||||
3.50% | 05/20/46 | 6,176 | 6,293 | |||||||||
Ginnie Mae II, Pool #MA3803 |
| |||||||||||
3.50% | 07/20/46 | 29,654 | 30,215 | |||||||||
Ginnie Mae II, Pool #MA4454 |
| |||||||||||
5.00% | 05/20/47 | 30,467 | 32,060 | |||||||||
Ginnie Mae II, Pool #MA4900 |
| |||||||||||
3.50% | 12/20/47 | 162,819 | 165,605 | |||||||||
Ginnie Mae II, Pool #MA5399 |
| |||||||||||
4.50% | 08/20/48 | 113,114 | 117,294 | |||||||||
Ginnie Mae II TBA, 30 Year |
| |||||||||||
5.00%(9) | 08/01/48 | 25,000 | 26,090 | |||||||||
|
| |||||||||||
Total Residential Mortgage-backed Securities — Agency |
| |||||||||||
(Cost: $1,366,687) | 1,338,231 | |||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 4.3% | ||||||||||||
ACE Securities Corp. Home Equity Loan Trust(05-HE3-M2) |
| |||||||||||
3.15% (1 mo. USD LIBOR + 0.675%) (2) | 05/25/35 | 40,279 | 40,611 | |||||||||
Banc of America FundingTrust(05-C-A3) |
| |||||||||||
2.79% (1 mo. USD LIBOR + 0.300%) (2) | 05/20/35 | 48,042 | 47,481 | |||||||||
BCMSC Trust(00-A-A4) |
| |||||||||||
8.29%(3) | 06/15/30 | 189,525 | 74,556 | |||||||||
Bear StearnsALT-A Trust(05-8-11A1) |
| |||||||||||
3.02% (1 mo. USD LIBOR + 0.540%)(2) | 10/25/35 | 52,438 | 51,944 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
First Horizon Mortgage Pass-Through Trust(05-AR4-2A1) |
| |||||||||||
4.05%(3) | 10/25/35 | $ | 56,792 | $ | 55,143 | |||||||
Green Tree Financial Corp.(98-6-A8) |
| |||||||||||
6.66%(3) | 06/01/30 | 18,213 | 18,902 | |||||||||
JPMorgan Mortgage Trust(05-A6-7A1) |
| |||||||||||
4.32%(3) | 08/25/35 | 35,005 | 34,140 | |||||||||
Lehman XS Trust(06-9-A1B) |
| |||||||||||
2.64% (1 mo. USD LIBOR + 0.160%)(2) | 05/25/46 | 18,178 | 31,688 | |||||||||
Merrill Lynch Alternative Note Asset Trust(07-A3-A2D) |
| |||||||||||
2.81% (1 mo. USD LIBOR | 04/25/37 | 1,251,739 | 115,810 | |||||||||
MortgageIT Trust(05-1-1A1) |
| |||||||||||
3.12% (1 mo. USD LIBOR + 0.640%)(2) | 02/25/35 | 47,129 | 47,255 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust(04-18-4A1) |
| |||||||||||
4.41%(3) | 12/25/34 | 37,906 | 37,787 | |||||||||
Structured Asset Mortgage Investments II Trust(05-AR6-2A1) |
| |||||||||||
3.10% (1 mo. USD LIBOR + 0.310%)(2) | 09/25/45 | 55,040 | 54,552 | |||||||||
Structured Asset Mortgage Investments, Inc.(06-AR3-22A1) |
| |||||||||||
3.99%(3) | 05/25/36 | 164,798 | 112,379 | |||||||||
|
| |||||||||||
Total Residential Mortgage-backed Securities —Non-agency |
| |||||||||||
(Cost: $706,210) | 722,248 | |||||||||||
|
| |||||||||||
U.S. TREASURY SECURITIES — 1.0% | ||||||||||||
U.S. Treasury Note |
| |||||||||||
2.13% | 03/31/24 | 110,000 | 109,196 | |||||||||
2.25% | 04/30/24 | 10,000 | 9,986 | |||||||||
2.63% | 02/15/29 | 35,000 | 35,363 | |||||||||
3.00% | 02/15/49 | 15,000 | 15,193 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $170,595) | 169,738 | |||||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $15,793,797) | 15,731,655 | |||||||||||
|
| |||||||||||
Security | Shares | |||||||||||
INVESTMENT COMPANIES — 2.3% | ||||||||||||
TCW Emerging Markets Income Fund — I Class (11) | 47,177 | 384,964 | ||||||||||
|
| |||||||||||
Total Investment Companies | ||||||||||||
(Cost: $379,105) | 384,964 | |||||||||||
|
|
See accompanying notes to financial statements.
31
Table of Contents
TCW Global Bond Fund
Schedule of Investments (Unaudited) (Continued)
Security | Maturity Date | Shares | Value | |||||||||
MONEY MARKET INVESTMENTS — 2.3% | ||||||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 2.37% (12) |
| 384,117 | $ | 384,117 | ||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $384,117) | 384,117 | |||||||||||
|
| |||||||||||
Issues | Principal Amount | |||||||||||
SHORT TERM INVESTMENTS — 1.3% |
| |||||||||||
FOREIGN GOVERNMENT BONDS — 0.7% | ||||||||||||
Japan Treasury Bill | ||||||||||||
0.00%(5) | 05/09/19 | JPY | 4,750,000 | 42,649 | ||||||||
0.00%(5) | 05/20/19 | JPY | 9,100,000 | 81,710 | ||||||||
|
| |||||||||||
Total Foreign Government Bonds |
| |||||||||||
(Cost: $124,529) | 124,359 | |||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
U.S. TREASURY SECURITIES — 0.6%(Cost: $92,690) | ||||||||||||
U.S. Treasury Bill |
| |||||||||||
2.40%(13)(14) | 06/20/19 | $ | 93,000 | $ | 92,693 | |||||||
|
| |||||||||||
Total Short Term Investments |
| |||||||||||
(Cost: $217,219) | 217,052 | |||||||||||
|
| |||||||||||
Total Investments (99.6%) |
| |||||||||||
(Cost: $16,774,238) |
| 16,717,788 | ||||||||||
Excess of Other Assets over Liabilities (0.4%) |
| 63,468 | ||||||||||
|
| |||||||||||
Net Assets (100.0%) | $ | 16,781,256 | ||||||||||
|
|
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(15) | ||||||||||||||||||||||||
Citibank N.A. | BRL | 130,000 | 08/28/19 | $ | 32,704 | $ | 32,599 | $ | (105 | ) | ||||||||||||||
Citibank N.A. | CLP | 44,000,000 | 07/26/19 | 66,255 | 64,718 | (1,537 | ) | |||||||||||||||||
State Street Bank & Trust Co. | CZK | 570,000 | 07/26/19 | 25,154 | 24,964 | (190 | ) | |||||||||||||||||
State Street Bank & Trust Co. | EUR | 435,000 | 07/26/19 | 493,377 | 491,025 | (2,352 | ) | |||||||||||||||||
State Street Bank & Trust Co. | JPY | 83,300,000 | 07/26/19 | 749,606 | 753,052 | 3,446 | ||||||||||||||||||
Citibank N.A. | KRW | 75,000,000 | 07/26/19 | 65,949 | 64,408 | (1,541 | ) | |||||||||||||||||
State Street Bank & Trust Co. | NOK | 2,655,000 | 07/26/19 | 313,286 | 308,008 | (5,278 | ) | |||||||||||||||||
State Street Bank & Trust Co. | PLN | 297,702 | 05/06/19 | 77,994 | 77,768 | (226 | ) | |||||||||||||||||
State Street Bank & Trust Co. | PLN | 315,000 | 07/26/19 | 83,227 | 82,484 | (743 | ) | |||||||||||||||||
State Street Bank & Trust Co. | SEK | 635,000 | 07/26/19 | 68,709 | 67,241 | (1,468 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 1,976,261 | $ | 1,966,267 | $ | (9,994 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
SELL(16) | ||||||||||||||||||||||||
State Street Bank & Trust Co. | AUD | 190,000 | 07/26/19 | 135,787 | 134,008 | 1,779 | ||||||||||||||||||
Citibank N.A. | BRL | 265,000 | 08/28/19 | 62,097 | 66,452 | (4,355 | ) | |||||||||||||||||
State Street Bank & Trust Co. | CNY | 700,000 | 07/26/19 | 103,851 | 103,897 | (46 | ) | |||||||||||||||||
Goldman Sachs & Co. | EUR | 140,000 | 10/11/19 | 164,528 | 159,028 | 5,500 | ||||||||||||||||||
State Street Bank & Trust Co. | GBP | 90,000 | 07/26/19 | 117,392 | 117,846 | (454 | ) | |||||||||||||||||
State Street Bank & Trust Co. | ILS | 120,000 | 07/26/19 | 33,835 | 33,517 | 318 | ||||||||||||||||||
Goldman Sachs & Co. | ILS | 180,000 | 07/26/19 | 50,559 | 50,273 | 286 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 668,049 | $ | 665,021 | $ | 3,028 | |||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
32
Table of Contents
TCW Global Bond Fund
April 30, 2019 |
Futures Contracts | ||||||||||||||||||
Number of Contracts | Type | Expiration Date | Notional | Market Value | Net Unrealized Appreciation/ Depreciation | |||||||||||||
BUY | ||||||||||||||||||
13 | 5-Year U.S. Treasury Note Futures | 06/28/19 | $ | 1,491,776 | $ | 1,503,328 | $ | 11,552 | ||||||||||
8 | 2-Year U.S. Treasury Note Futures | 06/28/19 | 1,697,990 | 1,704,062 | 6,072 | |||||||||||||
1 | 5-Year U.S. Treasury Note Futures | 09/30/19 | 115,549 | 115,750 | 201 | |||||||||||||
1 | 2-Year U.S. Treasury Note Futures | 09/30/19 | 213,173 | 213,375 | 202 | |||||||||||||
3 | U.S. Ultra Long Bond Futures | 06/19/19 | 485,262 | 492,844 | 7,582 | |||||||||||||
|
|
|
|
|
| |||||||||||||
$ | 4,003,750 | $ | 4,029,359 | $ | 25,609 | |||||||||||||
|
|
|
|
|
| |||||||||||||
SELL | ||||||||||||||||||
8 | 10-Year U.S. Treasury Note Futures | 06/19/19 | $ | 1,041,080 | $ | 1,054,251 | $ | 13,171 | ||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
33
Table of Contents
TCW Global Bond Fund
Schedule of Investments (Unaudited) (Continued)
Notes to Schedule of Investments:
CLO - | Collateralized Loan Obligation. |
EETC - | Enhanced Equipment Trust Certificate. |
I/F - | Inverse Floating rate security whose interest rate moves in the opposite direction of prevailing interest rates. |
I/O - | Interest Only Security. |
PAC - | Planned Amortization Class. |
REIT - | Real Estate Investment Trust. |
TBA - | To be Announced. |
AUD - | Australian Dollar. |
BRL - | Brazilian Real. |
CAD - | Canadian Dollar. |
CLP - | Chilean Peso. |
COP - | Colombian Peso. |
CZK - | Czech Koruna. |
EUR - | Euro Currency. |
GBP - | British Pound Sterling. |
IDR - | Indonesian Rupiah. |
ILS - | Israeli Shekel. |
JPY - | Japanese Yen. |
MXN - | Mexican Peso. |
NOK - | Norwegian Krona. |
PEN - | Peruvian Nuevo Sol. |
SEK - | Swedish Krona. |
SGD - | Singapore Dollar. |
ZAR - | South African Rand. |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only to qualified institutional buyers. At April 30, 2019, the value of these securities amounted to $2,765,704 or 16.5% of net assets. These securities are determined to be liquid by the Fund’s investment advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(2) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2019. |
(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) | Investments issued under Regulation S of the Securities Act of 1933, as amended, may not be offered, sold, or delivered within the United |
(5) | Security is not accruing interest. |
(6) | This security is purchased on a when-issued, delayed delivery or forward commitment basis. |
(7) | Restricted security (Note 11). |
(8) | A portion of the principal balance has beenwritten-off during the period due to defaults in the underlying loans. Cost basis has been adjusted. |
(9) | Security purchased on a forward commitment with an approximate principal amount. The actual principal amount and maturity date will be determined upon settlement when the security is delivered. |
(10) | For fair value measurement disclosure purposes, security is categorized as Level 3. |
(11) | Affiliated issuer. |
(12) | Rate disclosed is the7-day net yield as of April 30, 2019. |
(13) | Rate shown representsyield-to-maturity. |
(14) | All or a portion of this security is held as collateral for open futures contracts. |
(15) | Fund buys foreign currency, sells U.S. Dollar. |
(16) | Fund sells foreign currency, buys U.S. Dollar. |
The summary of the TCW Global Bond Fund transactions in the affiliated fund for the period ended April 30, 2019 is as follows:
Name of | Value at October 31, 2018 (In Thousands) | Purchases at Cost (In Thousands) | Proceeds from Sales (In Thousands) | Number of Shares Held at April 30, 2019 | Value at April 30, 2019 (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) | |||||||||||||||||||||||||||||||
TCW Emerging Markets Income Fund—I Class |
| |||||||||||||||||||||||||||||||||||||||
$ | 356 | $ | 11 | $ | (— | ) | 47,177 | $ | 385 | $ | 10 | $ | — | $ | — | $ | 18 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||
Total | $ | 385 | $ | 10 | $ | — | $ | — | $ | 18 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
34
Table of Contents
TCW Global Bond Fund
Investments by Sector (Unaudited) | April 30, 2019 |
Sector | Percentage of Net Assets | |||
Foreign Government Bonds | 44.9 | % | ||
Corporate Bonds | 20.7 | |||
Commercial Mortgage-Backed Securities —Non-Agency | 9.5 | |||
Residential Mortgage-Backed Securities — Agency | 8.0 | |||
Residential Mortgage-Backed Securities —Non-Agency | 4.3 | |||
Commercial Mortgage-Backed Securities — Agency | 3.4 | |||
Asset-Backed Securities | 2.4 | |||
Investment Companies | 2.3 | |||
Money Market Investments | 2.3 | |||
U.S. Treasury Securities | 1.0 | |||
U.S. Treasury Bills | 0.6 | |||
Municipal Bonds | 0.2 | |||
Other* | 0.4 | |||
|
| |||
Total | 100.0 | % | ||
|
|
* | Includes cash, futures, pending trades, foreign exchange transactions, interest receivable and accrued expenses payable. |
See accompanying notes to Schedule of Investments.
35
Table of Contents
TCW Global Bond Fund
Investments by Country (Unaudited) | April 30, 2019 |
Country | Percentage of Net Assets | |||
Australia | 1.3 | % | ||
Belgium | 0.2 | |||
Bermuda | 0.3 | |||
Brazil | 0.2 | |||
Canada | 2.7 | |||
Cayman Islands | 1.1 | |||
China | 0.6 | |||
Colombia | 0.6 | |||
Czech Republic | 2.5 | |||
France | 1.4 | |||
Germany | 0.3 | |||
Great Britain | 5.8 | |||
Hungary | 0.3 | |||
Indonesia | 1.5 | |||
Ireland | 2.0 | |||
Israel | 0.5 | |||
Italy | 3.1 | |||
Japan | 9.7 | |||
Luxembourg | 0.1 | |||
Malaysia | 0.5 | |||
Mexico | 2.0 | |||
Netherlands | 0.0 | * | ||
Norway | 1.4 | |||
Peru | 0.7 | |||
Poland | 0.9 | |||
Portugal | 1.0 | |||
Singapore | 1.5 | |||
Slovenia | 0.6 | |||
South Africa | 0.5 | |||
South Korea | 1.3 | |||
Spain | 4.0 | |||
United States | 51.0 | |||
|
| |||
Total | 99.6 | % | ||
|
|
* | Amount rounds to less than 0.1%. |
See accompanying notes to Schedule of Investments.
36
Table of Contents
TCW Global Bond Fund
Fair Valuation Summary (Unaudited) | April 30, 2019 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2019 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Corporate Bonds* | $ | — | $ | 3,470,084 | $ | — | $ | 3,470,084 | ||||||||
Municipal Bonds | — | 41,607 | — | 41,607 | ||||||||||||
Foreign Government Bonds | — | 7,410,033 | — | 7,410,033 | ||||||||||||
Asset-Backed Securities | — | 408,399 | — | 408,399 | ||||||||||||
Commercial Mortgage-Backed Securities — Agency | — | 573,390 | — | 573,390 | ||||||||||||
Commercial Mortgage-Backed Securities —Non-Agency | — | 1,597,925 | — | 1,597,925 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 1,338,231 | — | 1,338,231 | ||||||||||||
Residential Mortgage-Backed Securities —Non-Agency | — | 606,438 | 115,810 | 722,248 | ||||||||||||
U.S. Treasury Securities | 169,738 | — | — | 169,738 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | 169,738 | 15,446,107 | 115,810 | 15,731,655 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Companies | 384,964 | — | — | 384,964 | ||||||||||||
Money Market Investments | 384,117 | — | — | 384,117 | ||||||||||||
Short-Term Investments | 92,693 | 124,359 | — | 217,052 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 1,031,512 | 15,570,466 | 115,810 | 16,717,788 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 11,329 | — | 11,329 | ||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | 38,780 | — | — | 38,780 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,070,292 | $ | 15,581,795 | $ | 115,810 | $ | 16,767,897 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (18,295 | ) | $ | — | $ | (18,295 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (18,295 | ) | $ | — | $ | (18,295 | ) | ||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
See accompanying notes to financial statements.
37
Table of Contents
Schedule of Investments (Unaudited)
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 87.6% of Net Assets |
| |||||||||||
BANK LOANS — 4.1% |
| |||||||||||
Commercial Services — 1.0% | ||||||||||||
Mister Car Wash, Inc., Term Loan B |
| |||||||||||
5.73% (3 mo. USD LIBOR + 3.250%)(1) | 08/20/21 | $ | 32,170 | $ | 32,190 | |||||||
SBA Senior Finance II LLC, 2018 Term Loan B |
| |||||||||||
4.49% (3 mo. USD LIBOR + 2.000%)(1) | 04/11/25 | 74,438 | 74,112 | |||||||||
Scientific Games International, Inc., 2018 Term Loan B5 |
| |||||||||||
5.23% (3 mo. USD LIBOR + 2.750%)(1) | 08/14/24 | 32,633 | 32,597 | |||||||||
SS&C Technologies Holdings Europe S.A.R.L., 2018 Term Loan B4 |
| |||||||||||
4.73% (3 mo. USD LIBOR + 2.500%)(1) | 04/16/25 | 22,344 | 22,386 | |||||||||
SS&C Technologies, Inc., 2018 Term Loan B3 |
| |||||||||||
4.73% (3 mo. USD LIBOR + 2.500%)(1) | 04/16/25 | 31,258 | 31,317 | |||||||||
|
| |||||||||||
192,602 | ||||||||||||
|
| |||||||||||
Electric — 0.5% | ||||||||||||
TEX Operations Co. LLC, Exit Term Loan B |
| |||||||||||
4.48% (3 mo. USD LIBOR + 2.000%)(1) | 08/04/23 | 35,818 | 35,896 | |||||||||
Vistra Energy Corp., 1st Lien Term Loan B3 |
| |||||||||||
4.48% (3 mo. USD LIBOR + 2.000%)(1) | 12/31/25 | 62,528 | 62,645 | |||||||||
|
| |||||||||||
98,541 | ||||||||||||
|
| |||||||||||
Food — 0.1% | ||||||||||||
Dhanani Group, Inc., 2018 Term Loan B |
| |||||||||||
6.23% (3 mo. USD LIBOR + 3.75%)(1) | 07/20/25 | 14,887 | 14,757 | |||||||||
|
| |||||||||||
Healthcare-Products — 0.1% | ||||||||||||
Auris Luxembourg III S.A.R.L., 2018 USD Term Loan B |
| |||||||||||
6.23% (3 mo. USD LIBOR + 3.750%)(1) | 02/27/26 | 16,500 | 16,627 | |||||||||
|
| |||||||||||
Healthcare-Services — 0.4% | ||||||||||||
BCPE Eagle Buyer LLC, 2017 1st Lien Term Loan |
| |||||||||||
6.88% (3 mo. USD LIBOR + 4.250%)(1) | 03/18/24 | 12,740 | 12,397 | |||||||||
BCPE Eagle Buyer LLC, 2017 2nd Lien Term Loan |
| |||||||||||
10.63% (3 mo. USD LIBOR + 8.000%)(1) | 03/17/25 | 13,000 | 12,334 | |||||||||
Gentiva Health Services, Inc., 2018 1st Lien Term Loan |
| |||||||||||
6.25% (3 mo. USD LIBOR + 3.750%)(1) | 07/02/25 | 48,625 | 48,838 | |||||||||
|
| |||||||||||
73,569 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Lodging — 0.2% | ||||||||||||
CityCenter Holdings LLC, 2017 Term Loan B |
| |||||||||||
4.73% (3 mo. USD LIBOR + 2.500%)(1) | 04/18/24 | $ | 32,274 | $ | 32,302 | |||||||
|
| |||||||||||
Pharmaceuticals — 0.2% | ||||||||||||
Alphabet Holding Co., Inc., 2017 1st Lien Term Loan |
| |||||||||||
5.98% (3 mo. USD LIBOR + 3.500%)(1) | 09/26/24 | 32,282 | 30,305 | |||||||||
|
| |||||||||||
Retail — 0.5% | ||||||||||||
1011778 B.C. Unlimited Liability Co., Term Loan B3 |
| |||||||||||
4.73% (3 mo. USD LIBOR + 2.250%)(1) | 02/16/24 | 88,384 | 88,356 | |||||||||
|
| |||||||||||
Software — 1.0% | ||||||||||||
First Data Corp., 2017 Term Loan |
| |||||||||||
4.48% (3 mo. USD LIBOR + 2.000%)(1) | 07/08/22 | 24,315 | 24,342 | |||||||||
First Data Corp., 2024 Term Loan |
| |||||||||||
4.48% (3 mo. USD LIBOR + 2.000%)(1) | 04/26/24 | 127,364 | 127,484 | |||||||||
TierPoint LLC, 2017 1st Lien Term Loan |
| |||||||||||
6.23% (3 mo. USD LIBOR + 3.750%)(1) | 05/06/24 | 35,118 | 32,659 | |||||||||
|
| |||||||||||
184,485 | ||||||||||||
|
| |||||||||||
Telecommunications — 0.1% | ||||||||||||
Intelsat Jackson Holdings S.A., 2017 Term Loan B5 |
| |||||||||||
6.63% | 01/02/24 | 14,000 | 14,152 | |||||||||
|
| |||||||||||
Total Bank Loans |
| |||||||||||
(Cost: $748,206) |
| 745,696 | ||||||||||
|
| |||||||||||
CORPORATE BONDS — 83.5% |
| |||||||||||
Advertising — 1.0% | ||||||||||||
Clear Channel International BV (Netherlands) |
| |||||||||||
8.75%(2) | 12/15/20 | 154,000 | 157,850 | |||||||||
Lamar Media Corp. |
| |||||||||||
5.75% | 02/01/26 | 24,000 | 25,380 | |||||||||
|
| |||||||||||
183,230 | ||||||||||||
|
| |||||||||||
Aerospace/Defense — 0.2% | ||||||||||||
Bombardier, Inc. (Canada) |
| |||||||||||
7.88%(2) | 04/15/27 | 31,000 | 31,233 | |||||||||
|
| |||||||||||
Airlines — 2.2% | ||||||||||||
American Airlines, Inc. Pass-Through Trust(13-2-B) (EETC) |
| |||||||||||
5.60%(2) | 01/15/22 | 170,386 | 173,300 | |||||||||
Delta Air Lines, Inc. Pass-Through Certificates(02-1-G-1) (EETC) |
| |||||||||||
6.72% | 07/02/24 | 207,575 | 221,313 | |||||||||
|
| |||||||||||
394,613 | ||||||||||||
|
|
See accompanying notes to financial statements.
38
Table of Contents
TCW High Yield Bond Fund
April 30, 2019
Issues | Maturity Date | Principal Amount | Value | |||||||||
Auto Manufacturers — 0.4% | ||||||||||||
Allison Transmission, Inc. |
| |||||||||||
5.88%(2) | 06/01/29 | $ | 63,000 | $ | 65,048 | |||||||
|
| |||||||||||
Auto Parts & Equipment — 1.2% | ||||||||||||
Panther BF Aggregator 2 LP / Panther Finance Co., Inc. |
| |||||||||||
6.25%(2) | 05/15/26 | 206,000 | 215,013 | |||||||||
|
| |||||||||||
Beverages — 0.2% | ||||||||||||
Bacardi, Ltd. |
| |||||||||||
5.30%(2) | 05/15/48 | 40,000 | 38,896 | |||||||||
|
| |||||||||||
Chemicals — 0.2% | ||||||||||||
Axalta Coating Systems LLC |
| |||||||||||
4.88%(2) | 08/15/24 | 40,000 | 40,300 | |||||||||
|
| |||||||||||
Coal — 0.1% | ||||||||||||
SunCoke Energy Partners LP / SunCoke Energy Partners Finance Corp. |
| |||||||||||
7.50%(2) | 06/15/25 | 21,000 | 21,210 | |||||||||
|
| |||||||||||
Commercial Services — 2.3% | ||||||||||||
Gartner, Inc. |
| |||||||||||
5.13%(2) | 04/01/25 | 8,000 | 8,214 | |||||||||
IHS Markit, Ltd. |
| |||||||||||
4.00%(2) | 03/01/26 | 118,000 | 117,961 | |||||||||
4.75%(2) | 02/15/25 | 11,000 | 11,535 | |||||||||
Matthews International Corp. |
| |||||||||||
5.25%(2) | 12/01/25 | 98,000 | 95,795 | |||||||||
Service Corp. International |
| |||||||||||
4.50% | 11/15/20 | 108,000 | 108,540 | |||||||||
4.63% | 12/15/27 | 65,000 | 65,731 | |||||||||
|
| |||||||||||
407,776 | ||||||||||||
|
| |||||||||||
Computers — 0.9% | ||||||||||||
EMC Corp. |
| |||||||||||
2.65% | 06/01/20 | 171,000 | 170,145 | |||||||||
|
| |||||||||||
Diversified Financial Services — 1.1% | ||||||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Ireland) |
| |||||||||||
3.50% | 01/15/25 | 172,000 | 167,761 | |||||||||
International Lease Finance Corp. |
| |||||||||||
6.25% | 05/15/19 | 30,000 | 30,035 | |||||||||
|
| |||||||||||
197,796 | ||||||||||||
|
| |||||||||||
Electrical Components & Equipment — 0.9% | ||||||||||||
Energizer Holdings, Inc. |
| |||||||||||
6.38%(2) | 07/15/26 | 34,000 | 35,179 | |||||||||
7.75%(2) | 01/15/27 | 120,000 | 130,350 | |||||||||
|
| |||||||||||
165,529 | ||||||||||||
|
| |||||||||||
Entertainment — 2.0% | ||||||||||||
Caesars Resort Collection LLC / CRC Finco, Inc. |
| |||||||||||
5.25%(2) | 10/15/25 | 61,000 | 59,856 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Entertainment (Continued) | ||||||||||||
Churchill Downs, Inc. |
| |||||||||||
4.75%(2) | 01/15/28 | $ | 70,000 | $ | 68,950 | |||||||
5.50%(2) | 04/01/27 | 150,000 | 154,031 | |||||||||
Rivers Pittsburgh Borrower LP / Rivers Pittsburgh Finance Corp. |
| |||||||||||
6.13%(2) | 08/15/21 | 83,000 | 84,245 | |||||||||
|
| |||||||||||
367,082 | ||||||||||||
|
| |||||||||||
Environmental Control — 2.0% | ||||||||||||
Clean Harbors, Inc. |
| |||||||||||
5.13% | 06/01/21 | 154,000 | 154,577 | |||||||||
Covanta Holding Corp. |
| |||||||||||
5.88% | 07/01/25 | 32,000 | 32,920 | |||||||||
GFL Environmental, Inc. (Canada) |
| |||||||||||
5.38%(2) | 03/01/23 | 54,000 | 52,785 | |||||||||
8.50%(2) | 05/01/27 | 50,000 | 52,213 | |||||||||
Waste Pro USA, Inc. |
| |||||||||||
5.50%(2) | 02/15/26 | 67,000 | 67,000 | |||||||||
|
| |||||||||||
359,495 | ||||||||||||
|
| |||||||||||
Food — 2.4% | ||||||||||||
B&G Foods, Inc. |
| |||||||||||
4.63% | 06/01/21 | 115,000 | 115,431 | |||||||||
Chobani LLC / Chobani Finance Corp., Inc. |
| |||||||||||
7.50%(2) | 04/15/25 | 25,000 | 22,875 | |||||||||
Kraft Heinz Foods Co. |
| |||||||||||
4.88%(2) | 02/15/25 | 50,000 | 51,461 | |||||||||
Nathan’s Famous, Inc. |
| |||||||||||
6.63%(2) | 11/01/25 | 15,000 | 14,738 | |||||||||
Pilgrim’s Pride Corp. |
| |||||||||||
5.88%(2) | 09/30/27 | 74,000 | 76,590 | |||||||||
Post Holdings, Inc. |
| |||||||||||
5.50%(2) | 03/01/25 | 64,000 | 65,600 | |||||||||
5.63%(2) | 01/15/28 | 10,000 | 10,146 | |||||||||
Smithfield Foods, Inc. |
| |||||||||||
5.20%(2) | 04/01/29 | 75,000 | 76,805 | |||||||||
|
| |||||||||||
433,646 | ||||||||||||
|
| |||||||||||
Healthcare-Products — 0.9% | ||||||||||||
Hologic, Inc. |
| |||||||||||
4.63%(2) | 02/01/28 | 69,000 | 67,965 | |||||||||
Teleflex, Inc. |
| |||||||||||
4.63% | 11/15/27 | 92,000 | 91,540 | |||||||||
4.88% | 06/01/26 | 3,000 | 3,079 | |||||||||
|
| |||||||||||
162,584 | ||||||||||||
|
| |||||||||||
Healthcare-Services — 10.1% | ||||||||||||
Acadia Healthcare Co., Inc. |
| |||||||||||
6.50% | 03/01/24 | 71,000 | 73,840 | |||||||||
Catalent Pharma Solutions, Inc. |
| |||||||||||
4.88%(2) | 01/15/26 | 101,000 | 101,757 |
See accompanying notes to financial statements.
39
Table of Contents
TCW High Yield Bond Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Healthcare-Services (Continued) | ||||||||||||
Centene Corp. |
| |||||||||||
4.75% | 05/15/22 | $ | 69,000 | $ | 70,581 | |||||||
4.75% | 01/15/25 | 46,000 | 46,782 | |||||||||
5.63% | 02/15/21 | 160,000 | 162,800 | |||||||||
6.13% | 02/15/24 | 26,000 | 27,333 | |||||||||
CHS / Community Health Systems, Inc. |
| |||||||||||
5.13% | 08/01/21 | 24,000 | 23,790 | |||||||||
6.25% | 03/31/23 | 47,000 | 45,943 | |||||||||
8.00%(2) | 03/15/26 | 56,000 | 54,740 | |||||||||
HCA, Inc. |
| |||||||||||
5.63% | 09/01/28 | 50,000 | 53,344 | |||||||||
5.88% | 02/01/29 | 239,000 | 257,522 | |||||||||
6.50% | 02/15/20 | 144,000 | 148,176 | |||||||||
Molina Healthcare, Inc. |
| |||||||||||
4.88%(2) | 06/15/25 | 60,000 | 59,925 | |||||||||
5.38% | 11/15/22 | 55,000 | 57,750 | |||||||||
Tenet Healthcare Corp. |
| |||||||||||
4.50% | 04/01/21 | 123,000 | 125,152 | |||||||||
4.63% | 07/15/24 | 33,000 | 33,217 | |||||||||
4.75% | 06/01/20 | 242,000 | 245,327 | |||||||||
6.00% | 10/01/20 | 148,000 | 153,365 | |||||||||
WellCare Health Plans, Inc. |
| |||||||||||
5.25% | 04/01/25 | 78,000 | 80,828 | |||||||||
|
| |||||||||||
1,822,172 | ||||||||||||
|
| |||||||||||
Household Products/Wares — 1.2% | ||||||||||||
Central Garden & Pet Co. |
| |||||||||||
5.13% | 02/01/28 | 127,000 | 121,285 | |||||||||
Spectrum Brands, Inc. |
| |||||||||||
5.75% | 07/15/25 | 55,000 | 56,392 | |||||||||
6.13% | 12/15/24 | 16,000 | 16,480 | |||||||||
6.63% | 11/15/22 | 18,000 | 18,446 | |||||||||
|
| |||||||||||
212,603 | ||||||||||||
|
| |||||||||||
Lodging — 0.3% | ||||||||||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. |
| |||||||||||
5.25%(2) | 05/15/27 | 24,000 | 23,520 | |||||||||
5.50%(2) | 03/01/25 | 24,000 | 24,360 | |||||||||
|
| |||||||||||
47,880 | ||||||||||||
|
| |||||||||||
Machinery-Diversified — 0.1% | ||||||||||||
Titan Acquisition, Ltd. / TitanCo-Borrower LLC |
| |||||||||||
7.75%(2) | 04/15/26 | 18,000 | 16,650 | |||||||||
|
| |||||||||||
Media — 8.3% | ||||||||||||
Altice Financing S.A. (Luxembourg) |
| |||||||||||
7.50%(2) | 05/15/26 | 55,000 | 55,962 | |||||||||
Cable One, Inc. |
| |||||||||||
5.75%(2) | 06/15/22 | 111,000 | 113,115 | |||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. |
| |||||||||||
5.13%(2) | 05/01/27 | 55,000 | 55,756 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Media (Continued) | ||||||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital |
| |||||||||||
4.91% | 07/23/25 | $ | 230,000 | $ | 243,570 | |||||||
CSC Holdings LLC |
| |||||||||||
5.38%(2) | 02/01/28 | 200,000 | 203,750 | |||||||||
6.50%(2) | 02/01/29 | 64,000 | 68,840 | |||||||||
DISH DBS Corp. |
| |||||||||||
5.88% | 11/15/24 | 10,000 | 8,650 | |||||||||
7.75% | 07/01/26 | 10,000 | 8,988 | |||||||||
DISH Network Corp. |
| |||||||||||
3.38% | 08/15/26 | 44,000 | 40,472 | |||||||||
EW Scripps Co. (The) |
| |||||||||||
5.13%(2) | 05/15/25 | 56,000 | 53,550 | |||||||||
Midcontinent Communications & Finance Co. |
| |||||||||||
6.88%(2) | 08/15/23 | 52,000 | 54,405 | |||||||||
Sinclair Television Group, Inc. |
| |||||||||||
6.13% | 10/01/22 | 94,000 | 95,762 | |||||||||
Sirius XM Radio, Inc. |
| |||||||||||
3.88%(2) | 08/01/22 | 239,000 | 239,000 | |||||||||
TEGNA, Inc. |
| |||||||||||
5.13% | 10/15/19 | 75,000 | 75,375 | |||||||||
Univision Communications, Inc. |
| |||||||||||
5.13%(2) | 02/15/25 | 38,000 | 35,815 | |||||||||
Virgin Media Secured Finance PLC (United Kingdom) |
| |||||||||||
5.25%(2) | 01/15/26 | 139,000 | 141,913 | |||||||||
|
| |||||||||||
1,494,923 | ||||||||||||
|
| |||||||||||
Miscellaneous Manufacturers — 0.6% | ||||||||||||
General Electric Co. |
| |||||||||||
3.16% (3 mo. USD LIBOR + 0.480%) (1) | 08/15/36 | 52,000 | 40,461 | |||||||||
6.00% | 08/07/19 | 65,000 | 65,448 | |||||||||
|
| |||||||||||
105,909 | ||||||||||||
|
| |||||||||||
Oil & Gas — 4.7% | ||||||||||||
Antero Resources Corp. |
| |||||||||||
5.00% | 03/01/25 | 71,000 | 69,935 | |||||||||
5.63% | 06/01/23 | 60,000 | 60,900 | |||||||||
Centennial Resource Production LLC |
| |||||||||||
6.88% (2) | 04/01/27 | 151,000 | 156,851 | |||||||||
CrownRock LP / CrownRock Finance, Inc. |
| |||||||||||
5.63% (2) | 10/15/25 | 15,000 | 14,887 | |||||||||
Diamondback Energy, Inc. |
| |||||||||||
4.75% (2) | 11/01/24 | 11,000 | 11,275 | |||||||||
5.38% | 05/31/25 | 52,000 | 54,535 | |||||||||
Endeavor Energy Resources LP / EER Finance, Inc. |
| |||||||||||
5.75%(2) | 01/30/28 | 26,000 | 27,820 | |||||||||
Ensco PLC (United Kingdom) |
| |||||||||||
7.75% | 02/01/26 | 35,000 | 30,450 |
See accompanying notes to financial statements.
40
Table of Contents
TCW High Yield Bond Fund
April 30, 2019
Issues | Maturity Date | Principal Amount | Value | |||||||||
Oil & Gas (Continued) | ||||||||||||
EQT Corp. |
| |||||||||||
3.90% | 10/01/27 | $ | 75,000 | $ | 70,851 | |||||||
Gulfport Energy Corp. |
| |||||||||||
6.38% | 05/15/25 | 4,000 | 3,535 | |||||||||
Matador Resources Co. |
| |||||||||||
5.88% | 09/15/26 | 34,000 | 34,340 | |||||||||
Parsley Energy LLC / Parsley Finance Corp. |
| |||||||||||
5.25% (2) | 08/15/25 | 57,000 | 57,784 | |||||||||
5.63%(2) | 10/15/27 | 13,000 | 13,374 | |||||||||
Range Resources Corp. |
| |||||||||||
4.88% | 05/15/25 | 40,000 | 37,000 | |||||||||
5.00% | 03/15/23 | 44,000 | 42,972 | |||||||||
Seven Generations Energy, Ltd. (Canada) |
| |||||||||||
5.38% (2) | 09/30/25 | 36,000 | 34,965 | |||||||||
Transocean Pontus, Ltd. |
| |||||||||||
6.13% (2) | 08/01/25 | 34,020 | 35,041 | |||||||||
Transocean Poseidon, Ltd. |
| |||||||||||
6.88% (2) | 02/01/27 | 64,000 | 68,320 | |||||||||
WPX Energy, Inc. |
| |||||||||||
5.25% | 09/15/24 | 19,000 | 19,617 | |||||||||
5.75% | 06/01/26 | 14,000 | 14,525 | |||||||||
|
| |||||||||||
858,977 | ||||||||||||
|
| |||||||||||
Oil & Gas Services — 1.8% | ||||||||||||
Transocean Phoenix 2, Ltd. |
| |||||||||||
7.75% (2) | 10/15/24 | 86,250 | 91,425 | |||||||||
Transocean Proteus, Ltd. |
| |||||||||||
6.25% (2) | 12/01/24 | 74,400 | 76,818 | |||||||||
USA Compression Partners LP / USA Compression Finance Corp. |
| |||||||||||
6.88% | 04/01/26 | 53,000 | 56,015 | |||||||||
6.88% (2) | 09/01/27 | 100,000 | 105,750 | |||||||||
|
| |||||||||||
330,008 | ||||||||||||
|
| |||||||||||
Packaging & Containers — 7.9% | ||||||||||||
Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. (Ireland) |
| |||||||||||
4.25%(2) | 09/15/22 | 200,000 | 201,250 | |||||||||
6.00%(2) | 02/15/25 | 30,000 | 30,300 | |||||||||
Ball Corp. |
| |||||||||||
4.00% | 11/15/23 | 118,000 | 119,032 | |||||||||
4.38% | 12/15/20 | 80,000 | 81,600 | |||||||||
Berry Global, Inc. |
| |||||||||||
4.50% (2) | 02/15/26 | 125,000 | 121,562 | |||||||||
Berry Plastics Corp. |
| |||||||||||
5.13% | 07/15/23 | 34,000 | 34,638 | |||||||||
Crown Americas LLC / Crown Americas Capital Corp. V |
| |||||||||||
4.25% | 09/30/26 | 78,000 | 76,245 | |||||||||
Graphic Packaging International, Inc. |
| |||||||||||
4.88% | 11/15/22 | 108,000 | 110,700 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Packaging & Containers (Continued) | ||||||||||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer (Luxembourg) |
| |||||||||||
6.10% (3 mo. USD LIBOR + 3.500%) (1)(2) | 07/15/21 | $ | 426,000 | $ | 428,662 | |||||||
Sealed Air Corp. |
| |||||||||||
5.25% (2) | 04/01/23 | 62,000 | 64,790 | |||||||||
5.50%(2) | 09/15/25 | 69,000 | 72,623 | |||||||||
Silgan Holdings, Inc. |
| |||||||||||
4.75% | 03/15/25 | 48,000 | 47,760 | |||||||||
Trident Merger Sub, Inc. |
| |||||||||||
6.63%(2) | 11/01/25 | 34,000 | 31,875 | |||||||||
|
| |||||||||||
1,421,037 | ||||||||||||
|
| |||||||||||
Pharmaceuticals — 3.4% | ||||||||||||
Bausch Health Cos, Inc. (Canada) |
| |||||||||||
5.50%(2) | 11/01/25 | 210,000 | 215,710 | |||||||||
5.75%(2) | 08/15/27 | 172,000 | 179,654 | |||||||||
5.88%(2) | 05/15/23 | 23,000 | 23,259 | |||||||||
Elanco Animal Health, Inc. |
| |||||||||||
3.91%(2) | 08/27/21 | 123,000 | 125,142 | |||||||||
4.90%(2) | 08/28/28 | 70,000 | 74,229 | |||||||||
|
| |||||||||||
617,994 | ||||||||||||
|
| |||||||||||
Pipelines — 5.7% | ||||||||||||
Cheniere Corpus Christi Holdings LLC |
| |||||||||||
5.13% | 06/30/27 | 13,000 | 13,585 | |||||||||
Energy Transfer Operating LP |
| |||||||||||
5.50% | 06/01/27 | 95,000 | 103,385 | |||||||||
5.88% | 01/15/24 | 59,000 | 64,482 | |||||||||
NGPL PipeCo LLC |
| |||||||||||
4.38%(2) | 08/15/22 | 125,000 | 128,750 | |||||||||
Rockies Express Pipeline LLC |
| |||||||||||
5.63%(2) | 04/15/20 | 129,000 | 132,528 | |||||||||
6.88%(2) | 04/15/40 | 84,000 | 91,770 | |||||||||
Sabine Pass Liquefaction LLC |
| |||||||||||
5.63% | 03/01/25 | 69,000 | 75,857 | |||||||||
Sunoco Logistics Partners Operations LP |
| |||||||||||
5.40% | 10/01/47 | 115,000 | 116,105 | |||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. |
| |||||||||||
6.88%(2) | 01/15/29 | 106,000 | 114,745 | |||||||||
TransMontaigne Partners LP / TLP Finance Corp. |
| |||||||||||
6.13% | 02/15/26 | 91,000 | 88,042 | |||||||||
Williams Cos., Inc. (The) |
| |||||||||||
3.70% | 01/15/23 | 37,000 | 37,643 | |||||||||
4.55% | 06/24/24 | 54,000 | 56,928 | |||||||||
|
| |||||||||||
1,023,820 | ||||||||||||
|
|
See accompanying notes to financial statements.
41
Table of Contents
TCW High Yield Bond Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
REIT — 1.0% | ||||||||||||
GLP Capital LP / GLP Financing II, Inc. |
| |||||||||||
4.88% | 11/01/20 | $ | 77,000 | $ | 78,522 | |||||||
5.75% | 06/01/28 | 35,000 | 37,714 | |||||||||
MGM Growth Properties Operating Partnership LP / MGP FinanceCo-Issuer, Inc. |
| |||||||||||
4.50% | 01/15/28 | 40,000 | 38,600 | |||||||||
5.63% | 05/01/24 | 24,000 | 25,260 | |||||||||
|
| |||||||||||
180,096 | ||||||||||||
|
| |||||||||||
Retail — 2.2% | ||||||||||||
1011778 BC ULC / New Red Finance, Inc. (Canada) |
| |||||||||||
4.25%(2) | 05/15/24 | 109,000 | 107,638 | |||||||||
Cumberland Farms, Inc. |
| |||||||||||
6.75%(2) | 05/01/25 | 43,000 | 45,526 | |||||||||
IRB Holding Corp. |
| |||||||||||
6.75%(2) | 02/15/26 | 19,000 | 18,905 | |||||||||
KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC |
| |||||||||||
4.75%(2) | 06/01/27 | 24,000 | 23,889 | |||||||||
5.25%(2) | 06/01/26 | 50,000 | 51,500 | |||||||||
Rite Aid Corp. |
| |||||||||||
6.13%(2) | 04/01/23 | 169,000 | 144,284 | |||||||||
|
| |||||||||||
391,742 | ||||||||||||
|
| |||||||||||
Software — 1.8% | ||||||||||||
CDK Global, Inc. |
| |||||||||||
3.80% | 10/15/19 | 139,000 | 139,626 | |||||||||
Change Healthcare Holdings LLC / Change Healthcare Finance, Inc. |
| |||||||||||
5.75%(2) | 03/01/25 | 74,000 | 73,445 | |||||||||
MSCI, Inc. |
| |||||||||||
5.75%(2) | 08/15/25 | 31,000 | 32,666 | |||||||||
SS&C Technologies, Inc. |
| |||||||||||
5.50%(2) | 09/30/27 | 86,000 | 88,365 | |||||||||
|
| |||||||||||
334,102 | ||||||||||||
|
| |||||||||||
Telecommunications — 14.9% | ||||||||||||
Altice France S.A. (France) |
| |||||||||||
7.38%(2) | 05/01/26 | 103,000 | 104,609 | |||||||||
CommScope Finance LLC |
| |||||||||||
6.00%(2) | 03/01/26 | 132,000 | 140,085 | |||||||||
Frontier Communications Corp. |
| |||||||||||
7.13% | 01/15/23 | 122,000 | 77,165 | |||||||||
8.00%(2) | 04/01/27 | 27,000 | 27,996 | |||||||||
8.50%(2) | 04/01/26 | 23,000 | 21,735 | |||||||||
Intelsat Jackson Holdings S. A. (Luxembourg) |
| |||||||||||
5.50% | 08/01/23 | 352,000 | 320,320 | |||||||||
9.75%(2) | 07/15/25 | 37,000 | 38,156 | |||||||||
Intelsat Luxembourg S.A. (Luxembourg) |
| |||||||||||
8.13% | 06/01/23 | 11,000 | 8,374 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Telecommunications (Continued) | ||||||||||||
Koninklijke KPN NV (Netherlands) |
| |||||||||||
8.38% | 10/01/30 | $ | 34,000 | $ | 43,331 | |||||||
Level 3 Financing, Inc. |
| |||||||||||
5.38% | 05/01/25 | 219,000 | 223,073 | |||||||||
6.13% | 01/15/21 | 37,000 | 37,278 | |||||||||
Qwest Corp. |
| |||||||||||
6.75% | 12/01/21 | 136,000 | 145,180 | |||||||||
6.88% | 09/15/33 | 100,000 | 100,125 | |||||||||
7.25% | 09/15/25 | 190,000 | 208,287 | |||||||||
Sprint Capital Corp. |
| |||||||||||
8.75% | 03/15/32 | 156,000 | 163,995 | |||||||||
Sprint Communications, Inc. |
| |||||||||||
7.00%(2) | 03/01/20 | 113,000 | 116,390 | |||||||||
Sprint Corp. |
| |||||||||||
7.13% | 06/15/24 | 77,000 | 77,361 | |||||||||
7.63% | 02/15/25 | 132,000 | 133,650 | |||||||||
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC |
| |||||||||||
4.74%(2) | 09/20/29 | 190,000 | 194,037 | |||||||||
T-Mobile USA, Inc. |
| |||||||||||
4.75% | 02/01/28 | 191,000 | 192,433 | |||||||||
6.00% | 03/01/23 | 132,000 | 136,125 | |||||||||
6.50% | 01/15/24 | 176,000 | 182,600 | |||||||||
T-Mobile USA, Inc. (Contingent payment) |
| |||||||||||
4.50%(3) | 02/01/26 | 95,000 | — | |||||||||
4.75%(3) | 02/01/28 | 141,000 | — | |||||||||
6.50%(3) | 01/15/24 | 170,000 | — | |||||||||
Windstream Services LLC / Windstream Finance Corp. |
| |||||||||||
9.00%(2) | 06/30/25 | 6,000 | 4,050 | |||||||||
|
| |||||||||||
2,696,355 | ||||||||||||
|
| |||||||||||
Trucking & Leasing — 1.5% | ||||||||||||
Avolon Holdings Funding, Ltd. |
| |||||||||||
3.63%(2) | 05/01/22 | 178,000 | 178,587 | |||||||||
5.13%(2) | 10/01/23 | 90,000 | 93,516 | |||||||||
|
| |||||||||||
272,103 | ||||||||||||
|
| |||||||||||
Total Corporate Bonds |
| |||||||||||
(Cost: $14,805,631) | 15,079,967 | |||||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $15,553,837) | 15,825,663 | |||||||||||
|
| |||||||||||
Shares | ||||||||||||
COMMON STOCK — 0.3%(Cost: $327,224) | ||||||||||||
Electric — 0.3% | ||||||||||||
Homer City Holdings LLC — Series A (3)(4) |
| 5,610 | 47,685 | |||||||||
|
| |||||||||||
Total Common Stock |
| |||||||||||
(Cost: $327,224) | 47,685 | |||||||||||
|
|
See accompanying notes to financial statements.
42
Table of Contents
TCW High Yield Bond Fund
April 30, 2019
Issues | Shares | Value | ||||||||||
MONEY MARKET INVESTMENTS — 1.4% |
| |||||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 2.37% (5) |
| 260,262 | $ | 260,262 | ||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $260,262) | 260,262 | |||||||||||
|
| |||||||||||
Maturity Date | Principal Amount | |||||||||||
SHORT TERM INVESTMENTS — 9.3% |
| |||||||||||
U.S. TREASURY SECURITIES — 9.3% |
| |||||||||||
U.S. Treasury Bill |
| |||||||||||
2.34%(6) | 05/28/19 | $ | 502,000 | 501,104 | ||||||||
2.38%(6) | 07/18/19 | 881,000 | 876,479 | |||||||||
2.32%(6) | 05/21/19 | 272,000 | 271,639 | |||||||||
2.36%(6)(7) | 06/20/19 | 31,000 | 30,898 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $1,680,053) | 1,680,120 | |||||||||||
|
| |||||||||||
Total Short Term Investments |
| |||||||||||
(Cost: $1,680,053) | 1,680,120 | |||||||||||
|
| |||||||||||
Total Investments (98.6%) |
| |||||||||||
(Cost: $17,821,376) | 17,813,730 | |||||||||||
Excess of Other Assets over Liabilities (1.4%) |
| 254,685 | ||||||||||
|
| |||||||||||
Net Assets (100.0%) | $ | 18,068,415 | ||||||||||
|
|
Futures Contracts | ||||||||||||||||||
Number of Contracts | Type | Expiration Date | Notional | Market Value | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
Long Futures |
| |||||||||||||||||
3 | 2-Year U.S. Treasury Note Futures | 06/28/19 | 636,746 | $ | 639,023 | $ | 2,277 | |||||||||||
22 | 5-Year U.S. Treasury Note Futures | 06/28/19 | 2,539,829 | 2,544,094 | 4,265 | |||||||||||||
1 | 5-Year U.S. Treasury Note Futures | 09/30/19 | 115,549 | 115,750 | 201 | |||||||||||||
|
|
|
|
|
| |||||||||||||
$ | 3,292,124 | $ | 3,298,867 | $ | 6,743 | |||||||||||||
|
|
|
|
|
| |||||||||||||
Short Futures |
| |||||||||||||||||
9 | 10-Year U.S. Treasury Note Futures | 06/19/19 | $ | (1,174,309 | ) | $ | (1,186,031 | ) | $ | (11,722 | ) | |||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
43
Table of Contents
TCW High Yield Bond Fund
Schedule of Investments (Unaudited) (Continued)
Notes to Schedule of Investments:
EETC - | Enhanced Equipment Trust Certificate. |
REIT - | Real Estate Investment Trust. |
(1) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2019. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only to qualified institutional buyers. At April 30, 2019, the value of these securities amounted to $7,606,740 or 42.1% of net assets. These securities are determined to be liquid by the Fund’s investment advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(3) | For fair value measurement disclosure purposes, security is categorized as Level 3. |
(4) | Non-income producing security. |
(5) | Rate disclosed is the7-day net yield as of April 30, 2019. |
(6) | Rate shown representsyield-to-maturity. |
(7) | All or a portion of this security is held as collateral for open futures contracts. |
See accompanying notes to financial statements.
44
Table of Contents
TCW High Yield Bond Fund
Investments by Sector (Unaudited) | April 30, 2019 |
Sector | Percentage of Net Assets | |||
Corporate Bonds | 83.5 | % | ||
U.S. Treasury Bills | 9.3 | |||
Bank Loans | 4.1 | |||
Money Market Investments | 1.4 | |||
Common Stock | 0.3 | |||
Other* | 1.4 | |||
|
| |||
Total | 100.0 | % | ||
|
|
* | Includes cash, capstock, futures, pending trades, interest receivable and accrued expenses payable. |
See accompanying notes to Schedule of Investments.
45
Table of Contents
TCW High Yield Bond Fund
Fair Valuation Summary (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of April 30, 2019 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Bank Loans* | $ | — | $ | 745,696 | $ | — | $ | 745,696 | ||||||||
Corporate Bonds* | — | 15,079,967 | — | 15,079,967 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 15,825,663 | — | 15,825,663 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Equity Securities | ||||||||||||||||
Common Stock* | — | — | 47,685 | 47,685 | ||||||||||||
Money Market Investments | 260,262 | — | — | 260,262 | ||||||||||||
Short-Term Investments | 1,680,120 | — | — | 1,680,120 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 1,940,382 | 15,825,663 | 47,685 | 17,813,730 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | 6,743 | — | — | 6,743 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,947,125 | $ | 15,825,663 | $ | 47,685 | $ | 17,820,473 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | $ | (11,722 | ) | $ | — | $ | — | $ | (11,722 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (11,722 | ) | $ | — | $ | — | $ | (11,722 | ) | ||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
See accompanying notes to financial statements.
46
Table of Contents
Schedule of Investments (Unaudited) | April 30, 2019 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 90.2% of Net Assets |
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY — 5.5% | ||||||||||||
Fannie Mae, Pool #468764 |
| |||||||||||
4.16% | 07/01/21 | $ | 45,000 | $ | 46,361 | |||||||
Fannie Mae, Pool #464321 |
| |||||||||||
4.36% | 01/01/20 | 43,233 | 43,472 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates(J15F-A1) |
| |||||||||||
2.36% | 07/25/20 | 5,824 | 5,812 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates(J22F-A1) |
| |||||||||||
3.45% | 05/25/23 | 29,404 | 30,034 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates(K012-X3) (I/O) |
| |||||||||||
2.33%(1) | 01/25/41 | 295,045 | 10,859 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates(K025-X3) (I/O) |
| |||||||||||
1.81%(1) | 11/25/40 | 150,000 | 8,636 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates(K031-X1) (I/O) |
| |||||||||||
0.34%(1) | 04/25/23 | 893,874 | 7,231 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates(K056-XAM) (I/O) |
| |||||||||||
1.29%(1) | 05/25/26 | 100,000 | 7,268 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates(KF04-A) |
| |||||||||||
2.80% (1 mo. USD LIBOR + 0.310%)(2) | 06/25/21 | 8,794 | 8,796 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates(KF14-A) |
| |||||||||||
3.14% (1 mo. USD LIBOR + 0.650%)(2) | 01/25/23 | 11,331 | 11,358 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates(KP02-A2) |
| |||||||||||
2.36%(1) | 04/25/21 | 15,061 | 15,016 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates(KP03-A2) |
| |||||||||||
1.78% | 07/25/19 | 15,025 | 15,006 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates(KP04-AG1) |
| |||||||||||
2.71%(1) | 07/25/20 | 55,000 | 54,976 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates(KS05-A) |
| |||||||||||
2.99% (1 mo. USD LIBOR + 0.500%)(2) | 01/25/23 | 34,015 | 34,090 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates(KS07-X) (I/O) |
| |||||||||||
0.78%(1) | 09/25/25 | 250,000 | 9,258 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates(KS10-A10) |
| |||||||||||
3.09%(1) | 10/25/28 | 30,000 | 30,086 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Government National Mortgage Association(11-165-IO) (I/O) |
| |||||||||||
0.50%(1) | 10/16/51 | $ | 922,887 | $ | 10,493 | |||||||
|
| |||||||||||
Total Commercial Mortgage-backed Securities — Agency |
| |||||||||||
(Cost: $317,541) |
| 348,752 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 2.6% | ||||||||||||
Citigroup Commercial Mortgage Trust(12-GC8-XA) (I/O) |
| |||||||||||
1.95%(1)(3)(4) | 09/10/45 | 165,543 | 7,467 | |||||||||
COMM Mortgage Trust(13-CR7-XA) (I/O) |
| |||||||||||
1.38%(1) | 03/10/46 | 272,233 | 10,052 | |||||||||
Four Times Square Trust Commercial Mortgage Pass-Through Certificates(06-4TS-A) |
| |||||||||||
5.40%(3) | 12/13/28 | 9,442 | 9,785 | |||||||||
JPMBB Commercial Mortgage Securities Trust(13-C17-XA) (I/O) |
| |||||||||||
0.93%(1) | 01/15/47 | 740,671 | 21,953 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust(06-LDP9-A3S) |
| |||||||||||
5.24%(3) | 05/15/47 | 4,816 | 4,798 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust(12-HSBC-A) |
| |||||||||||
3.09%(3) | 07/05/32 | 9,591 | 9,710 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust(13-C10-XA) (I/O) |
| |||||||||||
1.14%(1) | 12/15/47 | 315,516 | 9,677 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust(13-C7-XA) (I/O) |
| |||||||||||
1.49%(1) | 02/15/46 | 279,470 | 11,707 | |||||||||
Morgan Stanley Capital Barclays Bank Trust(16-MART-A) |
| |||||||||||
2.20%(3) | 09/13/31 | 15,000 | 14,819 | |||||||||
WFRBS Commercial Mortgage Trust(12-C9-XA) (I/O) |
| |||||||||||
2.04%(1)(3) | 11/15/45 | 893,729 | 48,798 | |||||||||
WFRBS Commercial Mortgage Trust(13-C12-XA) (I/O) |
| |||||||||||
1.41%(1)(3) | 03/15/48 | 148,936 | 5,738 | |||||||||
WFRBS Commercial Mortgage Trust(13-C13-XA) (I/O) |
| |||||||||||
1.34%(1)(3) | 05/15/45 | 223,809 | 9,033 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-backedSecurities — Non-agency |
| |||||||||||
(Cost: $167,608) |
| 163,537 | ||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY — 17.9% | ||||||||||||
Fannie Mae(03-11-FA) |
| |||||||||||
3.48% (1 mo. USD LIBOR + 1.000%)(2) | 09/25/32 | 15,631 | 16,059 |
See accompanying notes to financial statements.
47
Table of Contents
TCW Short Term Bond Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae(03-52-NF) |
| |||||||||||
2.88% (1 mo. USD LIBOR + 0.400%)(2) | 06/25/23 | $ | 15,053 | $ | 15,055 | |||||||
Fannie Mae(05-114-PF) (PAC) |
| |||||||||||
2.85% (1 mo. USD LIBOR + 0.375%) (2) | 08/25/35 | 25,830 | 25,828 | |||||||||
Fannie Mae(06-60-DF) |
| |||||||||||
2.91% (1 mo. USD LIBOR + 0.430%)(2) | 04/25/35 | 19,666 | 19,701 | |||||||||
Fannie Mae(06-84-WF) (PAC) |
| |||||||||||
2.78% (1 mo. USD LIBOR + 0.300%)(2) | 02/25/36 | 6,892 | 6,889 | |||||||||
Fannie Mae(07-64-FA) |
| |||||||||||
2.95% (1 mo. USD LIBOR + 0.470%)(2) | 07/25/37 | 33,964 | 34,087 | |||||||||
Fannie Mae(07-67-FA) |
| |||||||||||
2.73% (1 mo. USD LIBOR + 0.250%)(2) | 04/25/37 | 11,617 | 11,619 | |||||||||
Fannie Mae(08-15-JN) |
| |||||||||||
4.50% | 02/25/23 | 4,411 | 4,433 | |||||||||
Fannie Mae(08-24-PF) (PAC) |
| |||||||||||
3.13% (1 mo. USD LIBOR + 0.650%)(2) | 02/25/38 | 22,774 | 22,892 | |||||||||
Fannie Mae(09-33-FB) |
| |||||||||||
3.30% (1 mo. USD LIBOR + 0.820%)(2) | 03/25/37 | 24,041 | 24,480 | |||||||||
Fannie Mae(11-124-DF) |
| |||||||||||
2.93% (1 mo. USD LIBOR + 0.450%)(2) | 08/25/40 | 13,308 | 13,324 | |||||||||
Fannie Mae(11-75-HP) (PAC) |
| |||||||||||
2.50% | 07/25/40 | 28,155 | 28,061 | |||||||||
Fannie Mae(12-93-GF) (PAC) |
| |||||||||||
2.73% (1 mo. USD LIBOR + 0.250%)(2) | 07/25/40 | 52,495 | 52,027 | |||||||||
Fannie Mae, Pool #254548 |
| |||||||||||
5.50% | 12/01/32 | 12,901 | 13,968 | |||||||||
Fannie Mae, Pool #600187 |
| |||||||||||
7.00% | 07/01/31 | 27,488 | 30,133 | |||||||||
Fannie Mae, Pool #995364 |
| |||||||||||
6.00% | 10/01/38 | 13,826 | 15,200 | |||||||||
Fannie Mae, Pool #AL0851 |
| |||||||||||
6.00% | 10/01/40 | 7,546 | 8,449 | |||||||||
Freddie Mac(2550-FI) (TAC) |
| |||||||||||
2.82% (1 mo. USD LIBOR + 0.350%) (2) | 11/15/32 | 35,188 | 35,153 | |||||||||
Freddie Mac(2763-FC) |
| |||||||||||
2.82% (1 mo. USD LIBOR + 0.350%) (2) | 04/15/32 | 4,559 | 4,558 | |||||||||
Freddie Mac(2990-DE) |
| |||||||||||
2.85% (1 mo. USD LIBOR + 0.380%) (2) | 11/15/34 | 19,097 | 19,119 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac(3071-TF) (PAC) |
| |||||||||||
2.77% (1 mo. USD LIBOR + 0.300%)(2) | 04/15/35 | $ | 39,561 | $ | 39,438 | |||||||
Freddie Mac(3139-FL) (PAC) |
| |||||||||||
2.77% (1 mo. USD LIBOR + 0.300%) (2) | 01/15/36 | 18,310 | 18,302 | |||||||||
Freddie Mac(3172-FK) |
| |||||||||||
2.92% (1 mo. USD LIBOR + 0.450%) (2) | 08/15/33 | 5,769 | 5,771 | |||||||||
Freddie Mac(3196-FA) (PAC) |
| |||||||||||
2.82% (1 mo. USD LIBOR + 0.350%) (2) | 04/15/32 | 39,590 | 39,592 | |||||||||
Freddie Mac(3300-FA) |
| |||||||||||
2.77% (1 mo. USD LIBOR + 0.300%)(2) | 08/15/35 | 40,281 | 40,091 | |||||||||
Freddie Mac(3318-F) |
| |||||||||||
2.72% (1 mo. USD LIBOR + 0.250%)(2) | 05/15/37 | 47,909 | 47,696 | |||||||||
Freddie Mac(3645-EH) |
| |||||||||||
3.00% | 12/15/20 | 8,120 | 8,096 | |||||||||
Freddie Mac(3767-JF) (PAC) |
| |||||||||||
2.77% (1 mo. USD LIBOR + 0.300%)(2) | 02/15/39 | 36,694 | 36,780 | |||||||||
Freddie Mac(3828-TF) |
| |||||||||||
2.87% (1 mo. USD LIBOR + 0.400%)(2) | 04/15/29 | 14,758 | 14,762 | |||||||||
Freddie Mac(3879-MF) |
| |||||||||||
2.82% (1 mo. USD LIBOR + 0.350%)(2) | 09/15/38 | 27,839 | 27,851 | |||||||||
Freddie Mac(3940-PF) (PAC) |
| |||||||||||
2.83% | 05/15/40 | 55,234 | 55,261 | |||||||||
Freddie Mac(3946-FG) (PAC) |
| |||||||||||
2.82% (1 mo. USD LIBOR + 0.350%)(2) | 10/15/39 | 25,064 | 25,039 | |||||||||
Freddie Mac(4231-FD) |
| |||||||||||
2.82% (1 mo. USD LIBOR + 0.350%)(2) | 10/15/32 | 64,901 | 64,951 | |||||||||
Freddie Mac(263-F5) |
| |||||||||||
2.97% (1 mo. USD LIBOR + 0.500%)(2) | 06/15/42 | 49,991 | 50,134 | |||||||||
Ginnie Mae(05-60-FK) (PAC) |
| |||||||||||
2.70% (1 mo. USD LIBOR + 0.220%)(2) | 02/20/34 | 69,898 | 69,863 | |||||||||
Ginnie Mae(12-13-KF) |
| |||||||||||
2.78% (1 mo. USD LIBOR + 0.300%)(2) | 07/20/38 | 25,031 | 25,017 | |||||||||
Ginnie Mae II, Pool #80022 |
| |||||||||||
4.13% (1 year Treasury Constant Maturity Rate + 1.500%)(2) | 12/20/26 | 14,201 | 14,606 |
See accompanying notes to financial statements.
48
Table of Contents
TCW Short Term Bond Fund
April 30, 2019
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Ginnie Mae II, Pool #80636 |
| |||||||||||
3.75% (1 year Treasury Constant Maturity Rate + 1.500%)(2) | 09/20/32 | $ | 10,171 | $ | 10,498 | |||||||
Ginnie Mae II, Pool #80757 |
| |||||||||||
3.75% (1 year Treasury Constant Maturity Rate + 1.500%)(2) | 10/20/33 | 7,621 | 7,597 | |||||||||
Ginnie Mae II, Pool #80797 |
| |||||||||||
3.38% (1 year Treasury Constant Maturity Rate + 1.500%)(2) | 01/20/34 | 50,608 | 52,613 | |||||||||
Ginnie Mae II, Pool #80937 |
| |||||||||||
3.63% (1 year Treasury Constant Maturity Rate + 1.500%)(2) | 06/20/34 | 18,473 | 19,132 | |||||||||
NCUA Guaranteed Notes(10-R1-1A) |
| |||||||||||
2.93% (1 mo. USD LIBOR + 0.450%)(2) | 10/07/20 | 49,791 | 49,777 | |||||||||
|
| |||||||||||
Total Residential Mortgage-backed Securities — Agency |
| |||||||||||
(Cost: $1,120,490) |
| 1,123,902 | ||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 1.3% | ||||||||||||
Credit Suisse First Boston Mortgage Securities Corp.(02-AR31-6A1) |
| |||||||||||
4.58%(1) | 11/25/32 | 58,880 | 60,365 | |||||||||
First Franklin Mortgage Loan Asset-Backed Certificates(04-FF5-A3C) |
| |||||||||||
3.48% (1 mo. USD LIBOR + 1.000%) (2) | 08/25/34 | 17,376 | 17,033 | |||||||||
Morgan Stanley Mortgage Loan Trust(04-6AR-1A) |
| |||||||||||
3.38% (1 mo. USD LIBOR + 0.900%)(2) | 07/25/34 | 5,712 | 5,736 | |||||||||
Residential Accredit Loans, Inc.(02-QS16-A2) |
| |||||||||||
3.03% (1 mo. USD LIBOR + 0.550%) (2)(5) | 10/25/17 | 83 | 85 | |||||||||
|
| |||||||||||
Total Residential Mortgage-backed Securities —Non-agency |
| |||||||||||
(Cost: $80,039) |
| 83,219 | ||||||||||
|
| |||||||||||
CORPORATE BONDS — 29.6% |
| |||||||||||
Aerospace/Defense — 1.0% | ||||||||||||
BAE Systems Holdings, Inc. |
| |||||||||||
6.38%(3) | 06/01/19 | 20,000 | 20,055 | |||||||||
L3 Technologies, Inc. |
| |||||||||||
4.95% | 02/15/21 | 15,000 | 15,478 | |||||||||
United Technologies Corp. |
| |||||||||||
3.33% (3 mo. USD LIBOR + 0.650%)(2) | 08/16/21 | 25,000 | 25,026 | |||||||||
|
| |||||||||||
60,559 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Agriculture — 0.5% | ||||||||||||
BAT Capital Corp. |
| |||||||||||
2.76% | 08/15/22 | $ | 30,000 | $ | 29,588 | |||||||
|
| |||||||||||
Auto Manufacturers — 1.4% | ||||||||||||
BMW US Capital LLC |
| |||||||||||
2.97% (3 mo. USD LIBOR + 0.380%)(2)(3) | 04/06/20 | 30,000 | 30,050 | |||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
2.46% | 03/27/20 | 25,000 | 24,835 | |||||||||
2.60% | 11/04/19 | 25,000 | 24,945 | |||||||||
5.88% | 08/02/21 | 10,000 | 10,467 | |||||||||
|
| |||||||||||
90,297 | ||||||||||||
|
| |||||||||||
Banks — 11.1% | ||||||||||||
Bank of America Corp. |
| |||||||||||
2.37% (3 mo. USD LIBOR + 0.66%)(2) | 07/21/21 | 100,000 | 99,330 | |||||||||
2.74%(2) | 01/23/22 | 25,000 | 24,925 | |||||||||
7.63% | 06/01/19 | 15,000 | 15,056 | |||||||||
Bank of New York Mellon Corp. (The) |
| |||||||||||
2.20% | 05/15/19 | 25,000 | 25,000 | |||||||||
Citigroup, Inc. |
| |||||||||||
2.45% | 01/10/20 | 25,000 | 24,955 | |||||||||
2.50% | 07/29/19 | 25,000 | 24,992 | |||||||||
2.90% | 12/08/21 | 25,000 | 24,974 | |||||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||||
2.55% | 10/23/19 | 40,000 | 39,929 | |||||||||
JPMorgan Chase & Co. |
| |||||||||||
3.31% (3 mo. USD LIBOR + 0.680%)(2) | 06/01/21 | 75,000 | 75,322 | |||||||||
JPMorgan Chase Bank NA |
| |||||||||||
3.09% (3.086% until 4/26/20 then 3 mo. USD LIBOR + 0.35%) | 04/26/21 | 50,000 | 50,135 | |||||||||
Lloyds Bank PLC (United Kingdom) |
| |||||||||||
5.80%(3) | 01/13/20 | 30,000 | 30,647 | |||||||||
Morgan Stanley |
| |||||||||||
3.25% (3 mo. USD LIBOR + 0.550%)(2) | 02/10/21 | 30,000 | 30,044 | |||||||||
7.30% | 05/13/19 | 60,000 | 60,084 | |||||||||
Santander UK Group Holdings PLC (United Kingdom) |
| |||||||||||
3.13% | 01/08/21 | 30,000 | 30,021 | |||||||||
Wells Fargo & Co. |
| |||||||||||
2.15% | 01/30/20 | 40,000 | 39,844 | |||||||||
2.63% | 07/22/22 | 5,000 | 4,958 | |||||||||
Wells Fargo Bank N.A. |
| |||||||||||
2.40% | 01/15/20 | 100,000 | 99,806 | |||||||||
|
| |||||||||||
700,022 | ||||||||||||
|
|
See accompanying notes to financial statements.
49
Table of Contents
TCW Short Term Bond Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Beverages — 1.0% | ||||||||||||
Anheuser-Busch InBev Worldwide, Inc. |
| |||||||||||
6.88% | 11/15/19 | $ | 25,000 | $ | 25,551 | |||||||
Constellation Brands, Inc. |
| |||||||||||
2.00% | 11/07/19 | 25,000 | 24,896 | |||||||||
Molson Coors Brewing Co. |
| |||||||||||
2.25% | 03/15/20 | 15,000 | 14,927 | |||||||||
|
| |||||||||||
65,374 | ||||||||||||
|
| |||||||||||
Chemicals — 0.3% | ||||||||||||
International Flavors & Fragrances, Inc. |
| |||||||||||
3.40% | 09/25/20 | 20,000 | 20,130 | |||||||||
|
| |||||||||||
Commercial Services — 0.4% | ||||||||||||
IHS Markit, Ltd. |
| |||||||||||
5.00%(3) | 11/01/22 | 25,000 | 26,320 | |||||||||
|
| |||||||||||
Diversified Financial Services — 1.3% | ||||||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Ireland) |
| |||||||||||
3.75% | 05/15/19 | 25,000 | 25,007 | |||||||||
Air Lease Corp. |
| |||||||||||
3.50% | 01/15/22 | 30,000 | 30,319 | |||||||||
GE Capital International Funding Co. Unlimited Co. (Ireland) |
| |||||||||||
2.34% | 11/15/20 | 30,000 | 29,621 | |||||||||
|
| |||||||||||
84,947 | ||||||||||||
|
| |||||||||||
Food — 1.6% | ||||||||||||
Campbell Soup Co. |
| |||||||||||
3.11% (3 mo. USD LIBOR + 0.500%)(2) | 03/16/20 | 15,000 | 14,984 | |||||||||
Conagra Brands, Inc. |
| |||||||||||
3.09% (3 mo. USD LIBOR + 0.500%)(2) | 10/09/20 | 25,000 | 24,940 | |||||||||
Danone SA |
| |||||||||||
1.69%(3) | 10/30/19 | 20,000 | 19,879 | |||||||||
Mondelez International Holdings Netherlands BV |
| |||||||||||
1.63%(3) | 10/28/19 | 25,000 | 24,859 | |||||||||
Tyson Foods, Inc. |
| |||||||||||
3.09% (3 mo. USD LIBOR + 0.450%)(2) | 08/21/20 | 15,000 | 14,992 | |||||||||
|
| |||||||||||
99,654 | ||||||||||||
|
| |||||||||||
Forest Products & Paper — 0.3% | ||||||||||||
Georgia-Pacific LLC |
| |||||||||||
2.54%(3) | 11/15/19 | 20,000 | 19,978 | |||||||||
|
| |||||||||||
Healthcare-Products — 0.5% | ||||||||||||
Becton Dickinson and Co. |
| |||||||||||
3.48% (3 mo. USD LIBOR + 0.875%) | 12/29/20 | 15,000 | 15,003 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Healthcare-Products (Continued) | ||||||||||||
Zimmer Biomet Holdings, Inc. |
| |||||||||||
3.38% (3 mo. USD LIBOR + 0.750%)(2) | 03/19/21 | $ | 15,000 | $ | 14,957 | |||||||
|
| |||||||||||
29,960 | ||||||||||||
|
| |||||||||||
Healthcare-Services — 1.4% | ||||||||||||
Anthem, Inc. |
| |||||||||||
2.25% | 08/15/19 | 25,000 | 24,964 | |||||||||
Fresenius Medical Care US Finance II, Inc. |
| |||||||||||
5.63%(3) | 07/31/19 | 25,000 | 25,131 | |||||||||
Humana, Inc. |
| |||||||||||
2.50% | 12/15/20 | 15,000 | 14,931 | |||||||||
Sutter Health |
| |||||||||||
2.29% | 08/15/53 | 25,000 | 24,607 | |||||||||
|
| |||||||||||
89,633 | ||||||||||||
|
| |||||||||||
Insurance — 0.4% | ||||||||||||
Allstate Corp. (The) |
| |||||||||||
3.03% (3 mo. USD LIBOR + 0.430%)(2) | 03/29/21 | 25,000 | 25,041 | |||||||||
|
| |||||||||||
Media — 0.2% | ||||||||||||
Discovery Communications LLC |
| |||||||||||
2.80% | 06/15/20 | 10,000 | 9,985 | |||||||||
|
| |||||||||||
Miscellaneous Manufacturers — 1.0% | ||||||||||||
General Electric Co. |
| |||||||||||
2.20% | 01/09/20 | 45,000 | 44,739 | |||||||||
4.65% | 10/17/21 | 15,000 | 15,551 | |||||||||
|
| |||||||||||
60,290 | ||||||||||||
|
| |||||||||||
Packaging & Containers — 0.3% | ||||||||||||
Bemis Co., Inc. |
| |||||||||||
6.80% | 08/01/19 | 20,000 | 20,194 | |||||||||
|
| |||||||||||
Pharmaceuticals — 0.6% | ||||||||||||
Bayer US Finance II LLC |
| |||||||||||
2.13%(3) | 07/15/19 | 20,000 | 19,950 | |||||||||
Bayer US Finance LLC |
| |||||||||||
2.38%(3) | 10/08/19 | 15,000 | 14,967 | |||||||||
|
| |||||||||||
34,917 | ||||||||||||
|
| |||||||||||
REIT — 4.5% | ||||||||||||
Alexandria Real Estate Equities, Inc. |
| |||||||||||
2.75% | 01/15/20 | 25,000 | 24,974 | |||||||||
American Campus Communities Operating Partnership LP |
| |||||||||||
3.35% | 10/01/20 | 20,000 | 20,090 | |||||||||
Camden Property Trust |
| |||||||||||
2.95% | 12/15/22 | 25,000 | 25,086 | |||||||||
GLP Capital LP / GLP Financing II, Inc. |
| |||||||||||
4.38% | 04/15/21 | 10,000 | 10,201 | |||||||||
4.88% | 11/01/20 | 15,000 | 15,297 |
See accompanying notes to financial statements.
50
Table of Contents
TCW Short Term Bond Fund
April 30, 2019
Issues | Maturity Date | Principal Amount | Value | |||||||||
REIT (Continued) | ||||||||||||
HCP, Inc. |
| |||||||||||
4.00% | 12/01/22 | $ | 25,000 | $ | 25,770 | |||||||
Healthcare Trust of America Holdings LP |
| |||||||||||
3.38% | 07/15/21 | 30,000 | 30,116 | |||||||||
Host Hotels & Resorts LP |
| |||||||||||
6.00% | 10/01/21 | 15,000 | 15,873 | |||||||||
National Retail Properties, Inc. |
| |||||||||||
3.80% | 10/15/22 | 15,000 | 15,341 | |||||||||
SL Green Operating Partnership LP |
| |||||||||||
3.66% (3 mo. USD LIBOR + 0.980%) | 08/16/21 | 40,000 | 40,028 | |||||||||
UDR, Inc. |
| |||||||||||
3.70% | 10/01/20 | 35,000 | 35,375 | |||||||||
Ventas Realty LP / Ventas Capital Corp. |
| |||||||||||
2.70% | 04/01/20 | 25,000 | 24,985 | |||||||||
|
| |||||||||||
283,136 | ||||||||||||
|
| |||||||||||
Retail — 0.7% | ||||||||||||
Alimentation Couche-Tard, Inc. (Canada) |
| |||||||||||
2.35%(3) | 12/13/19 | 20,000 | 19,937 | |||||||||
Dollar Tree, Inc. |
| |||||||||||
3.29% (3 mo. USD LIBOR + 0.700%)(2) | 04/17/20 | 25,000 | 25,002 | |||||||||
|
| |||||||||||
44,939 | ||||||||||||
|
| |||||||||||
Semiconductors — 0.4% | ||||||||||||
Analog Devices, Inc. |
| |||||||||||
2.85% | 03/12/20 | 10,000 | 10,005 | |||||||||
Broadcom Corp. / Broadcom Cayman Finance, Ltd. |
| |||||||||||
2.38% | 01/15/20 | 15,000 | 14,936 | |||||||||
|
| |||||||||||
24,941 | ||||||||||||
|
| |||||||||||
Telecommunications — 0.5% | ||||||||||||
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC |
| |||||||||||
3.36%(3) | 03/20/23 | 31,250 | 31,211 | |||||||||
|
| |||||||||||
Trucking & Leasing — 0.2% | ||||||||||||
Park Aerospace Holdings, Ltd. |
| |||||||||||
3.63%(3) | 03/15/21 | 10,000 | 10,016 | |||||||||
4.50%(3) | 03/15/23 | 5,000 | 5,064 | |||||||||
|
| |||||||||||
15,080 | ||||||||||||
|
| |||||||||||
Total Corporate Bonds |
| |||||||||||
(Cost: $1,879,331) | 1,866,196 | |||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
U.S. TREASURY SECURITIES — 33.3% | ||||||||||||
U.S. Treasury Note |
| |||||||||||
2.25% | 03/31/21 | $ | 955,000 | $ | 954,553 | |||||||
2.25% | 04/30/21 | 160,000 | 159,941 | |||||||||
2.25% | 04/15/22 | 205,000 | 205,052 | |||||||||
2.50% | 01/31/21 | 100,000 | 100,352 | |||||||||
2.50% | 02/28/21 | 676,000 | 678,548 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost: $2,094,083) |
| 2,098,446 | ||||||||||
|
| |||||||||||
Total Fixed Income Securities | ||||||||||||
(Cost: $5,659,092) |
| 5,684,052 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
MONEY MARKET INVESTMENTS — 1.9% | ||||||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, |
| 118,610 | 118,610 | |||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $118,610) |
| 118,610 | ||||||||||
|
| |||||||||||
Principal Amount | ||||||||||||
SHORT TERM INVESTMENTS — 10.2% |
| |||||||||||
U.S. Treasury Securities — 10.2% | ||||||||||||
U.S. Treasury Bill |
| |||||||||||
2.42%(7) | 10/10/19 | $ | 41,000 | 40,563 | ||||||||
2.37%(7)(8) | 06/20/19 | 17,000 | 16,944 | |||||||||
2.41%(7) | 10/24/19 | 90,000 | 88,964 | |||||||||
2.32%(7) | 05/21/19 | 400,000 | 399,469 | |||||||||
2.39%(7) | 07/18/19 | 95,000 | 94,512 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost: $640,432) |
| 640,452 | ||||||||||
|
| |||||||||||
Total Short Term Investments | ||||||||||||
(Cost: $640,432) |
| 640,452 | ||||||||||
|
| |||||||||||
Total Investments (102.3%) | ||||||||||||
(Cost: $6,418,134) |
| 6,443,114 | ||||||||||
Liabilities in Excess of Other Assets (-2.3%) |
| (146,318 | ) | |||||||||
|
| |||||||||||
Net Assets (100.0%) |
| $ | 6,296,796 | |||||||||
|
|
See accompanying notes to financial statements.
51
Table of Contents
TCW Short Term Bond Fund
Schedule of Investments (Unaudited) (Continued)
Futures Contracts | ||||||||||||||||||
Number of Contracts | Type | Expiration Date | Notional Contract Value | Market Value | Net Unrealized Appreciation | |||||||||||||
BUY |
| |||||||||||||||||
2 | 2-Year U.S. Treasury Note Futures | 06/28/19 | $ | 424,551 | $ | 426,016 | $ | 1,465 | ||||||||||
|
|
|
|
|
|
Notes to Schedule of Investments:
I/O - | Interest Only Security. |
PAC - | Planned Amortization Class. |
REIT - | Real Estate Investment Trust. |
TAC - | Target Amortization Class. |
(1) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(2) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2019. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only to qualified institutional buyers. At April 30, 2019, the value of these securities amounted to $408,212 or 6.5% of net assets. These securities are determined to be liquid by the Fund’s investment advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(4) | Restricted security (Note 11). |
(5) | The maturity date of the security has been extended past the date disclosed. The new maturity date is not known as of April 30, 2019. |
(6) | Rate disclosed is the7-day net yield as of April 30, 2019. |
(7) | Rate shown representsyield-to-maturity. |
(8) | All or a portion of this security is held as collateral for open futures contracts. |
See accompanying notes to financial statements.
52
Table of Contents
TCW Short Term Bond Fund
Investments by Sector (Unaudited) | April 30, 2019 |
Sector | Percentage of Net Assets | |||
U.S. Treasury Securities | 33.3 | % | ||
Corporate Bonds | 29.6 | |||
Residential Mortgage-Backed Securities — Agency | 17.9 | |||
U.S. Treasury Bills | 10.2 | |||
Commercial Mortgage-Backed Securities — Agency | 5.5 | |||
Commercial Mortgage-Backed Securities —Non-Agency | 2.6 | |||
Money Market Investments | 1.9 | |||
Residential Mortgage-Backed Securities —Non-Agency | 1.3 | |||
Other* | (2.3 | ) | ||
|
| |||
Total | 100.0 | % | ||
|
|
* | Includes futures, pending trades, interest receivable and accrued expenses payable. |
See accompanying notes to Schedule of Investments.
53
Table of Contents
TCW Short Term Bond Fund
Fair Valuation Summary (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of April 30, 2019 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Commercial Mortgage-Backed Securities — Agency | $ | — | $ | 348,752 | $ | — | $ | 348,752 | ||||||||
Commercial Mortgage-Backed Securities —Non-Agency | — | 163,537 | — | 163,537 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 1,123,902 | — | 1,123,902 | ||||||||||||
Residential Mortgage-Backed Securities —Non-Agency | — | 83,219 | — | 83,219 | ||||||||||||
Corporate Bonds* | — | �� | 1,866,196 | — | 1,866,196 | |||||||||||
U.S. Treasury Securities | 2,098,446 | — | — | 2,098,446 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | 2,098,446 | 3,585,606 | — | 5,684,052 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 118,610 | — | — | 118,610 | ||||||||||||
Short-Term Investments | 640,452 | — | — | 640,452 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 2,857,508 | 3,585,606 | — | 6,443,114 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | $ | 1,465 | $ | — | $ | — | $ | 1,465 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 2,858,973 | $ | 3,585,606 | $ | — | $ | 6,444,579 | ||||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
See accompanying notes to financial statements.
54
Table of Contents
Schedule of Investments (Unaudited) | April 30, 2019 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 97.7% of Net Assets |
| |||||||||||
ASSET-BACKED SECURITIES — 2.3% | ||||||||||||
321 Henderson Receivables I LLC(13-3A-A) |
| |||||||||||
4.08%(1) | 01/17/73 | $ | 7,412,739 | $ | 7,662,890 | |||||||
EFS Volunteer No 2 LLC(12-1-A2) |
| |||||||||||
3.83% (1 mo. USD LIBOR + 1.350%)(1)(2) | 03/25/36 | 7,225,000 | 7,368,666 | |||||||||
EFS Volunteer No 3 LLC(12-1-A3) |
| |||||||||||
3.48% (1 mo. USD LIBOR + 1.000%)(1)(2) | 04/25/33 | 17,192,226 | 17,267,008 | |||||||||
Global SC Finance SRL(14-1A-A2) |
| |||||||||||
3.09%(1) | 07/17/29 | 8,591,625 | 8,495,481 | |||||||||
Higher Education Funding I(14-1-A) |
| |||||||||||
3.70% (3 mo. USD LIBOR + 1.050%) (1)(2) | 05/25/34 | 18,182 | 18,315 | |||||||||
Navient Student Loan Trust(14-2-A) |
| |||||||||||
3.12% (1 mo. USD LIBOR + 0.640%)(2) | 03/25/83 | 24,992,473 | 24,637,265 | |||||||||
Navient Student Loan Trust(14-3-A) |
| |||||||||||
3.10% (1 mo. USD LIBOR + 0.620%)(2) | 03/25/83 | 25,720,427 | 25,460,897 | |||||||||
Navient Student Loan Trust(14-4-A) |
| |||||||||||
3.10% (1 mo. USD LIBOR + 0.620%)(2) | 03/25/83 | 14,400,392 | 14,133,308 | |||||||||
Navient Student Loan Trust(16-5A-A) |
| |||||||||||
3.73% (1 mo. USD LIBOR + 1.250%)(1)(2) | 06/25/65 | 16,919,022 | 17,179,687 | |||||||||
Navient Student Loan Trust(17-1A-A3) |
| |||||||||||
3.63% (1 mo. USD LIBOR + 1.150%)(1)(2) | 07/26/66 | 20,130,000 | 20,456,757 | |||||||||
SLM Student Loan Trust(08-8-B) |
| |||||||||||
4.83% (3 mo. USD LIBOR + 2.250%)(2) | 10/25/75 | 5,706,000 | 5,861,081 | |||||||||
|
| |||||||||||
Total Asset-backed Securities |
| |||||||||||
(Cost: $147,602,472) |
| 148,541,355 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY — 5.1% | ||||||||||||
Fannie Mae(12-M12-1A) (ACES) |
| |||||||||||
2.94%(3) | 08/25/22 | 42,154,154 | 42,777,108 | |||||||||
Fannie Mae(12-M15-A) (ACES) |
| |||||||||||
2.80%(3) | 10/25/22 | 22,227,585 | 22,273,663 | |||||||||
Fannie Mae(19-M4-A2) (ACES) |
| |||||||||||
3.61% | 02/25/31 | 19,120,000 | 19,908,406 | |||||||||
Fannie Mae, Pool #AL1981 |
| |||||||||||
3.45% | 05/25/34 | 24,962,000 | 25,071,389 | |||||||||
Fannie Mae, Pool #AL2660 |
| |||||||||||
2.63% | 10/01/22 | 14,933,967 | 15,001,940 | |||||||||
Fannie Mae, Pool #AL3366 |
| |||||||||||
2.44% | 02/01/23 | 35,477,473 | 35,324,048 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae, Pool #AN9555 |
| |||||||||||
3.81% | 06/01/30 | $ | 20,679,000 | $ | 21,879,563 | |||||||
Fannie Mae, Pool #BL0552 |
| |||||||||||
3.95% | 11/01/30 | 11,549,000 | 12,387,903 | |||||||||
Fannie Mae, Pool #BL0710 |
| |||||||||||
4.03% | 11/01/30 | 28,324,000 | 30,552,365 | |||||||||
Fannie Mae, Pool #BL0740 |
| |||||||||||
4.08% | 12/01/33 | 21,998,000 | 23,748,935 | |||||||||
Freddie Mac(K-1510-A3) |
| |||||||||||
3.79% | 01/25/34 | 31,000,000 | 32,857,557 | |||||||||
Freddie Mac(K089-AM) |
| |||||||||||
3.63%(3) | 01/25/29 | 24,700,000 | 25,870,321 | |||||||||
Freddie Mac(KW08-A2) |
| |||||||||||
3.60% | 01/25/29 | 15,825,000 | 16,565,993 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-backed Securities — Agency |
| |||||||||||
(Cost: $324,580,466) |
| 324,219,191 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 0.6% | ||||||||||||
DBRR Trust(11-LC2-A4A) |
| |||||||||||
4.54%(1)(3) | 07/12/44 | 10,288,605 | 10,577,870 | |||||||||
DBWF Mortgage Trust(16-85T-A) |
| |||||||||||
3.79%(1) | 12/10/36 | 6,385,000 | 6,633,255 | |||||||||
GRACE Mortgage Trust(14-GRCE-A) |
| |||||||||||
3.37%(1) | 06/10/28 | 15,750,000 | 15,936,695 | |||||||||
GS Mortgage Securities Corp.(12-ALOH-A) |
| |||||||||||
3.55%(1) | 04/10/34 | 6,105,000 | 6,258,866 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-backed Securities —Non-agency |
| |||||||||||
(Cost: $40,853,265) |
| 39,406,686 | ||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY — 52.8% | ||||||||||||
Fannie Mae(01-40-Z) |
| |||||||||||
6.00% | 08/25/31 | 185,910 | 201,530 | |||||||||
Fannie Mae(03-117-TG) (PAC) |
| |||||||||||
4.75% | 08/25/33 | 401,804 | 423,891 | |||||||||
Fannie Mae(04-52-SW) (I/O) (I/F) |
| |||||||||||
4.62% (1 mo. USD LIBOR + 7.100%)(2) | 07/25/34 | 610,585 | 83,093 | |||||||||
Fannie Mae(04-65-LT) |
| |||||||||||
4.50% | 08/25/24 | 1,059,658 | 1,091,566 | |||||||||
Fannie Mae(04-68-LC) |
| |||||||||||
5.00% | 09/25/29 | 1,391,088 | 1,475,189 | |||||||||
Fannie Mae(05-117-LC) (PAC) |
| |||||||||||
5.50% | 11/25/35 | 3,776,034 | 3,940,400 |
See accompanying notes to financial statements.
55
Table of Contents
TCW Total Return Bond Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae(05-74-CP) (I/F) (PAC) |
| |||||||||||
15.67%(-3.67 X 1 mo. USD LIBOR + 24.750%) (2) | 05/25/35 | $ | 236,144 | $ | 306,629 | |||||||
Fannie Mae(07-103-AI) (I/O) (I/F) |
| |||||||||||
4.02% (1 mo. USD LIBOR + 6.500%)(2) | 03/25/37 | 4,545,868 | 638,219 | |||||||||
Fannie Mae(07-20-SI) (I/O) (I/F) |
| |||||||||||
3.97%(-1.00 X 1 mo. USD LIBOR + 6.450%)(2) | 03/25/37 | 1,447,989 | 203,637 | |||||||||
Fannie Mae(07-21-SE) (I/O) (I/F) |
| |||||||||||
3.95%(-1.00 X 1 mo. USD LIBOR + 6.440%)(2) | 03/25/37 | 1,141,941 | 147,028 | |||||||||
Fannie Mae(07-56-SG) (I/O) (I/F) |
| |||||||||||
3.92%(-1.00 X 1 mo. USD LIBOR + 6.410%)(2) | 06/25/37 | 1,304,982 | 121,202 | |||||||||
Fannie Mae(07-58-SV) (I/O) (I/F) |
| |||||||||||
4.27%(-1.00 X 1 mo. USD LIBOR + 6.750%)(2) | 06/25/37 | 5,187,855 | 618,723 | |||||||||
Fannie Mae(07-65-S) (I/O) (I/F) |
| |||||||||||
4.12%(-1.00 X 1 mo. USD LIBOR + 6.600%)(2) | 07/25/37 | 987,638 | 143,782 | |||||||||
Fannie Mae(07-88-FY) |
| |||||||||||
2.94% (1 mo. USD LIBOR + 0.460%)(2) | 09/25/37 | 715,120 | 721,692 | |||||||||
Fannie Mae(07-B2-ZA) |
| |||||||||||
5.50% | 06/25/37 | 12,858,883 | 14,126,005 | |||||||||
Fannie Mae(08-1-AI) (I/O) (I/F) |
| |||||||||||
3.77%(-1.00 X 1 mo. USD LIBOR + 6.250%)(2) | 05/25/37 | 4,777,033 | 621,768 | |||||||||
Fannie Mae(08-13-SB) (I/O) (I/F) |
| |||||||||||
3.76%(-1.00 X 1 mo. USD LIBOR + 6.240%)(2) | 03/25/38 | 4,256,392 | 709,616 | |||||||||
Fannie Mae(08-23-SB) (I/O) (I/F) |
| |||||||||||
4.37%(-1.00 X 1 mo. USD LIBOR + 6.850%)(2) | 04/25/38 | 7,618,603 | 1,056,405 | |||||||||
Fannie Mae(08-35-SD) (I/O) (I/F) |
| |||||||||||
3.97%(-1.00 X 1 mo. USD LIBOR + 6.450%)(2) | 05/25/38 | 532,272 | 37,178 | |||||||||
Fannie Mae(08-66-SG) (I/O) (I/F) |
| |||||||||||
3.59%(-1.00 X 1 mo. USD LIBOR + 6.070%)(2) | 08/25/38 | 9,490,712 | 1,576,266 | |||||||||
Fannie Mae(08-68-SA) (I/O) (I/F) |
| |||||||||||
3.49%(-1.00 X 1 mo. USD LIBOR + 5.970%)(2) | 08/25/38 | 3,662,620 | 364,280 | |||||||||
Fannie Mae(09-3-SH) (I/O) (I/F) |
| |||||||||||
2.97%(-1.00 X 1 mo. USD LIBOR + 5.450%)(2) | 06/25/37 | 1,617,312 | 171,669 | |||||||||
Fannie Mae(09-47-SV) (I/O) (I/F) |
| |||||||||||
4.27%(-1.00 X 1 mo. USD LIBOR + 6.750%)(2) | 07/25/39 | 1,095,922 | 115,230 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae(09-51-SA) (I/O) (I/F) |
| |||||||||||
4.27%(-1.00 X 1 mo. USD LIBOR + 6.750%)(2) | 07/25/39 | $ | 4,455,436 | $ | 632,355 | |||||||
Fannie Mae(09-6-SD) (I/O) (I/F) |
| |||||||||||
3.07%(-1.00 X 1 mo. USD LIBOR + 5.550%)(2) | 02/25/39 | 1,681,351 | 184,825 | |||||||||
Fannie Mae(09-68-KB) |
| |||||||||||
4.00% | 09/25/24 | 4,243,327 | 4,311,100 | |||||||||
Fannie Mae(09-71-LB) |
| |||||||||||
4.00% | 09/25/29 | 12,595,991 | 13,064,365 | |||||||||
Fannie Mae(09-72-AC) |
| |||||||||||
4.00% | 09/25/29 | 16,226,528 | 16,829,220 | |||||||||
Fannie Mae(09-72-JS) (I/O) (I/F) |
| |||||||||||
4.77%(-1.00 X 1 mo. USD LIBOR + 7.250%)(2) | 09/25/39 | 951,230 | 177,357 | |||||||||
Fannie Mae(10-136-CX) (PAC) |
| |||||||||||
4.00% | 08/25/39 | 20,937,000 | 21,744,373 | |||||||||
Fannie Mae(11-111-DB) |
| |||||||||||
4.00% | 11/25/41 | 50,000,000 | 52,224,454 | |||||||||
Fannie Mae(11-123-ZP) (PAC) |
| |||||||||||
4.50% | 12/25/41 | 4,707,819 | 5,210,378 | |||||||||
Fannie Mae(12-128-UY) (PAC) |
| |||||||||||
2.50% | 11/25/42 | 11,738,000 | 10,783,219 | |||||||||
Fannie Mae(12-133-GC) (PAC) |
| |||||||||||
2.50% | 08/25/41 | 26,409,637 | 26,101,621 | |||||||||
Fannie Mae(12-153-PC) (PAC) |
| |||||||||||
2.00% | 05/25/42 | 7,991,283 | 7,676,305 | |||||||||
Fannie Mae(13-101-BO) (P/O) |
| |||||||||||
0.00%(4) | 10/25/43 | 7,405,239 | 6,116,223 | |||||||||
Fannie Mae(13-101-CO) (P/O) |
| |||||||||||
0.00%(4) | 10/25/43 | 17,134,813 | 14,374,560 | |||||||||
Fannie Mae(13-21-EC) (I/O) |
| |||||||||||
2.00% | 12/25/38 | 11,994,671 | 11,779,757 | |||||||||
Fannie Mae(13-95-PN) (PAC) |
| |||||||||||
3.00% | 01/25/43 | 21,400,000 | 21,225,357 | |||||||||
Fannie Mae(18-52 PZ) (PAC) |
| |||||||||||
4.00% | 07/25/48 | 2,923,693 | 3,135,300 | |||||||||
Fannie Mae(18-55 PA) (PAC) |
| |||||||||||
3.50% | 01/25/47 | 19,325,581 | 19,580,055 | |||||||||
Fannie Mae(93-202-SZ) (I/F) (PAC) |
| |||||||||||
10.00%(2) | 11/25/23 | 43,636 | 47,547 | |||||||||
Fannie Mae(95-21-C) (P/O) |
| |||||||||||
0.00%(4) | 05/25/24 | 244,721 | 231,352 | |||||||||
Fannie Mae(G92-29-J) |
| |||||||||||
8.00% | 07/25/22 | 15,489 | 16,466 | |||||||||
Fannie Mae, Pool #254634 |
| |||||||||||
5.50% | 02/01/23 | 71,245 | 74,982 | |||||||||
Fannie Mae, Pool #257536 |
| |||||||||||
5.00% | 01/01/29 | 1,339,888 | 1,412,767 |
See accompanying notes to financial statements.
56
Table of Contents
TCW Total Return Bond Fund
April 30, 2019
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae, Pool #310033 |
| |||||||||||
6.00% | 07/01/47 | $ | 465,154 | $ | 519,704 | |||||||
Fannie Mae, Pool #555424 |
| |||||||||||
5.50% | 05/01/33 | 3,243,502 | 3,536,318 | |||||||||
Fannie Mae, Pool #661856 |
| |||||||||||
4.50% (12 mo. USD LIBOR + 1.623%)(2) | 10/01/32 | 33,706 | 33,648 | |||||||||
Fannie Mae, Pool #671133 |
| |||||||||||
4.29% (6 mo. USD LIBOR + 1.413%)(2) | 02/01/33 | 76,038 | 78,388 | |||||||||
Fannie Mae, Pool #672272 |
| |||||||||||
4.80% (12 mo. USD LIBOR + 1.579%)(2) | 12/01/32 | 29,089 | 30,196 | |||||||||
Fannie Mae, Pool #687847 |
| |||||||||||
4.66% (12 mo. USD LIBOR + 1.590%)(2) | 02/01/33 | 75,906 | 79,419 | |||||||||
Fannie Mae, Pool #692104 |
| |||||||||||
4.29% (6 mo. USD LIBOR + 1.413%)(2) | 02/01/33 | 463,059 | 477,854 | |||||||||
Fannie Mae, Pool #699866 |
| |||||||||||
4.27% (12 mo. USD LIBOR + 1.588%)(2) | 04/01/33 | 286,244 | 298,248 | |||||||||
Fannie Mae, Pool #704454 |
| |||||||||||
4.20% (12 mo. USD LIBOR + 1.695%)(2) | 05/01/33 | 75,806 | 78,113 | |||||||||
Fannie Mae, Pool #728824 |
| |||||||||||
4.40% (12 mo. USD LIBOR + 1.586%)(2) | 07/01/33 | 85,717 | 90,232 | |||||||||
Fannie Mae, Pool #734384 |
| |||||||||||
5.50% | 07/01/33 | 370,086 | 397,812 | |||||||||
Fannie Mae, Pool #785677 |
| |||||||||||
5.00% | 07/01/19 | 414 | 414 | |||||||||
Fannie Mae, Pool #888593 |
| |||||||||||
7.00% | 06/01/37 | 359,968 | 414,944 | |||||||||
Fannie Mae, Pool #934103 |
| |||||||||||
5.00% | 07/01/38 | 288,712 | 302,291 | |||||||||
Fannie Mae, Pool #979563 |
| |||||||||||
5.00% | 04/01/28 | 695,994 | 733,850 | |||||||||
Fannie Mae, Pool #995040 |
| |||||||||||
5.00% | 06/01/23 | 341,379 | 350,014 | |||||||||
Fannie Mae, Pool #995425 |
| |||||||||||
6.00% | 01/01/24 | 1,624,687 | 1,693,023 | |||||||||
Fannie Mae, Pool #995573 |
| |||||||||||
6.00% | 01/01/49 | 1,336,075 | 1,402,710 | |||||||||
Fannie Mae, Pool #995953 |
| |||||||||||
6.00% | 11/01/28 | 3,856,090 | 4,172,267 | |||||||||
Fannie Mae, Pool #995954 |
| |||||||||||
6.00% | 03/01/29 | 2,128,928 | 2,303,109 | |||||||||
Fannie Mae, Pool #AA3303 |
| |||||||||||
5.50% | 06/01/38 | 2,909,368 | 3,122,266 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae, Pool #AB6210 |
| |||||||||||
3.00% | 09/01/42 | $ | 32,546,913 | $ | 32,312,641 | |||||||
Fannie Mae, Pool #AE0588 |
| |||||||||||
6.00% | 08/01/37 | 6,899,591 | 7,722,756 | |||||||||
Fannie Mae, Pool #AL0851 |
| |||||||||||
6.00% | 10/01/40 | 4,757,712 | 5,326,871 | |||||||||
Fannie Mae, Pool #AL1594 |
| |||||||||||
6.00% | 07/01/40 | 3,562,634 | 3,978,431 | |||||||||
Fannie Mae, Pool #AL9106 |
| |||||||||||
4.50% | 02/01/46 | 28,889,184 | 30,455,673 | |||||||||
Fannie Mae, Pool #AS9749 |
| |||||||||||
4.00% | 06/01/47 | 19,635,055 | 20,259,772 | |||||||||
Fannie Mae, Pool #AS9830 |
| |||||||||||
4.00% | 06/01/47 | 24,206,799 | 24,976,973 | |||||||||
Fannie Mae, Pool #AS9972 |
| |||||||||||
4.00% | 07/01/47 | 21,010,819 | 21,679,309 | |||||||||
Fannie Mae, Pool #BN4316 |
| |||||||||||
4.00%(5) | 01/01/49 | 537,077 | 553,992 | |||||||||
Fannie Mae, Pool #BN6264 |
| |||||||||||
4.00%(5) | 04/01/49 | 12,633,384 | 13,026,388 | |||||||||
Fannie Mae, Pool #CA1540 |
| |||||||||||
4.00% | 04/01/48 | 35,994,739 | 37,475,304 | |||||||||
Fannie Mae, Pool #CA1710 |
| |||||||||||
4.50% | 05/01/48 | 31,043,115 | 32,376,290 | |||||||||
Fannie Mae, Pool #CA1711 |
| |||||||||||
4.50% | 05/01/48 | 29,133,690 | 30,384,862 | |||||||||
Fannie Mae, Pool #CA2208 |
| |||||||||||
4.50% | 08/01/48 | 33,836,180 | 35,247,690 | |||||||||
Fannie Mae, Pool #MA1561 |
| |||||||||||
3.00% | 09/01/33 | 42,047,773 | 42,257,306 | |||||||||
Fannie Mae, Pool #MA1584 |
| |||||||||||
3.50% | 09/01/33 | 28,736,116 | 29,385,658 | |||||||||
Fannie Mae, Pool #MA2871 |
| |||||||||||
3.00% | 01/01/32 | 13,009,096 | 13,087,056 | |||||||||
Fannie Mae, Pool #MA2995 |
| |||||||||||
4.00% | 05/01/47 | 18,778,120 | 19,375,573 | |||||||||
Fannie Mae, Pool #MA3313 |
| |||||||||||
3.50% | 03/01/33 | 4,089,604 | 4,177,135 | |||||||||
Fannie Mae, Pool #MA3340 |
| |||||||||||
3.50% | 04/01/33 | 5,844,711 | 5,974,060 | |||||||||
Fannie Mae, Pool #MA3427 |
| |||||||||||
4.00% | 07/01/33 | 34,767,410 | 35,962,989 | |||||||||
Fannie Mae TBA, 15 Year |
| |||||||||||
2.50%(6) | 04/01/32 | 26,835,000 | 26,558,263 | |||||||||
3.00%(6) | 03/01/33 | 960,000 | 964,894 | |||||||||
Fannie Mae TBA, 30 Year |
| |||||||||||
5.00%(6) | 08/01/48 | 5,825,000 | 6,140,255 | |||||||||
4.50%(6) | 07/01/48 | 28,870,000 | 30,044,535 |
See accompanying notes to financial statements.
57
Table of Contents
TCW Total Return Bond Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac(1829-ZB) |
| |||||||||||
6.50% | 03/15/26 | $ | 83,630 | $ | 88,428 | |||||||
Freddie Mac(2367-ZK) |
| |||||||||||
6.00% | 10/15/31 | 148,801 | 163,889 | |||||||||
Freddie Mac(2514-PZ) (PAC) |
| |||||||||||
5.50% | 10/15/32 | 2,125,868 | 2,327,599 | |||||||||
Freddie Mac(2571-PZ) (PAC) |
| |||||||||||
5.50% | 02/15/33 | 4,984,305 | 5,387,824 | |||||||||
Freddie Mac(2642-AR) |
| |||||||||||
4.50% | 07/15/23 | 389,087 | 399,013 | |||||||||
Freddie Mac(2647-OV) (P/O) |
| |||||||||||
0.00%(4) | 07/15/33 | 604,092 | 561,316 | |||||||||
Freddie Mac(2662-MT) (TAC) |
| |||||||||||
4.50% | 08/15/33 | 2,301,486 | 2,389,075 | |||||||||
Freddie Mac(2666-BD) |
| |||||||||||
4.50% | 08/15/23 | 876,494 | 899,042 | |||||||||
Freddie Mac(2700-B) |
| |||||||||||
4.50% | 11/15/23 | 1,365,187 | 1,407,986 | |||||||||
Freddie Mac(2752-GZ) (PAC) |
| |||||||||||
5.00% | 02/15/34 | 20,516,085 | 22,028,946 | |||||||||
Freddie Mac(277-30) |
| |||||||||||
3.00% | 09/15/42 | 29,793,165 | 29,793,996 | |||||||||
Freddie Mac(2882-JH) (PAC) |
| |||||||||||
4.50% | 10/15/34 | 205,681 | 208,186 | |||||||||
Freddie Mac(2903-PO) (P/O) |
| |||||||||||
0.00%(4) | 11/15/23 | 256,810 | 243,143 | |||||||||
Freddie Mac(3045-HZ) |
| |||||||||||
4.50% | 10/15/35 | 2,381,234 | 2,459,234 | |||||||||
Freddie Mac(3063-YG) (PAC) |
| |||||||||||
5.50% | 11/15/35 | 23,220,946 | 25,370,118 | |||||||||
Freddie Mac(3114-KZ) |
| |||||||||||
5.00% | 02/15/36 | 17,802,186 | 19,209,111 | |||||||||
Freddie Mac(3146-GE) |
| |||||||||||
5.50% | 04/15/26 | 4,612,086 | 4,930,646 | |||||||||
Freddie Mac(3149-OD) (P/O) (PAC) |
| |||||||||||
0.00% (4) | 05/15/36 | 5,326,649 | 4,659,386 | |||||||||
Freddie Mac(3315-S) (I/O) (I/F) |
| |||||||||||
3.94%(-1.00 X 1 mo. USD LIBOR + 6.410%) (2) | 05/15/37 | 1,706,185 | 197,465 | |||||||||
Freddie Mac(3376-SX) (I/O) (I/F) |
| |||||||||||
3.57%(-1.00 X 1 mo. USD LIBOR + 6.040%) (2) | 10/15/37 | 3,097,231 | 384,828 | |||||||||
Freddie Mac(3410-IS) (I/O) (I/F) |
| |||||||||||
3.80%(-1.00 X 1 mo. USD LIBOR + 6.270%) (2) | 02/15/38 | 4,039,095 | 545,832 | |||||||||
Freddie Mac(3424-BI) (I/O) (I/F) |
| |||||||||||
4.33%(-1.00 X 1 mo. USD LIBOR + 6.800%) (2) | 04/15/38 | 4,556,387 | 896,959 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac(3512-AY) |
| |||||||||||
4.00% | 02/15/24 | $ | 820,805 | $ | 822,007 | |||||||
Freddie Mac(3519-SH) (I/O) (I/F) |
| |||||||||||
3.03%(-1.00 X 1 mo. USD LIBOR + 5.500%) (2) | 07/15/37 | 429,871 | 35,854 | |||||||||
Freddie Mac(3531-SC) (I/O) (I/F) |
| |||||||||||
3.83%(-1.00 X 1 mo. USD LIBOR + 6.300%) (2) | 05/15/39 | 6,589,001 | 391,725 | |||||||||
Freddie Mac(3541-SA) (I/O) (I/F) |
| |||||||||||
4.28%(-1.00 X 1 mo. USD LIBOR + 6.750%) (2) | 06/15/39 | 1,884,049 | 303,066 | |||||||||
Freddie Mac(3550-GS) (I/O) (I/F) |
| |||||||||||
4.28%(-1.00 X 1 mo. USD LIBOR + 6.750%) (2) | 07/15/39 | 5,903,455 | 1,046,518 | |||||||||
Freddie Mac(3551-VZ) |
| |||||||||||
5.50% | 12/15/32 | 2,612,881 | 2,856,322 | |||||||||
Freddie Mac(3557-KB) |
| |||||||||||
4.50% | 07/15/29 | 5,711,474 | 5,978,652 | |||||||||
Freddie Mac(3557-NB) |
| |||||||||||
4.50% | 07/15/29 | 13,067,506 | 13,783,427 | |||||||||
Freddie Mac(3558-KB) |
| |||||||||||
4.00% | 08/15/29 | 6,356,086 | 6,531,576 | |||||||||
Freddie Mac(3565-XB) |
| |||||||||||
4.00% | 08/15/24 | 8,201,687 | 8,411,200 | |||||||||
Freddie Mac(3575-D) |
| |||||||||||
4.50% | 03/15/37 | 814,620 | 864,886 | |||||||||
Freddie Mac(3626-MD) (PAC) |
| |||||||||||
5.00% | 01/15/38 | 16,459,815 | 16,935,506 | |||||||||
Freddie Mac(3719-PJ) (PAC) |
| |||||||||||
4.50% | 09/15/40 | 20,025,406 | 21,522,844 | |||||||||
Freddie Mac(3788-SB) (I/O) (I/F) |
| |||||||||||
4.01%(-1.00 X 1 mo. USD LIBOR + 6.480%) (2) | 01/15/41 | 8,441,614 | 1,300,030 | |||||||||
Freddie Mac(3885-PO) (P/O) (PAC) |
| |||||||||||
0.00%(4) | 11/15/33 | 2,105,020 | 1,831,384 | |||||||||
Freddie Mac(3930-KE) (PAC) |
| |||||||||||
4.00% | 09/15/41 | 10,470,000 | 11,061,033 | |||||||||
Freddie Mac(4030-HS) (I/O) (I/F) |
| |||||||||||
4.14%(-1.00 X 1 mo. USD LIBOR + 6.610%) (2) | 04/15/42 | 3,666,786 | 650,897 | |||||||||
Freddie Mac(4604-PB) (PAC) |
| |||||||||||
3.00% | 01/15/46 | 2,201,517 | 2,154,341 | |||||||||
Freddie Mac(4846-PA) |
| |||||||||||
4.00% | 06/15/47 | 12,058,370 | 12,477,361 | |||||||||
Freddie Mac(R002-ZA) |
| |||||||||||
5.50% | 06/15/35 | 4,594,826 | 5,069,217 | |||||||||
Freddie Mac, Pool #A91162 |
| |||||||||||
5.00% | 02/01/40 | 21,204,428 | 23,130,046 |
See accompanying notes to financial statements.
58
Table of Contents
TCW Total Return Bond Fund
April 30, 2019
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac, Pool #A92195 |
| |||||||||||
5.00% | 05/01/40 | $ | 6,302,641 | $ | 6,845,369 | |||||||
Freddie Mac, Pool #B15490 |
| |||||||||||
5.00% | 07/01/19 | 522 | 530 | |||||||||
Freddie Mac, Pool #B15557 |
| |||||||||||
5.00% | 07/01/19 | 1,043 | 1,059 | |||||||||
Freddie Mac, Pool #C90552 |
| |||||||||||
6.00% | 06/01/22 | 22,024 | 22,821 | |||||||||
Freddie Mac, Pool #G01959 |
| |||||||||||
5.00% | 12/01/35 | 124,917 | 134,342 | |||||||||
Freddie Mac, Pool #G06173 |
| |||||||||||
4.00% | 11/01/40 | 26,054,774 | 27,209,831 | |||||||||
Freddie Mac, Pool #G07556 |
| |||||||||||
4.00% | 11/01/43 | 7,914,865 | 8,298,722 | |||||||||
Freddie Mac, Pool #G07786 |
| |||||||||||
4.00% | 08/01/44 | 29,101,938 | 30,433,908 | |||||||||
Freddie Mac, Pool #G07848 |
| |||||||||||
3.50% | 04/01/44 | 64,076,560 | 65,470,296 | |||||||||
Freddie Mac, Pool #G08687 |
| |||||||||||
3.50% | 01/01/46 | 78,745,614 | 79,824,224 | |||||||||
Freddie Mac, Pool #G08710 |
| |||||||||||
3.00% | 06/01/46 | 3,794,724 | 3,757,247 | |||||||||
Freddie Mac, Pool #G08715 |
| |||||||||||
3.00% | 08/01/46 | 73,137,827 | 72,415,440 | |||||||||
Freddie Mac, Pool #G08716 |
| |||||||||||
3.50% | 08/01/46 | 22,267,094 | 22,558,290 | |||||||||
Freddie Mac, Pool #G08721 |
| |||||||||||
3.00% | 09/01/46 | 81,471,801 | 80,667,112 | |||||||||
Freddie Mac, Pool #G08737 |
| |||||||||||
3.00% | 12/01/46 | 42,307,688 | 41,881,704 | |||||||||
Freddie Mac, Pool #G08833 |
| |||||||||||
5.00% | 07/01/48 | 14,409,424 | 15,226,629 | |||||||||
Freddie Mac, Pool #G08840 |
| |||||||||||
5.00% | 08/01/48 | 2,996,365 | 3,164,416 | |||||||||
Freddie Mac, Pool #G08849 |
| |||||||||||
5.00% | 11/01/48 | 22,424,326 | 23,674,908 | |||||||||
Freddie Mac, Pool #G11678 |
| |||||||||||
4.50% | 04/01/20 | 29,899 | 30,538 | |||||||||
Freddie Mac, Pool #G12635 |
| |||||||||||
5.50% | 03/01/22 | 205,197 | 208,396 | |||||||||
Freddie Mac, Pool #G12702 |
| |||||||||||
4.50% | 09/01/20 | 42,664 | 42,762 | |||||||||
Freddie Mac, Pool #G13390 |
| |||||||||||
6.00% | 01/01/24 | 431,211 | 446,105 | |||||||||
Freddie Mac, Pool #G16085 |
| |||||||||||
2.50% | 02/01/32 | 6,834,796 | 6,767,831 | |||||||||
Freddie Mac, Pool #G16258 |
| |||||||||||
2.50% | 06/01/32 | 32,355,231 | 32,041,829 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac, Pool #G16598 |
| |||||||||||
2.50% | 12/01/31 | $ | 41,841,236 | $ | 41,458,561 | |||||||
Freddie Mac, Pool #G18592 |
| |||||||||||
3.00% | 03/01/31 | 35,607,054 | 35,874,034 | |||||||||
Freddie Mac, Pool #G18627 |
| |||||||||||
3.00% | 01/01/32 | 21,077,801 | 21,231,856 | |||||||||
Freddie Mac, Pool #G30194 |
| |||||||||||
6.50% | 04/01/21 | 5,808 | 5,941 | |||||||||
Freddie Mac, Pool #G30450 |
| |||||||||||
6.00% | 01/01/29 | 1,443,952 | 1,567,848 | |||||||||
Freddie Mac, Pool #G30452 |
| |||||||||||
6.00% | 10/01/28 | 1,470,686 | 1,595,651 | |||||||||
Freddie Mac, Pool #G30454 |
| |||||||||||
5.00% | 05/01/29 | 2,020,458 | 2,139,664 | |||||||||
Freddie Mac, Pool #G60238 |
| |||||||||||
3.50% | 10/01/45 | 101,750,995 | 104,003,243 | |||||||||
Freddie Mac, Pool #G60440 |
| |||||||||||
3.50% | 03/01/46 | 62,869,266 | 64,241,225 | |||||||||
Freddie Mac, Pool #G67700 |
| |||||||||||
3.50% | 08/01/46 | 56,062,553 | 57,250,933 | |||||||||
Freddie Mac, Pool #G67703 |
| |||||||||||
3.50% | 04/01/47 | 71,846,448 | 73,324,502 | |||||||||
Freddie Mac, Pool #G67705 |
| |||||||||||
4.00% | 10/01/47 | 9,040,213 | 9,429,518 | |||||||||
Freddie Mac, Pool #G67706 |
| |||||||||||
3.50% | 12/01/47 | 61,541,758 | 62,280,197 | |||||||||
Freddie Mac, Pool #G67707 |
| |||||||||||
3.50% | 01/01/48 | 29,056,946 | 29,675,654 | |||||||||
Freddie Mac, Pool #G67708 |
| |||||||||||
3.50% | 03/01/48 | 84,975,645 | 86,358,811 | |||||||||
Freddie Mac, Pool #G67709 |
| |||||||||||
3.50% | 03/01/48 | 48,552,213 | 49,413,503 | |||||||||
Freddie Mac, Pool #G67710 |
| |||||||||||
3.50% | 03/01/48 | 61,105,322 | 61,983,342 | |||||||||
Freddie Mac, Pool #G67711 |
| |||||||||||
4.00% | 03/01/48 | 138,201,718 | 144,185,396 | |||||||||
Freddie Mac, Pool #G67717 |
| |||||||||||
4.00% | 11/01/48 | 90,389,678 | 94,178,276 | |||||||||
Freddie Mac, Pool #G67718 |
| |||||||||||
4.00% | 01/01/49 | 31,038,861 | 32,273,632 | |||||||||
Freddie Mac, Pool #H82001 |
| |||||||||||
5.50% | 07/01/37 | 186,722 | 197,519 | |||||||||
Freddie Mac, Pool #N70081 |
| |||||||||||
5.50% | 07/01/38 | 3,142,416 | 3,485,390 | |||||||||
Freddie Mac, Pool #P51350 |
| |||||||||||
5.00% | 03/01/36 | 3,519,715 | 3,776,229 | |||||||||
Ginnie Mae(03-42-SH) (I/O) (I/F) |
| |||||||||||
4.07%(-1.00 X 1 mo. USD LIBOR + 6.550%) (2) | 05/20/33 | 761,534 | 83,195 |
See accompanying notes to financial statements.
59
Table of Contents
TCW Total Return Bond Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Ginnie Mae(11-70-BO) (P/O) |
| |||||||||||
0.00%(4) | 05/20/41 | $ | 9,744,298 | $ | 8,085,088 | |||||||
Ginnie Mae(15-42-ZB) |
| |||||||||||
3.00% | 03/20/45 | 18,030,876 | 16,954,303 | |||||||||
Ginnie Mae(15-43-DM) |
| |||||||||||
2.50% | 03/20/45 | 37,325,347 | 34,487,331 | |||||||||
Ginnie Mae(15-44-Z) |
| |||||||||||
3.00% | 03/20/45 | 12,201,653 | 11,433,342 | |||||||||
Ginnie Mae(15-52-EZ) |
| |||||||||||
3.00% | 04/16/45 | 10,768,530 | 9,970,603 | |||||||||
Ginnie Mae II, Pool #80963 |
| |||||||||||
3.75% (1 year Treasury Constant Maturity Rate + 1.500%) (2) | 07/20/34 | 201,678 | 207,834 | |||||||||
Ginnie Mae II, Pool #MA2374 |
| |||||||||||
5.00% | 11/20/44 | 670,757 | 717,638 | |||||||||
Ginnie Mae II, Pool #MA2828 |
| |||||||||||
4.50% | 05/20/45 | 456,106 | 475,336 | |||||||||
Ginnie Mae II, Pool #MA3456 |
| |||||||||||
4.50% | 02/20/46 | 2,605,777 | 2,726,966 | |||||||||
Ginnie Mae II, Pool #MA3521 |
| |||||||||||
3.50% | 03/20/46 | 76,627,023 | 78,073,345 | |||||||||
Ginnie Mae II, Pool #MA3663 |
| |||||||||||
3.50% | 05/20/46 | 37,697,702 | 38,409,240 | |||||||||
Ginnie Mae II, Pool #MA3665 |
| |||||||||||
4.50% | 05/20/46 | 4,152,563 | 4,381,633 | |||||||||
Ginnie Mae II, Pool #MA3736 |
| |||||||||||
3.50% | 06/20/46 | 29,712,082 | 30,262,035 | |||||||||
Ginnie Mae II, Pool #MA3739 |
| |||||||||||
5.00% | 06/20/46 | 7,593,836 | 8,116,688 | |||||||||
Ginnie Mae II, Pool #MA3803 |
| |||||||||||
3.50% | 07/20/46 | 10,932,410 | 11,139,157 | |||||||||
Ginnie Mae II, Pool #MA3876 |
| |||||||||||
4.50% | 08/20/46 | 263,898 | 278,455 | |||||||||
Ginnie Mae II, Pool #MA3877 |
| |||||||||||
5.00% | 08/20/46 | 3,479,502 | 3,723,847 | |||||||||
Ginnie Mae II, Pool #MA4006 |
| |||||||||||
4.50% | 10/20/46 | 124,619 | 131,493 | |||||||||
Ginnie Mae II, Pool #MA4007 |
| |||||||||||
5.00% | 10/20/46 | 7,832,218 | 8,371,169 | |||||||||
Ginnie Mae II, Pool #MA4071 |
| |||||||||||
4.50% | 11/20/46 | 587,371 | 619,633 | |||||||||
Ginnie Mae II, Pool #MA4126 |
| |||||||||||
3.00% | 12/20/46 | 100,200,130 | 100,088,727 | |||||||||
Ginnie Mae II, Pool #MA4129 |
| |||||||||||
4.50% | 12/20/46 | 177,855 | 187,351 | |||||||||
Ginnie Mae II, Pool #MA4199 |
| |||||||||||
5.00% | 01/20/47 | 7,365,453 | 7,872,932 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Ginnie Mae II, Pool #MA4264 |
| |||||||||||
4.50% | 02/20/47 | $ | 22,977,317 | $ | 24,173,042 | |||||||
Ginnie Mae II, Pool #MA4265 |
| |||||||||||
5.00% | 02/20/47 | 7,284,721 | 7,777,221 | |||||||||
Ginnie Mae II, Pool #MA4324 |
| |||||||||||
5.00% | 03/20/47 | 8,167,337 | 8,699,547 | |||||||||
Ginnie Mae II, Pool #MA4385 |
| |||||||||||
5.00% | 04/20/47 | 1,667,994 | 1,765,289 | |||||||||
Ginnie Mae II, Pool #MA4454 |
| |||||||||||
5.00% | 05/20/47 | 1,378,176 | 1,450,215 | |||||||||
Ginnie Mae II, Pool #MA4512 |
| |||||||||||
4.50% | 06/20/47 | 64,456,363 | 67,464,657 | |||||||||
Ginnie Mae II, Pool #MA4513 |
| |||||||||||
5.00% | 06/20/47 | 5,322,776 | 5,608,306 | |||||||||
Ginnie Mae II, Pool #MA4781 |
| |||||||||||
5.00% | 10/20/47 | 6,924,863 | 7,270,365 | |||||||||
Ginnie Mae II, Pool #MA4836 |
| |||||||||||
3.00% | 11/20/47 | 34,277,723 | 34,222,637 | |||||||||
Ginnie Mae II, Pool #MA4837 |
| |||||||||||
3.50% | 11/20/47 | 41,462,580 | 42,172,222 | |||||||||
Ginnie Mae II, Pool #MA4838 |
| |||||||||||
4.00% | 11/20/47 | 38,958,065 | 40,208,752 | |||||||||
Ginnie Mae II, Pool #MA4900 |
| |||||||||||
3.50% | 12/20/47 | 27,136,462 | 27,600,910 | |||||||||
Ginnie Mae II, Pool #MA4901 |
| |||||||||||
4.00% | 12/20/47 | 28,386,067 | 29,297,357 | |||||||||
Ginnie Mae II, Pool #MA4962 |
| |||||||||||
3.50% | 01/20/48 | 33,853,140 | 34,432,545 | |||||||||
Ginnie Mae II, Pool #MA5466 |
| |||||||||||
4.00% | 09/20/48 | 31,111,662 | 32,056,822 | |||||||||
Ginnie Mae II, Pool #MA5467 |
| |||||||||||
4.50% | 09/20/48 | 4,127,302 | 4,281,502 | |||||||||
Ginnie Mae II, Pool #MA5528 |
| |||||||||||
4.00% | 10/20/48 | 26,914,245 | 27,731,889 | |||||||||
Ginnie Mae II TBA, 30 Year |
| |||||||||||
5.00% (6) | 08/01/48 | 11,490,000 | 11,991,117 | |||||||||
|
| |||||||||||
Total Residential Mortgage-backed Securities — Agency |
| |||||||||||
(Cost: $3,335,091,888) |
| 3,343,415,316 | ||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 17.1% | ||||||||||||
ACE Securities Corp.(06-ASP1-A2D) |
| |||||||||||
3.10% (1 mo. USD LIBOR + 0.620%) (2) | 12/25/35 | 3,646,223 | 3,628,965 | |||||||||
ACE Securities Corp.(07-ASP1-A2C) |
| |||||||||||
2.74% (1 mo. USD LIBOR + 0.260%) (2) | 03/25/37 | 14,414,533 | 8,835,033 |
See accompanying notes to financial statements.
60
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TCW Total Return Bond Fund
April 30, 2019
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
ACE Securities Corp.(07-ASP1-A2D) |
| |||||||||||
2.86% (1 mo. USD LIBOR + 0.380%) (2) | 03/25/37 | $ | 7,747,658 | $ | 4,790,370 | |||||||
Adjustable Rate Mortgage Trust(04-5-3A1) |
| |||||||||||
4.55% (3) | 04/25/35 | 443,217 | 442,624 | |||||||||
Ameriquest Mortgage Securities Trust(06-R2-A1) |
| |||||||||||
2.65% (1 mo. USD LIBOR + 0.175%) (2) | 04/25/36 | 1,258,837 | 1,257,795 | |||||||||
Asset-Backed Funding Certificates(07-NC1-A2) |
| |||||||||||
2.78% (1 mo. USD LIBOR + 0.300%) (1)(2) | 05/25/37 | 7,926,697 | 7,777,829 | |||||||||
Asset-Backed Funding Certificates(07-WMC1-A2A) |
| |||||||||||
3.23% (1 mo. USD LIBOR + 0.750%) (2) | 06/25/37 | 14,530,134 | 12,373,383 | |||||||||
Banc of America Funding Corp.(04-B-3A1) |
| |||||||||||
4.33% (3) | 12/20/34 | 263,062 | 211,362 | |||||||||
Banc of America Funding Corp.(06-D-2A1) |
| |||||||||||
3.54% (3) | 05/20/36 | 58,574 | 53,915 | |||||||||
Banc of America Funding Corp.(06-D-3A1) |
| |||||||||||
4.00% (3) | 05/20/36 | 3,208,039 | 3,133,854 | |||||||||
Banc of America Funding Corp.(06-G-2A1) |
| |||||||||||
2.71% (1 mo. USD LIBOR + 0.220%) (2) | 07/20/36 | 4,211,266 | 4,207,646 | |||||||||
Banc of America Funding Corp.(15-R8-1A1) |
| |||||||||||
3.24% (1)(3) | 11/26/46 | 5,509,171 | 5,526,860 | |||||||||
Banc of America Funding Trust(06-3-4A14) |
| |||||||||||
6.00% | 03/25/36 | 866,811 | 862,246 | |||||||||
Banc of America Funding Trust(06-3-5A3) |
| |||||||||||
5.50% | 03/25/36 | 3,129,338 | 2,996,625 | |||||||||
BCAP LLC Trust(08-IND2-A1) |
| |||||||||||
4.13% (1 mo. USD LIBOR + 1.650%) (2) | 04/25/38 | 7,843,085 | 7,884,447 | |||||||||
BCAP LLC Trust(11-RR3-5A3) |
| |||||||||||
3.70% (1)(3) | 11/27/37 | 244,555 | 244,940 | |||||||||
BCAP LLC Trust(11-RR4-3A3) |
| |||||||||||
4.09% (1)(3) | 07/26/36 | 1,025,564 | 1,031,392 | |||||||||
BCAP LLC Trust(11-RR9-7A1) |
| |||||||||||
1.15% (1)(3) | 04/26/37 | 1,822,247 | 1,822,548 | |||||||||
Bear StearnsAlt-A Trust(04-13-A1) |
| |||||||||||
3.22% (1 mo. USD LIBOR + 0.740%) (2) | 11/25/34 | 184,082 | 183,961 | |||||||||
Bear StearnsAlt-A Trust(05-2-2A4) |
| |||||||||||
4.22% (3) | 04/25/35 | 3,380 | 3,391 | |||||||||
Bear StearnsAlt-A Trust(05-4-23A1) |
| |||||||||||
4.66% (3) | 05/25/35 | 4,977,485 | 5,040,447 | |||||||||
Bear StearnsAlt-A Trust(06-4-32A1) |
| |||||||||||
4.04% (3) | 07/25/36 | 482,387 | 413,395 | |||||||||
Bear Stearns ARM Trust(04-12-1A1) |
| |||||||||||
4.56% (3) | 02/25/35 | 746,994 | 740,290 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Bear Stearns ARM Trust(05-10-A3) |
| |||||||||||
4.70% (3) | 10/25/35 | $ | 4,996,665 | $ | 5,050,811 | |||||||
Bear Stearns ARM Trust(06-2-2A1) |
| |||||||||||
4.17% (3) | 07/25/36 | 1,673,929 | 1,585,383 | |||||||||
Bear Stearns ARM Trust(07-1-2A1) |
| |||||||||||
4.90% (3) | 02/25/47 | 219,263 | 215,124 | |||||||||
Bear Stearns ARM Trust(07-5-3A1) |
| |||||||||||
4.11% (3) | 08/25/47 | 1,031,535 | 916,428 | |||||||||
Bear Stearns Asset-Backed Securities I Trust(05-AC6-1A3) |
| |||||||||||
5.50% (3) | 09/25/35 | 1,481,209 | 1,493,299 | |||||||||
Bear Stearns Asset-Backed Securities I Trust(05-AC6-1A4) |
| |||||||||||
5.40% (3) | 09/25/35 | 3,167,075 | 3,187,243 | |||||||||
Bear Stearns Mortgage Funding Trust(06-AR3-1A1) |
| |||||||||||
2.66% (1 mo. USD LIBOR + 0.180%) (2) | 10/25/36 | 657,399 | 620,163 | |||||||||
Chase Mortgage Finance Corp.(06-A1-2A1) |
| |||||||||||
4.27% (3) | 09/25/36 | 788,224 | 758,011 | |||||||||
Chase Mortgage Finance Corp.(07-A1-8A1) |
| |||||||||||
4.69% (3) | 02/25/37 | 3,474,387 | 3,609,659 | |||||||||
Chaseflex Trust(05-1-1A5) |
| |||||||||||
6.50% | 02/25/35 | 3,561,863 | 3,517,921 | |||||||||
Chaseflex Trust(06-1-A3) |
| |||||||||||
6.30% (3) | 06/25/36 | 887,442 | 886,097 | |||||||||
CIM Trust(16-4-A1) |
| |||||||||||
4.50% (1 mo. USD LIBOR + 2.000%) (1)(2) | 10/25/57 | 33,730,419 | 35,173,170 | |||||||||
CIM Trust(17-7-A) |
| |||||||||||
3.00% (1)(3) | 12/25/65 | 31,795,912 | 31,402,661 | |||||||||
CIM Trust(18-R5-A1) |
| |||||||||||
3.75% (1)(3) | 07/25/58 | 30,140,989 | 30,195,849 | |||||||||
CIM Trust(18-R6-A1) |
| |||||||||||
3.58% (1)(3) | 09/25/58 | 22,692,460 | 22,565,310 | |||||||||
Citicorp Mortgage Securities Trust, Inc.(07-4-3A1) |
| |||||||||||
5.50% | 05/25/37 | 492,411 | 491,697 | |||||||||
Citigroup Mortgage Loan Trust(06-HE3-A1) |
| |||||||||||
2.62% (1 mo. USD LIBOR + 0.140%) (1)(2) | 12/25/36 | 15,712,207 | 15,326,898 | |||||||||
Citigroup Mortgage Loan Trust, Inc.(06-AR5-1A1A) |
| |||||||||||
4.44% (3) | 07/25/36 | 3,592,966 | 3,017,194 | |||||||||
Citigroup Mortgage Loan Trust, Inc.(07-12-2A1) |
| |||||||||||
6.50% (1) | 10/25/36 | 3,345,522 | 2,697,790 | |||||||||
Citigroup Mortgage Loan Trust, Inc.(14-10-2A1) |
| |||||||||||
2.74% (1 mo. USD LIBOR + 0.250%) (1)(2) | 07/25/37 | 1,803,248 | 1,799,557 | |||||||||
CitiMortgage Alternative Loan Trust(05-A1-2A1) |
| |||||||||||
5.00% | 07/25/20 | 58,799 | 58,532 |
See accompanying notes to financial statements.
61
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TCW Total Return Bond Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Conseco Financial Corp.(99-2-A7) |
| |||||||||||
6.44% | 12/01/30 | $ | 2,990,471 | $ | 3,237,438 | |||||||
Countrywide Alternative Loan Trust(05-20CB-4A1) |
| |||||||||||
5.25% | 07/25/20 | 205,420 | 203,821 | |||||||||
Countrywide Alternative Loan Trust(05-84-1A1) |
| |||||||||||
4.01% (3) | 02/25/36 | 243,586 | 194,440 | |||||||||
Countrywide Alternative Loan Trust(05-J1-2A1) |
| |||||||||||
5.50% | 02/25/25 | 726,362 | 732,741 | |||||||||
Countrywide Alternative Loan Trust(06-HY12-A5) |
| |||||||||||
3.88% (3) | 08/25/36 | 12,084,792 | 12,522,625 | |||||||||
Countrywide Alternative Loan Trust(06-J3-3A1) |
| |||||||||||
5.50% | 04/25/21 | 178,163 | 177,194 | |||||||||
Countrywide Home Loans Mortgage Pass-Through Trust(04-13-1A3) |
| |||||||||||
5.50% | 08/25/34 | 5,676,683 | 6,007,868 | |||||||||
Countrywide Home Loans Mortgage Pass-Through Trust(05-9-1A1) |
| |||||||||||
3.08% (1 mo. USD LIBOR + 0.600%) (2) | 05/25/35 | 11,009,437 | 10,195,102 | |||||||||
Countrywide Home Loans Mortgage Pass-Through Trust(05-HYB5-4A1) |
| |||||||||||
4.03% (3)(7) | 09/20/35 | 26,144 | 22,325 | |||||||||
Countrywide Home Loans Mortgage Pass-Through Trust(07-HY5-1A1) |
| |||||||||||
4.51% (3) | 09/25/47 | 7,274 | 7,117 | |||||||||
Countrywide Home Loans Mortgage Pass-Through Trust(07-HYB1-1A1) |
| |||||||||||
3.44% (3) | 03/25/37 | 46,240 | 39,315 | |||||||||
Credit Suisse First Boston Mortgage Securities Corp.(03-8-4PPA) |
| |||||||||||
5.75% | 04/22/33 | 29,799 | 31,321 | |||||||||
Credit Suisse First Boston Mortgage Securities Corp.(05-11-1A1) |
| |||||||||||
6.50% | 12/25/35 | 2,239,791 | 1,822,858 | |||||||||
Credit Suisse First Boston Mortgage Securities Corp.(05-12-1A1) |
| |||||||||||
6.50% | 01/25/36 | 8,177,297 | 5,170,116 | |||||||||
Credit Suisse Mortgage Capital Certificates(15-5R-2A1) |
| |||||||||||
2.77% (1 mo. USD LIBOR + 0.280%) (1)(2) | 04/27/47 | 5,106,333 | 5,048,921 | |||||||||
Credit Suisse Mortgage Trust(13-7R-4A1) |
| |||||||||||
2.81% (1 mo. USD LIBOR + 0.160%) (1)(2) | 07/26/36 | 2,353,443 | 2,267,130 | |||||||||
Credit-Based Asset Servicing and Securitization LLC(06-CB1-AF2) |
| |||||||||||
3.34% | 01/25/36 | 4,047,183 | 3,563,714 | |||||||||
Credit-Based Asset Servicing and Securitization LLC(06-CB7-A4) |
| |||||||||||
2.64% (1 mo. USD LIBOR + 0.160%) (2) | 10/25/36 | 27,894,642 | 21,444,455 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Credit-Based Asset Servicing and Securitization LLC(06-CB9-A4) |
| |||||||||||
2.71% (1 mo. USD LIBOR + 0.230%) (2) | 11/25/36 | $ | 16,170,263 | $ | 10,279,123 | |||||||
Credit-Based Asset Servicing and Securitization LLC(07-CB2-A2B) |
| |||||||||||
4.04% | 02/25/37 | 3,493,304 | 2,797,184 | |||||||||
Credit-Based Asset Servicing and Securitization LLC(07-CB2-A2C) |
| |||||||||||
4.04% | 02/25/37 | 12,016,294 | 9,620,631 | |||||||||
CSMC Mortgage-Backed Trust(06-8-3A1) |
| |||||||||||
6.00% | 10/25/21 | 2,103,874 | 1,907,102 | |||||||||
CSMC Mortgage-Backed Trust(06-9-5A1) |
| |||||||||||
5.50% | 11/25/36 | 2,346,517 | 2,276,529 | |||||||||
CSMC Mortgage-Backed Trust(07-2-3A4) |
| |||||||||||
5.50% | 03/25/37 | 7,702,972 | 6,488,022 | |||||||||
DeutscheAlt-A Securities, Inc. Mortgage Loan Trust(06-AR6-A6) |
| |||||||||||
2.67% (1 mo. USD LIBOR + 0.190%) (2) | 02/25/37 | 364,714 | 331,871 | |||||||||
DSLA Mortgage Loan Trust(05-AR6-2A1A) |
| |||||||||||
2.78% (1 mo. USD LIBOR + 0.290%) (2) | 10/19/45 | 2,730,475 | 2,668,601 | |||||||||
DSLA Mortgage Loan Trust(06-AR2-2A1A) |
| |||||||||||
2.69% (1 mo. USD LIBOR + 0.200%) (2) | 10/19/36 | 28,682,893 | 26,118,809 | |||||||||
DSLA Mortgage Loan Trust(07-AR1-2A1A) |
| |||||||||||
2.63% (1 mo. USD LIBOR + 0.140%) (2) | 04/19/47 | 8,103,242 | 7,578,721 | |||||||||
Fieldstone Mortgage Investment Corp.(07-1-2A2) |
| |||||||||||
2.75% (1 mo. USD LIBOR + 0.270%) (2) | 04/25/47 | 4,030,142 | 3,064,499 | |||||||||
First Franklin Mortgage Loan Asset-Backed Certificates(06-FF18-A2C) |
| |||||||||||
2.64% (1 mo. USD LIBOR + 0.160%) (2) | 12/25/37 | 22,674,407 | 19,492,206 | |||||||||
First Franklin Mortgage Loan Asset-Backed Certificates(06-FF18-A2D) |
| |||||||||||
2.69% (1 mo. USD LIBOR + 0.210%)(2) | 12/25/37 | 13,306,115 | 11,503,563 | |||||||||
First Franklin Mortgage Loan Asset-Backed Certificates(07-FF1-A2C) |
| |||||||||||
2.62% (1 mo. USD LIBOR + 0.140%)(2) | 01/25/38 | 4,645,655 | 3,421,329 | |||||||||
First Franklin Mortgage Loan Asset-Backed Certificates(07-FF1-A2D) |
| |||||||||||
2.70% (1 mo. USD LIBOR + 0.220%)(2) | 01/25/38 | 22,738,598 | 16,940,558 | |||||||||
First Franklin Mortgage Loan Trust(06-FF9-2A4) |
| |||||||||||
2.73% (1 mo. USD LIBOR + 0.250%)(2) | 06/25/36 | 5,068,000 | 4,518,256 | |||||||||
First Horizon Alternative Mortgage Securities Trust(05-AA3-3A1) |
| |||||||||||
4.35%(3) | 05/25/35 | 3,307,366 | 3,312,205 |
See accompanying notes to financial statements.
62
Table of Contents
TCW Total Return Bond Fund
April 30, 2019
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
First Horizon Alternative Mortgage Securities Trust(05-AA7-1A1) |
| |||||||||||
4.04%(3) | 09/25/35 | $ | 3,027,217 | $ | 2,758,697 | |||||||
First Horizon Alternative Mortgage Securities Trust(05-AA7-2A1) |
| |||||||||||
4.38%(3) | 09/25/35 | 2,290,076 | 2,214,507 | |||||||||
First Horizon Alternative Mortgage Securities Trust(06-AA7-A1) |
| |||||||||||
4.07%(3) | 01/25/37 | 9,659,070 | 8,771,649 | |||||||||
Fremont Home Loan Trust(05-E-2A4) |
| |||||||||||
2.81% (1 mo. USD LIBOR + 0.330%)(2) | 01/25/36 | 15,003,864 | 14,565,132 | |||||||||
Fremont Home Loan Trust(06-1-2A3) |
| |||||||||||
2.66% (1 mo. USD LIBOR + 0.180%)(2) | 04/25/36 | 2,543,291 | 2,497,156 | |||||||||
GMAC Mortgage Loan Trust(05-AR5-2A1) |
| |||||||||||
4.66%(3) | 09/19/35 | 2,559,685 | 2,140,140 | |||||||||
GreenPoint Mortgage Funding Trust(05-AR3-1A1) |
| |||||||||||
2.72% (1 mo. USD LIBOR + 0.240%)(2) | 08/25/45 | 560,035 | 512,143 | |||||||||
GreenPoint Mortgage Funding Trust(06-AR5-A2A2) |
| |||||||||||
2.63% (1 mo. USD LIBOR + 0.150%)(2)(8) | 10/25/46 | 18 | — | |||||||||
GSAA Home Equity Trust(05-7-AF5) |
| |||||||||||
4.61% | 05/25/35 | 657,675 | 664,500 | |||||||||
GSAA Home Equity Trust(05-9-2A3) USD |
| |||||||||||
2.85% (1 mo. LIBOR + 0.370%)(2) | 08/25/35 | 281,015 | 280,767 | |||||||||
GSR Mortgage Loan Trust(04-9-3A1) |
| |||||||||||
4.29%(3) | 08/25/34 | 2,692,224 | 2,731,601 | |||||||||
GSR Mortgage Loan Trust(07-3F-3A7) |
| |||||||||||
6.00% | 05/25/37 | 9,825,448 | 8,997,538 | |||||||||
GSR Mortgage Loan Trust(07-AR2-2A1) |
| |||||||||||
4.40%(3) | 05/25/37 | 3,009,800 | 2,663,132 | |||||||||
GSR Mortgage Loan Trust(07-AR2-5A1A) |
| |||||||||||
4.32%(3) | 05/25/37 | 1,581,879 | 1,430,185 | |||||||||
Harborview Mortgage Loan Trust(05-9-2A1A) |
| |||||||||||
2.83% (1 mo. USD LIBOR + 0.340%)(2) | 06/20/35 | 2,660,297 | 2,651,152 | |||||||||
Harborview Mortgage Loan Trust(06-8-2A1A) |
| |||||||||||
2.68% (1 mo. USD LIBOR + 0.190%)(2) | 07/21/36 | 10,078,686 | 8,900,189 | |||||||||
HSI Asset Loan Obligation Trust(07-2-2A12) |
| |||||||||||
6.00% | 09/25/37 | 868,092 | 785,230 | |||||||||
Impac CMB Trust(04-5-1A1) |
| |||||||||||
3.20% (1 mo. USD LIBOR + 0.720%)(2) | 10/25/34 | 5,119 | 5,099 | |||||||||
Impac CMB Trust(05-1-1A1) |
| |||||||||||
3.00% (1 mo. USD LIBOR + 0.520%)(2) | 04/25/35 | 1,134,086 | 1,100,835 | |||||||||
Impac CMB Trust(05-5-A2) |
| |||||||||||
2.92% (1 mo. USD LIBOR + 0.440%)(2) | 08/25/35 | 5,594,942 | 5,457,623 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Impac Secured Assets Trust(06-3-A1) |
| |||||||||||
2.65% (1 mo. USD LIBOR + 0.170%)(2) | 11/25/36 | $ | 8,608,728 | $ | 8,169,369 | |||||||
Indymac Index Mortgage Loan Trust(04-AR4-2A) |
| |||||||||||
4.35%(3) | 08/25/34 | 5,328,097 | 5,449,424 | |||||||||
Indymac Index Mortgage Loan Trust(04-AR9-4A) |
| |||||||||||
4.62%(3) | 11/25/34 | 862,636 | 771,082 | |||||||||
Indymac Index Mortgage Loan Trust(05-AR17-3A1) |
| |||||||||||
4.01%(3) | 09/25/35 | 4,213,024 | 3,708,475 | |||||||||
Indymac Index Mortgage Loan Trust(05-AR23-2A1) |
| |||||||||||
4.12%(3) | 11/25/35 | 3,132,996 | 3,013,733 | |||||||||
Indymac Index Mortgage Loan Trust(05-AR23-6A1) |
| |||||||||||
3.91%(3) | 11/25/35 | 4,126,592 | 3,850,312 | |||||||||
Indymac Index Mortgage Loan Trust(05-AR25-2A1) |
| |||||||||||
3.76%(3)(7) | 12/25/35 | 2,206,323 | 2,058,801 | |||||||||
Indymac Index Mortgage Loan Trust(05-AR7-2A1) |
| |||||||||||
3.99%(3) | 06/25/35 | 3,073,475 | 2,768,777 | |||||||||
Indymac Index Mortgage Loan Trust(06-AR39-A1) |
| |||||||||||
2.66% (1 mo. USD LIBOR + 0.180%)(2) | 02/25/37 | 8,134,909 | 7,812,686 | |||||||||
Indymac Index Mortgage Loan Trust(07-AR11-1A1) |
| |||||||||||
3.33%(3)(7) | 06/25/37 | 20,964 | 17,575 | |||||||||
Indymac Index Mortgage Loan Trust(07-AR5-2A1) |
| |||||||||||
3.82%(3) | 05/25/37 | 14,233,471 | 13,491,241 | |||||||||
Indymac Index Mortgage Loan Trust(07-AR7-1A1) |
| |||||||||||
3.95%(3) | 11/25/37 | 3,158,247 | 3,097,419 | |||||||||
JPMorgan Alternative Loan Trust(06-A2-5A1) |
| |||||||||||
4.06%(3) | 05/25/36 | 6,437,342 | 5,053,114 | |||||||||
JPMorgan Alternative Loan Trust(06-A4-A8) |
| |||||||||||
3.83%(3) | 09/25/36 | 1,797,295 | 1,752,708 | |||||||||
JPMorgan Mortgage Acquisition Corp.(06-CH2-AF4) |
| |||||||||||
5.76% | 10/25/36 | 6,483,567 | 5,121,975 | |||||||||
JPMorgan Mortgage Acquisition Corp.(07-CH4-A4) |
| |||||||||||
2.64% (1 mo. USD LIBOR + 0.160%)(2) | 01/25/36 | 10,961,475 | 10,922,206 | |||||||||
JPMorgan Mortgage Trust(05-A6-7A1) |
| |||||||||||
4.32%(3) | 08/25/35 | 345,871 | 337,328 | |||||||||
JPMorgan Mortgage Trust(06-A2-5A3) |
| |||||||||||
4.63%(3) | 11/25/33 | 1,925,408 | 1,912,631 | |||||||||
JPMorgan Mortgage Trust(06-A4-1A4) |
| |||||||||||
4.43%(3) | 06/25/36 | 489,661 | 444,078 | |||||||||
JPMorgan Mortgage Trust(06-A7-2A4R) |
| |||||||||||
4.20%(3) | 01/25/37 | 20,642 | 19,923 | |||||||||
JPMorgan Mortgage Trust(06-S2-2A2) |
| |||||||||||
5.88% | 06/25/21 | 486,639 | 460,830 | |||||||||
JPMorgan Resecuritization Trust Series(14-6-3A1) |
| |||||||||||
2.70% (1 mo. USD LIBOR + 0.210%)(1)(2) | 07/27/46 | 2,982,882 | 2,988,345 |
See accompanying notes to financial statements.
63
Table of Contents
TCW Total Return Bond Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Lehman Mortgage Trust(05-1-6A1) |
| |||||||||||
5.00% | 11/25/20 | $ | 791,633 | $ | 396,236 | |||||||
Lehman Mortgage Trust(06-4-4A1) |
| |||||||||||
6.00% | 08/25/21 | 1,387,377 | 1,336,017 | |||||||||
Lehman XS Trust(06-10N-1A3A) |
| |||||||||||
2.69% (1 mo. USD LIBOR + 0.210%)(2) | 07/25/46 | 14,201,389 | 13,909,242 | |||||||||
Lehman XS Trust(06-12N-A2A1) |
| |||||||||||
2.63% (1 mo. USD LIBOR + 0.150%)(2)(8) | 08/25/46 | 135 | — | |||||||||
Lehman XS Trust(06-12N-A31A) |
| |||||||||||
2.68% (1 mo. USD | 08/25/46 | 4,891,807 | 4,573,362 | |||||||||
Lehman XS Trust(06-13-1A2) |
| |||||||||||
2.82% (1 mo. USD | 09/25/36 | 1,469,793 | 1,438,529 | |||||||||
Lehman XS Trust(06-9-A1B) |
| |||||||||||
2.64% (1 mo. USD LIBOR + 0.160%) (2) | 05/25/46 | 2,097,443 | 3,656,302 | |||||||||
Lehman XS Trust(06-GP1-A2A) |
| |||||||||||
2.68% (1 mo. USD LIBOR + 0.170%)(2)(8) | 05/25/46 | 6,333 | — | |||||||||
Long Beach Mortgage Loan Trust(06-WL1-2A4) |
| |||||||||||
3.16% (1 mo. USD LIBOR + 0.340%)(2) | 01/25/46 | 14,950,000 | 14,934,566 | |||||||||
MASTR Alternative Loans Trust(05-4-1A1) |
| |||||||||||
6.50% | 05/25/35 | 5,462,522 | 5,409,064 | |||||||||
MASTR Alternative Loans Trust(06-2-2A1) |
| |||||||||||
2.88% (1 mo. USD LIBOR + 0.400%)(2)(8) | 03/25/36 | 67,065 | 10,214 | |||||||||
MASTR Asset Securitization Trust(06-3-2A1) |
| |||||||||||
2.93% (1 mo. USD LIBOR + 0.450%)(2) | 10/25/36 | 42,712 | 20,072 | |||||||||
MASTR Asset-Backed Securities Trust(06-AB1-A4) |
| |||||||||||
5.72% | 02/25/36 | 868,596 | 832,150 | |||||||||
MASTR Asset-Backed Securities Trust(06-HE1-A4) |
| |||||||||||
2.77% (1 mo. USD LIBOR + 0.290%)(2) | 01/25/36 | 2,176,347 | 2,185,674 | |||||||||
MASTR Asset-Backed Securities Trust(06-HE5-A3) |
| |||||||||||
2.64% (1 mo. USD LIBOR + 0.160%)(2) | 11/25/36 | 20,403,910 | 14,826,104 | |||||||||
MASTR Seasoned Securitization Trust(04-1-4A1) |
| |||||||||||
4.63%(3) | 10/25/32 | 8,363 | 8,571 | |||||||||
Merrill Lynch Alternative Note Asset Trust(07-A1-A2C) |
| |||||||||||
2.71% (1 mo. USD LIBOR + 0.230%)(2) | 01/25/37 | 1,950,584 | 975,502 | |||||||||
Merrill Lynch Alternative Note Asset Trust(07-A1-A3) |
| |||||||||||
2.64% (1 mo. USD LIBOR + 0.160%)(2) | 01/25/37 | 1,003,380 | 497,835 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Merrill Lynch First Franklin Mortgage Loan Trust(07-1-A2B) |
| |||||||||||
2.65% (1 mo. USD LIBOR + 0.170%)(2) | 04/25/37 | $ | 7,808,300 | $ | 4,333,031 | |||||||
Merrill Lynch First Franklin Mortgage Loan Trust(07-1-A2C) |
| |||||||||||
2.73% (1 mo. USD LIBOR + 0.250%)(2)(7) | 04/25/37 | 26,376,673 | 14,819,399 | |||||||||
Merrill Lynch First Franklin Mortgage Loan Trust(07-1-A2D) |
| |||||||||||
2.82% (1 mo. USD LIBOR + 0.340%)(2) | 04/25/37 | 6,734,588 | 3,835,929 | |||||||||
Merrill Lynch First Franklin Mortgage Loan Trust(07-2-A2C) |
| |||||||||||
2.72% (1 mo. USD LIBOR + 0.240%)(2) | 05/25/37 | 5,963,002 | 3,827,049 | |||||||||
Merrill Lynch First Franklin Mortgage Loan Trust(07-3-A2B) |
| |||||||||||
2.61% (1 mo. USD LIBOR + 0.130%)(2) | 06/25/37 | 2,800,410 | 2,193,296 | |||||||||
Merrill Lynch First Franklin Mortgage Loan Trust(07-4-2A3) |
| |||||||||||
2.64% (1 mo. USD LIBOR + 0.160%)(2) | 07/25/37 | 35,681,129 | 23,850,592 | |||||||||
Merrill Lynch Mortgage-Backed Securities Trust(07-2-1A1) |
| |||||||||||
4.80% (1 year Treasury Constant Maturity Rate + 2.400%)(2) | 08/25/36 | 1,602,841 | 1,577,213 | |||||||||
Mid-State Trust(05-1-A) |
| |||||||||||
5.75% | 01/15/40 | 2,993,739 | 3,242,450 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust(04-NC8-M2) |
| |||||||||||
3.44% (1 mo. USD LIBOR + 0.960%)(2) | 09/25/34 | 750,898 | 751,067 | |||||||||
Morgan Stanley Home Equity Loan Trust(06-2-A4) |
| |||||||||||
2.76% (1 mo. USD LIBOR + 0.280%)(2) | 02/25/36 | 2,799,700 | 2,800,996 | |||||||||
Morgan Stanley Mortgage Loan Trust(05-6AR-1A1) |
| |||||||||||
2.76% (1 mo. USD LIBOR + 0.280%)(2) | 11/25/35 | 619,635 | 621,999 | |||||||||
Morgan Stanley Mortgage Loan Trust(07-3XS-2A6) |
| |||||||||||
5.76% | 01/25/47 | 2,641,832 | 1,316,022 | |||||||||
Morgan Stanley Mortgage Loan Trust(07-7AX-2A1) |
| |||||||||||
2.60% (1 mo. USD LIBOR + 0.120%)(2) | 04/25/37 | 3,614,314 | 1,684,683 | |||||||||
Morgan Stanley REREMIC Trust(13-R2-1A) |
| |||||||||||
3.51%(1)(3) | 10/26/36 | 3,355,859 | 3,349,958 | |||||||||
Morgan Stanley Resecuritization Trust(14-R2-2A) |
| |||||||||||
3.71%(1)(3) | 12/26/46 | 6,449,019 | 6,489,162 | |||||||||
MortgageIT Trust(05-3-A1) |
| |||||||||||
3.08% (1 mo. USD LIBOR + 0.600%)(2) | 08/25/35 | 4,943,208 | 4,905,624 |
See accompanying notes to financial statements.
64
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TCW Total Return Bond Fund
April 30, 2019
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
MortgageIT Trust(05-4-A1) |
| |||||||||||
2.76% (1 mo. USD LIBOR + 0.280%)(2) | 10/25/35 | $ | 2,366,668 | $ | 2,378,249 | |||||||
Nationstar Home Equity Loan Trust(07-B-2AV3) |
| |||||||||||
2.73% (1 mo. USD LIBOR + 0.250%)(2) | 04/25/37 | 5,375,095 | 5,376,856 | |||||||||
Nomura Resecuritization Trust(15-2R-1A1) |
| |||||||||||
3.28% (12 mo. Monthly Treasury Average Index + 1.000%)(1)(2) | 08/26/46 | 3,507,614 | 3,493,012 | |||||||||
Nomura Resecuritization Trust(15-4R-2A1) |
| |||||||||||
2.63% (1 mo. USD LIBOR + 0.306%)(1)(2) | 10/26/36 | 4,571,527 | 4,565,075 | |||||||||
Nomura Resecuritization Trust(15-5R-2A1) |
| |||||||||||
4.50%(1)(3) | 03/26/35 | 5,261,068 | 5,331,721 | |||||||||
Nomura Resecuritization Trust(15-7R-2A1) |
| |||||||||||
3.87%(1)(3) | 08/26/36 | 2,493,086 | 2,504,708 | |||||||||
Oakwood Mortgage Investors, Inc.(02-A-A4) |
| |||||||||||
6.97%(3) | 03/15/32 | 2,254,020 | 2,384,903 | |||||||||
Oakwood Mortgage Investors, Inc.(99-E-A1) |
| |||||||||||
7.61%(3) | 03/15/30 | 4,442,299 | 3,927,925 | |||||||||
Opteum Mortgage Acceptance Corp.(06-1-2A1) |
| |||||||||||
5.75%(3) | 04/25/36 | 2,083,310 | 2,098,935 | |||||||||
Ownit Mortgage Loan Asset-Backed Certificates(06-3-A2D) |
| |||||||||||
2.75% (1 mo. USD LIBOR + 0.270%)(2) | 03/25/37 | 18,700,614 | 16,706,349 | |||||||||
Ownit Mortgage Loan Asset-Backed Certificates(06-6-A2C) |
| |||||||||||
2.64% (1 mo. USD LIBOR + 0.160%)(2) | 09/25/37 | 17,152,021 | 10,403,383 | |||||||||
Prime Mortgage Trust(06-1-1A1) |
| |||||||||||
5.50% | 06/25/36 | 1,981,743 | 1,977,530 | |||||||||
RAAC Series Trust(05-SP1-4A1) |
| |||||||||||
7.00% | 09/25/34 | 3,183,446 | 3,253,061 | |||||||||
RAAC Series Trust(07-SP1-A3) |
| |||||||||||
2.96% (1 mo. USD LIBOR + 0.480%)(2) | 03/25/37 | 837,497 | 839,943 | |||||||||
RALI Trust(05-QA13-2A1) |
| |||||||||||
4.82%(3) | 12/25/35 | 745,038 | 681,349 | |||||||||
RALI Trust(05-QA7-A21) |
| |||||||||||
4.44%(3) | 07/25/35 | 2,517,917 | 2,411,572 | |||||||||
RALI Trust(06-QA3-A1) |
| |||||||||||
2.68% (1 mo. USD LIBOR + 0.200%) (2) | 04/25/36 | 3,532,390 | 3,547,259 | |||||||||
Residential Accredit Loans, Inc.(05-QA8-CB21) |
| |||||||||||
4.62%(3) | 07/25/35 | 5,124,417 | 3,974,576 | |||||||||
Residential Accredit Loans, Inc.(05-QS7-A1) |
| |||||||||||
5.50% | 06/25/35 | 988,996 | 893,210 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Residential Accredit Loans, Inc.(06-QA1-A21) |
| |||||||||||
4.95% (3) | 01/25/36 | $ | 18,494 | $ | 16,169 | |||||||
Residential Accredit Loans, Inc.(06-QA10-A2) |
| |||||||||||
2.66% (1 mo. USD LIBOR + 0.180%) (2) | 12/25/36 | 16,817,775 | 15,649,755 | |||||||||
Residential Accredit Loans, Inc.(06-QA2-1A1) |
| |||||||||||
2.73% (1 mo. USD LIBOR + 0.250%) (2) | 02/25/36 | 23,425 | 18,662 | |||||||||
Residential Accredit Loans, Inc.(06-QS10-AV) (I/O) |
| |||||||||||
0.56%(3)(8) | 08/25/36 | 41,134,743 | 949,295 | |||||||||
Residential Accredit Loans, Inc.(06-QS11-AV) (I/O) |
| |||||||||||
0.35%(3)(8) | 08/25/36 | 40,779,734 | 582,714 | |||||||||
Residential Accredit Loans, Inc.(06-QS5-A5) |
| |||||||||||
6.00% | 05/25/36 | 5,207,508 | 4,844,331 | |||||||||
Residential Accredit Loans, Inc.(06-QS6-1AV) (I/O) |
| |||||||||||
0.75%(3)(8) | 06/25/36 | 52,423,161 | 1,346,143 | |||||||||
Residential Accredit Loans, Inc.(06-QS7-AV) (I/O) |
| |||||||||||
0.72%(3)(8) | 06/25/36 | 11,827,327 | 307,325 | |||||||||
Residential Accredit Loans, Inc.(07-QS1-2AV) (I/O) |
| |||||||||||
0.18%(3)(8) | 01/25/37 | 2,768,233 | 21,870 | |||||||||
Residential Accredit Loans, Inc.(07-QS2-AV) (I/O) |
| |||||||||||
0.33%(3)(8) | 01/25/37 | 20,379,567 | 242,166 | |||||||||
Residential Accredit Loans, Inc.(07-QS3-AV) (I/O) |
| |||||||||||
0.36%(3)(8) | 02/25/37 | 82,865,180 | 1,122,889 | |||||||||
Residential Accredit Loans, Inc.(07-QS4-3AV) (I/O) |
| |||||||||||
0.38%(3)(8) | 03/25/37 | 9,763,706 | 144,268 | |||||||||
Residential Accredit Loans, Inc.(07-QS5-AV) (I/O) |
| |||||||||||
0.24%(3)(8) | 03/25/37 | 13,507,755 | 124,745 | |||||||||
Residential Accredit Loans, Inc.(07-QS6-A45) |
| |||||||||||
5.75% | 04/25/37 | 2,965,350 | 2,759,962 | |||||||||
Residential Accredit Loans, Inc.(07-QS8-AV) (I/O) |
| |||||||||||
0.40%(3)(8) | 06/25/37 | 20,317,138 | 386,840 | |||||||||
Residential Funding Mortgage Securities I(05-SA5-2A) |
| |||||||||||
4.69%(3) | 11/25/35 | 21,566 | 20,621 | |||||||||
Residential Funding Mortgage Securities I(06-S9-A3) (PAC) |
| |||||||||||
5.75%(7) | 09/25/36 | 625,484 | 595,350 | |||||||||
Residential Funding Mortgage Securities I(07-S2-A9) |
| |||||||||||
6.00% | 02/25/37 | 7,084,049 | 6,675,219 | |||||||||
Residential Funding Mortgage Securities I(07-SA2-2A2) |
| |||||||||||
4.90%(3) | 04/25/37 | 22,387 | 21,586 | |||||||||
Saxon Asset Securities Trust(06-2-A2) |
| |||||||||||
2.61% (1 mo. USD LIBOR + 0.130%) (2) | 09/25/36 | 4,708,681 | 4,696,221 | |||||||||
Saxon Asset Securities Trust(06-3-A3) |
| |||||||||||
2.65% (1 mo. USD LIBOR + 0.170%) (2) | 10/25/46 | 10,850,312 | 10,650,787 |
See accompanying notes to financial statements.
65
Table of Contents
TCW Total Return Bond Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Saxon Asset Securities Trust(07-2-A2D) |
| |||||||||||
2.78% (1 mo. USD LIBOR + 0.300%) (2) | 05/25/47 | $ | 18,300,532 | $ | 15,436,179 | |||||||
Securitized Asset-Backed Receivables LLC Trust(07-BR1-A2C) |
| |||||||||||
2.82% (1 mo. USD LIBOR + 0.340%) (2) | 02/25/37 | 3,219,913 | 1,985,445 | |||||||||
Securitized Asset-Backed Receivables LLC Trust(07-BR2-A2) |
| |||||||||||
2.71% (1 mo. USD LIBOR + 0.230%) (2) | 02/25/37 | 34,606,210 | 18,729,388 | |||||||||
Securitized Asset-Backed Receivables LLC Trust(07-NC2-A2B) |
| |||||||||||
2.62% (1 mo. USD LIBOR + 0.140%) (2) | 01/25/37 | 17,586,139 | 13,528,779 | |||||||||
Sequoia Mortgage Trust(03-8-A1) |
| |||||||||||
3.13% (1 mo. USD LIBOR + 0.640%) (2) | 01/20/34 | 909,685 | 888,162 | |||||||||
SG Mortgage Securities Trust(07-NC1-A2) |
| |||||||||||
2.72% (1 mo. USD LIBOR + 0.240%)(1)(2) | 12/25/36 | 20,824,867 | 14,008,078 | |||||||||
Soundview Home Equity Loan Trust(06-OPT4-2A4) |
| |||||||||||
2.71% (1 mo. USD LIBOR + 0.230%) (2) | 06/25/36 | 10,400,000 | 9,982,174 | |||||||||
Soundview Home Equity Loan Trust(07-OPT3-2A4) |
| |||||||||||
2.73% (1 mo. USD LIBOR + 0.250%) (2) | 08/25/37 | 4,000,000 | 3,862,466 | |||||||||
Specialty Underwriting & Residential Finance(06-AB3-A2B) |
| |||||||||||
2.63% (1 mo. USD LIBOR + 0.150%) (2) | 09/25/37 | 19,802 | 12,187 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust(04-12-2A) |
| |||||||||||
4.44%(3) | 09/25/34 | 1,731,523 | 1,721,437 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust(04-14-2A) |
| |||||||||||
4.59%(3) | 10/25/34 | 2,933,153 | 3,005,680 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust(05-16XS-A2A) |
| |||||||||||
3.43% (1 mo. USD LIBOR + 0.950%) (2) | 08/25/35 | 2,805,580 | 2,825,784 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust(06-2-5A1) |
| |||||||||||
4.54%(3) | 03/25/36 | 432,502 | 397,054 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust(06-4-5A1) |
| |||||||||||
4.22%(3) | 05/25/36 | 1,908,683 | 1,717,935 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust(06-5-1A1) |
| |||||||||||
3.92%(3) | 06/25/36 | 3,798,411 | 3,664,701 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Structured Adjustable Rate Mortgage Loan Trust(07-1-1A1) |
| |||||||||||
4.80%(3) | 02/25/37 | $ | 2,448,333 | $ | 1,964,025 | |||||||
Structured Asset Securities Corp.(05-2XS-1A5B) |
| |||||||||||
5.15% | 02/25/35 | 62,028 | 61,888 | |||||||||
Structured Asset Securities Corp.(06-EQ1A-A4) |
| |||||||||||
2.63% (1 mo. USD LIBOR + 0.150%) (1)(2) | 07/25/36 | 1,008,175 | 1,010,375 | |||||||||
Structured Asset Securities Corp.(06-WF2-A4) |
| |||||||||||
2.79% (1 mo. USD LIBOR + 0.310%) (2) | 07/25/36 | 2,146,801 | 2,157,551 | |||||||||
Suntrust Adjustable Rate Mortgage Loan Trust(07-2-2A1) |
| |||||||||||
4.73%(3) | 04/25/37 | 175,124 | 142,207 | |||||||||
Suntrust Adjustable Rate Mortgage Loan Trust(07-3-1A1) |
| |||||||||||
4.47%(3) | 06/25/37 | 5,746 | 5,312 | |||||||||
Suntrust Adjustable Rate Mortgage Loan Trust(07-S1-2A1) |
| |||||||||||
4.92%(3) | 01/25/37 | 627,808 | 635,148 | |||||||||
Towd Point Mortgage Trust(17-4-A1) |
| |||||||||||
2.75%(1)(3) | 06/25/57 | 18,948,068 | 18,678,276 | |||||||||
Wachovia Mortgage Loan Trust LLC(06-AMN1-A3) |
| |||||||||||
2.44% (1 mo. USD LIBOR + 0.240%) (2) | 08/25/36 | 8,131,272 | 4,623,971 | |||||||||
WaMu Mortgage Pass-Through Certificates(04-AR14-A1) |
| |||||||||||
4.39% (3) | 01/25/35 | 5,618,346 | 5,800,480 | |||||||||
WaMu Mortgage Pass-Through Certificates |
| |||||||||||
2.77% (1 mo. USD LIBOR + 0.290%) (2) | 10/25/45 | 7,304,824 | 7,223,847 | |||||||||
WaMu Mortgage Pass-Through Certificates |
| |||||||||||
3.90% (12 mo. Monthly Treasury Average Index + 1.450%) (2) | 10/25/45 | 588,675 | 612,487 | |||||||||
WaMu Mortgage Pass-Through Certificates(05-AR14-2A1) |
| |||||||||||
4.07%(3) | 12/25/35 | 1,213,877 | 1,181,789 | |||||||||
WaMu Mortgage Pass-Through Certificates(05-AR18-1A1) |
| |||||||||||
4.25%(3) | 01/25/36 | 1,974,374 | 1,915,840 | |||||||||
WaMu Mortgage Pass-Through Certificates(05-AR2-2A1A) |
| |||||||||||
2.79% (1 mo. USD LIBOR + 0.310%) (2) | 01/25/45 | 224,606 | 222,050 | |||||||||
WaMu Mortgage Pass-Through Certificates(05-AR9-A1A) |
| |||||||||||
3.12% (1 mo. USD LIBOR + 0.640%) (2) | 07/25/45 | 5,165,515 | 5,224,402 |
See accompanying notes to financial statements.
66
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TCW Total Return Bond Fund
April 30, 2019
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
WaMu Mortgage Pass-Through Certificates(06-AR1-2A1A) |
| |||||||||||
3.52% (12 mo. Monthly Treasury Average Index + 1.070%) (2) | 01/25/46 | $ | 16,165,842 | $ | 16,280,317 | |||||||
WaMu Mortgage Pass-Through Certificates(06-AR11-1A) |
| |||||||||||
3.41% (12 mo. Monthly Treasury Average Index + 0.960%) (2)(7) | 09/25/46 | 4,337,573 | 3,966,759 | |||||||||
WaMu Mortgage Pass-Through Certificates |
| |||||||||||
3.21% (12 mo. Monthly Treasury Average Index + 0.810%) (2) | 12/25/46 | 4,961,073 | 4,982,466 | |||||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates(02-AR1-1A1) |
| |||||||||||
4.28%(3) | 11/25/30 | 107,110 | 109,447 | |||||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates(06-1-3A2) |
| |||||||||||
5.75% | 02/25/36 | 1,002,690 | 946,002 | |||||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates(06-5-1A1) |
| |||||||||||
3.08% (1 mo. USD LIBOR + 0.600%) (2) | 07/25/36 | 2,189,329 | 1,506,924 | |||||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates(06-AR10-A2A) |
| |||||||||||
2.65% (1 mo. USD LIBOR + 0.170%) (2) | 12/25/36 | 3,763,889 | 3,348,255 | |||||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates(07-OA3-5A) |
| |||||||||||
2.42% (11th District Cost of Funds + 1.250%) (2) | 04/25/47 | 1,632,263 | 1,468,414 | |||||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates(07-OC2-A3) |
| |||||||||||
2.79% (1 mo. USD LIBOR + 0.310%) (2) | 06/25/37 | 4,658,507 | 4,422,284 | |||||||||
Washington Mutual Asset-Backed Certificates(06-HE1-2A4) |
| |||||||||||
2.76% (1 mo. USD LIBOR + 0.280%) (2) | 04/25/36 | 9,402,427 | 9,078,001 | |||||||||
Wells Fargo Home Equity Asset-Backed Securities(06-3-A2) |
| |||||||||||
2.63% (1 mo. USD LIBOR + 0.150%) (2) | 01/25/37 | 5,170,343 | 5,168,439 | |||||||||
Wells Fargo Home Equity Asset-Backed Securities(07-1-A3) |
| |||||||||||
2.80% (1 mo. USD LIBOR + 0.320%) (2) | 03/25/37 | 5,521,000 | 4,635,237 | |||||||||
Wells Fargo Mortgage-Backed Securities Trust(04-DD-2A6) |
| |||||||||||
5.01%(3) | 01/25/35 | 1,329,585 | 1,384,985 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Wells Fargo Mortgage-Backed Securities Trust(06-AR11-A6) |
| |||||||||||
4.53%(3) | 08/25/36 | $ | 3,189,122 | $ | 3,163,816 | |||||||
Wells Fargo Mortgage-Backed Securities Trust(06-AR6-4A1) |
| |||||||||||
4.79%(3) | 03/25/36 | 2,301,796 | 2,335,633 | |||||||||
Wells Fargo Mortgage-Backed Securities Trust(06-AR7-2A4) |
| |||||||||||
4.97%(3) | 05/25/36 | 1,411,944 | 1,430,840 | |||||||||
Wells Fargo Mortgage-Backed Securities Trust(07-10-1A32) |
| |||||||||||
6.00% | 07/25/37 | 2,932,195 | 2,938,447 | |||||||||
Wells Fargo Mortgage-Backed Securities Trust(07-AR4-A1) |
| |||||||||||
4.74%(3) | 08/25/37 | 217,000 | 216,761 | |||||||||
Wells Fargo Mortgage-Backed Securities Trust(08-1-4A1) |
| |||||||||||
5.75% | 02/25/38 | 1,179,110 | 1,245,423 | |||||||||
|
| |||||||||||
Total Residential Mortgage-backed Securities —Non-agency |
| |||||||||||
(Cost: $903,128,315) |
| 1,079,777,123 | ||||||||||
|
| |||||||||||
U.S. TREASURY SECURITIES — 19.8% |
| |||||||||||
U.S. Treasury Note | 03/31/24 | 414,470,000 | 411,442,425 | |||||||||
2.25% | 04/30/24 | 306,330,000 | 305,887,307 | |||||||||
2.50% | 02/28/21 | 16,050,000 | 16,110,501 | |||||||||
2.63% | 02/15/29 | 29,650,000 | 29,957,573 | |||||||||
3.00% | 02/15/49 | 480,930,000 | 487,104,574 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $1,243,620,464) |
| 1,250,502,380 | ||||||||||
|
| |||||||||||
Total Fixed Income Securities | ||||||||||||
(Cost: $5,994,876,870) |
| 6,185,862,051 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
MONEY MARKET INVESTMENTS — 0.7% |
| |||||||||||
State Street Institutional U.S. Government Money Market |
| 46,473,094 | 46,473,094 | |||||||||
|
| |||||||||||
Total Money Market Investments (Cost: $46,473,094) |
| 46,473,094 | ||||||||||
|
|
See accompanying notes to financial statements.
67
Table of Contents
TCW Total Return Bond Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
SHORT TERM INVESTMENTS — 3.1% |
| |||||||||||
U.S. TREASURY SECURITIES — 3.1% | ||||||||||||
U.S. Treasury Bill | 05/21/19 | $ | 75,000,000 | $ | 74,900,444 | |||||||
2.06%(10) | 05/07/19 | 20,000,000 | 19,992,114 | |||||||||
2.38%(10) | 07/18/19 | 17,000,000 | 16,912,751 | |||||||||
2.37%(10)(11) | 06/20/19 | 7,417,000 | 7,392,532 | |||||||||
2.41%(10) | 10/10/19 | 75,000,000 | 74,200,125 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost: $193,391,704) |
| 193,397,966 | ||||||||||
|
| |||||||||||
Total Short Term Investments | ||||||||||||
(Cost: $193,391,704) |
| 193,397,966 | ||||||||||
|
| |||||||||||
Total Investments (101.5%) |
| |||||||||||
(Cost: $6,234,741,668) |
| 6,425,733,111 | ||||||||||
Liabilities In Excess Of Other Assets(-1.5%) |
| (94,639,378 | ) | |||||||||
|
| |||||||||||
Net Assets (100.0%) |
| $ | 6,331,093,733 | |||||||||
|
|
Futures Contracts | ||||||||||||||||||
Number of Contracts | Type | Expiration Date | Notional Contract Value | Market Value | Net Unrealized Appreciation (Depreciation) | |||||||||||||
BUY |
| |||||||||||||||||
3,176 | 2-Year U.S. Treasury Note Futures | 06/28/19 | $ | 674,163,478 | $ | 676,512,811 | $ | 2,349,333 | ||||||||||
252 | 2-Year U.S. Treasury Note Futures | 09/30/19 | 53,719,587 | 53,770,500 | 50,913 | |||||||||||||
170 | 5-Year U.S. Treasury Note Futures | 09/30/19 | 19,643,312 | 19,677,500 | 34,188 | |||||||||||||
3,203 | 5-Year U.S. Treasury Note Futures | 06/28/19 | 367,888,239 | 370,396,922 | 2,508,683 | |||||||||||||
401 | 10-Year U.S. Treasury Note Futures | 06/19/19 | 53,381,722 | 52,844,281 | (537,441 | ) | ||||||||||||
1,051 | 10-Year U.S. Treasury Note Futures | 06/19/19 | 128,716,885 | 129,979,141 | 1,262,256 | |||||||||||||
364 | U.S. Ultra Long Bond Futures | 06/19/19 | 59,455,453 | 59,798,375 | 342,922 | |||||||||||||
|
|
|
|
|
| |||||||||||||
$ | 1,356,968,676 | $ | 1,362,979,530 | $ | 6,010,854 | |||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
68
Table of Contents
TCW Total Return Bond Fund
April 30, 2019
Notes to Schedule of Investments:
ABS - | Asset-Backed Securities. |
ACES - | Alternative Credit Enhancement Securities. |
ARM - | Adjustable Rate Mortgage. |
I/F - | Inverse Floating rate security whose interest rate moves in the opposite direction of prevailing interest rates. |
I/O - | Interest Only Security. |
PAC - | Planned Amortization Class. |
P/O - | Principal Only Security. |
TAC - | Target Amortization Class. |
TBA - | To be Announced. |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only to qualified institutional buyers. At April 30, 2019, the value of these securities amounted to $343,155,055 or 5.4% of net assets. These securities are determined to be liquid by the Fund’s investment advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(2) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2019. |
(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 beenwritten-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 the7-day net yield as of April 30, 2019. |
(10) | Rate shown representsyield-to-maturity. |
(11) | All or a portion of this security is held as collateral for open futures contracts. |
See accompanying notes to financial statements.
69
Table of Contents
TCW Total Return Bond Fund
Investments by Sector (Unaudited) | April 30, 2019 |
Sector | Percentage of Net Assets | |||
Residential Mortgage-Backed Securities — Agency | 52.8 | % | ||
U.S. Treasury Securities | 19.8 | |||
Residential Mortgage-Backed Securities —Non-Agency | 17.1 | |||
Commercial Mortgage-Backed Securities — Agency | 5.1 | |||
U.S. Treasury Bills | 3.1 | |||
Asset-Backed Securities | 2.3 | |||
Money Market Investments | 0.7 | |||
Commercial Mortgage-Backed Securities —Non-Agency | 0.6 | |||
Other* | (1.5 | ) | ||
|
| |||
Total | 100.0 | % | ||
|
|
* | Includes cash, capstock, futures, pending trades, interest receivable and accrued expenses payable. |
See accompanying notes to Schedule of Investments.
70
Table of Contents
TCW Total Return Bond Fund
Fair Valuation Summary (Unaudited) | April 30, 2019 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2019 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 | $ | — | $ | 148,541,355 | $ | — | $ | 148,541,355 | ||||||||
Commercial Mortgage-Backed Securities — Agency | — | 324,219,191 | — | 324,219,191 | ||||||||||||
Commercial Mortgage-Backed Securities —Non-Agency | — | 39,406,686 | — | 39,406,686 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 3,343,415,316 | — | 3,343,415,316 | ||||||||||||
Residential Mortgage-Backed Securities —Non-Agency | — | 1,074,538,654 | 5,238,469 | 1,079,777,123 | ||||||||||||
U.S. Treasury Securities | 1,250,502,380 | — | — | 1,250,502,380 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | 1,250,502,380 | 4,930,121,202 | 5,238,469 | 6,185,862,051 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 46,473,094 | — | — | 46,473,094 | ||||||||||||
Short-Term Investments | 193,397,966 | — | — | 193,397,966 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 1,490,373,440 | 4,930,121,202 | 5,238,469 | 6,425,733,111 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | 6,548,295 | — | — | 6,548,295 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,496,921,735 | $ | 4,930,121,202 | $ | 5,238,469 | $ | 6,432,281,406 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | $ | (537,441 | ) | $ | — | $ | — | $ | (537,441 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (537,441 | ) | $ | — | $ | — | $ | (537,441 | ) | ||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
71
Table of Contents
Statements of Assets and Liabilities (Unaudited) | April 30, 2019 |
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) | $ | 1,167,497 | $ | 1,193 | $ | 16,333 | ||||||
Investment in Affiliated Issuers, at Value | — | — | 385 | (3) | ||||||||
Cash | — | — | 2 | |||||||||
Receivable for Securities Sold | — | 2 | 195 | |||||||||
Receivable for Sale of When-Issued Securities | 5,394 | — | — | |||||||||
Receivable for Fund Shares Sold | 1,072 | — | — | |||||||||
Interest and Dividends Receivable | 5,488 | 7 | 170 | |||||||||
Receivable from Investment Advisor | 52 | 23 | 20 | |||||||||
Unrealized Appreciation on Open Forward Foreign Currency Contracts | — | — | 11 | |||||||||
Receivable for Daily Variation Margin on Open Financial Futures Contracts | 211 | — | 8 | |||||||||
Cash Collateral Held for Brokers | 227 | 170 | — | |||||||||
Prepaid Expenses | 22 | — | (4) | 16 | ||||||||
|
|
|
|
|
| |||||||
Total Assets | 1,179,963 | 1,395 | 17,140 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES |
| |||||||||||
Distributions Payable | 244 | — | — | |||||||||
Payable for Securities Purchased | 15,496 | 2 | 183 | |||||||||
Payable for Purchase of When-Issued Securities | 11,315 | 7 | 97 | |||||||||
Payable for Fund Shares Redeemed | 1,330 | — | — | |||||||||
Disbursements in Excess of Available Cash | 1 | — | — | |||||||||
Accrued Directors’ Fees and Expenses | 10 | 10 | 10 | |||||||||
Accrued Management Fees | 408 | 1 | 7 | |||||||||
Accrued Distribution Fees | 53 | — | (4) | 2 | ||||||||
Interest Payable on Swap Agreements | — | 1 | — | |||||||||
Payable for Daily Variation Margin on Open Centrally Cleared Swap Contracts | 6 | — | — | |||||||||
Open Swap Agreements, at Value | — | 17 | — | |||||||||
Unrealized Depreciation on Open Forward Foreign Currency Contracts | — | — | 18 | |||||||||
Other Accrued Expenses | 546 | 114 | 42 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 29,409 | 152 | 359 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 1,150,554 | $ | 1,243 | $ | 16,781 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF: |
| |||||||||||
Paid-in Capital | $ | 1,178,900 | $ | 1,302 | $ | 16,924 | ||||||
Accumulated Earnings (Loss) | (28,346 | ) | (59 | ) | (143 | ) | ||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 1,150,554 | $ | 1,243 | $ | 16,781 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS ATTRIBUTABLE TO: |
| |||||||||||
I Class Share | $ | 907,714 | $ | 739 | $ | 8,951 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 242,840 | $ | 504 | $ | 7,830 | ||||||
|
|
|
|
|
| |||||||
CAPITAL SHARES OUTSTANDING:(5) |
| |||||||||||
I Class Share | 83,039,892 | 150,195 | 912,624 | |||||||||
|
|
|
|
|
| |||||||
N Class Share | 22,275,555 | 102,509 | 798,436 | |||||||||
|
|
|
|
|
| |||||||
NET ASSET VALUE PER SHARE:(6) |
| |||||||||||
I Class Share | $ | 10.93 | $ | 4.92 | $ | 9.81 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 10.90 | $ | 4.92 | $ | 9.81 | ||||||
|
|
|
|
|
|
(1) | Consolidated Statement of Asset and Liabilities (See Note 2). |
(2) | The identified cost for the TCW Core Fixed Income Fund, the TCW Enhanced Commodity Strategy Fund and the TCW Global Bond Fund at April 30, 2019 was $1,155,391, $1,158 and $16,395, respectively. |
(3) | The identified cost for the TCW Global Bond Fund at April 30, 2019 was $379. |
(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.
72
Table of Contents
TCW Funds, Inc.
Statements of Assets and Liabilities (Unaudited) | April 30, 2019 |
TCW High Yield Bond Fund | TCW Short Term Bond Fund | TCW Total Return Bond Fund | ||||||||||
Dollar Amounts In Thousands (Except Per Share Amounts) | ||||||||||||
ASSETS | ||||||||||||
Investments, at Value(1) | $ | 17,813 | $ | 6,443 | $ | 6,425,733 | ||||||
Cash | 1 | — | 1 | |||||||||
Receivable for Securities Sold | 127 | 5 | — | |||||||||
Receivable for Sale of When-Issued Securities | — | — | 9,090 | |||||||||
Receivable for Fund Shares Sold | 26 | — | 13,207 | |||||||||
Interest and Dividends Receivable | 196 | 30 | 17,322 | |||||||||
Receivable from Investment Advisor | 24 | 16 | 675 | |||||||||
Receivable for Daily Variation Margin on Open Financial Futures Contracts | 1 | — | (2) | 1,497 | ||||||||
Prepaid Expenses | 19 | 13 | 55 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 18,207 | 6,507 | 6,467,580 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES | ||||||||||||
Distributions Payable | 3 | 1 | 7,817 | |||||||||
Payable for Securities Purchased | 48 | 140 | 86,865 | |||||||||
Payable for Purchase of When-Issued Securities | — | — | 27,507 | |||||||||
Payable for Fund Shares Redeemed | 15 | 21 | 8,483 | |||||||||
Accrued Directors’ Fees and Expenses | 10 | 10 | 10 | |||||||||
Accrued Management Fees | 7 | 2 | 2,775 | |||||||||
Accrued Distribution Fees | 2 | — | 229 | |||||||||
Other Accrued Expenses | 54 | 36 | 2,800 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 139 | 210 | 136,486 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 18,068 | $ | 6,297 | $ | 6,331,094 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in Capital | $ | 18,585 | $ | 6,712 | $ | 6,395,648 | ||||||
Accumulated Earnings (Loss) | (517 | ) | (415 | ) | (64,554 | ) | ||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 18,068 | $ | 6,297 | $ | 6,331,094 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS ATTRIBUTABLE TO: |
| |||||||||||
I Class Share | $ | 9,755 | $ | 6,297 | $ | 5,290,823 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 8,313 | $ | — | $ | 1,040,271 | ||||||
|
|
|
|
|
| |||||||
CAPITAL SHARES OUTSTANDING:(3) | ||||||||||||
I Class Share | 1,532,883 | 731,968 | 542,111,101 | |||||||||
|
|
|
|
|
| |||||||
N Class Share | 1,297,377 | — | 103,427,660 | |||||||||
|
|
|
|
|
| |||||||
NET ASSET VALUE PER SHARE:(4) | ||||||||||||
I Class Share | $ | 6.36 | $ | 8.60 | $ | 9.76 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 6.41 | $ | — | $ | 10.06 | ||||||
|
|
|
|
|
|
(1) | The identified cost for the TCW High Yield Bond Fund, the TCW Short Term Bond Fund and the TCW Total Return Bond Fund at April 30, 2019 was $17,821, $6,418 and $6,234,742, 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.
73
Table of Contents
Statements of Operations (Unaudited) | Six Months Ended April 30, 2019 |
TCW Core Fixed Income Fund | TCW Enhanced Commodity Strategy Fund(1) | TCW Global Bond Fund | ||||||||||
Dollar Amounts in Thousands | ||||||||||||
INVESTMENT INCOME | ||||||||||||
Income: | ||||||||||||
Dividends from Investment in Affiliated Issuers | $ | — | $ | — | $ | 10 | ||||||
Interest | 19,778 | 24 | 228 | (2) | ||||||||
|
|
|
|
|
| |||||||
Total | 19,778 | 24 | 238 | |||||||||
|
|
|
|
|
| |||||||
Expenses: | ||||||||||||
Management Fees | 2,374 | 4 | 41 | |||||||||
Accounting Services Fees | 85 | 12 | 2 | |||||||||
Administration Fees | 45 | 24 | 3 | |||||||||
Transfer Agent Fees: | ||||||||||||
I Class | 323 | 4 | 3 | |||||||||
N Class | 139 | 4 | 3 | |||||||||
Custodian Fees | 20 | 2 | 13 | |||||||||
Professional Fees | 50 | 33 | 23 | |||||||||
Directors’ Fees and Expenses | 21 | 21 | 21 | |||||||||
Registration Fees: | ||||||||||||
I Class | 24 | — | (3) | 11 | ||||||||
N Class | 18 | — | (3) | 11 | ||||||||
Distribution Fees: | ||||||||||||
N Class | 321 | 1 | 10 | |||||||||
Shareholder Reporting Expense | 4 | 1 | 1 | |||||||||
Other | 76 | 6 | 6 | |||||||||
|
|
|
|
|
| |||||||
Total | 3,500 | 112 | 148 | |||||||||
|
|
|
|
|
| |||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||
I Class | 163 | 67 | 40 | |||||||||
N Class | 151 | 41 | 44 | |||||||||
|
|
|
|
|
| |||||||
Net Expenses | 3,186 | 4 | 64 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income | 16,592 | 20 | 174 | |||||||||
|
|
|
|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | 7,509 | 3 | (59 | ) | ||||||||
Foreign Currency | 21 | — | 1 | |||||||||
Foreign Currency Forward Contracts | (451 | ) | — | (30 | ) | |||||||
Futures Contracts | 2,514 | — | 64 | |||||||||
Swap Agreements | 3 | (109 | ) | — | ||||||||
Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | 34,268 | 10 | 492 | |||||||||
Foreign Currency | — | — | 1 | |||||||||
Foreign Currency Forward Contracts | (7 | ) | — | — | (3) | |||||||
Futures contracts | 2,791 | — | 100 | |||||||||
Investments in Affiliated Issuers | — | — | 18 | |||||||||
Swap Agreements | 34 | 39 | — | |||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments and Foreign Currency Transactions | 46,682 | (57 | ) | 587 | ||||||||
|
|
|
|
|
| |||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 63,274 | $ | (37 | ) | $ | 761 | |||||
|
|
|
|
|
|
(1) | Consolidated Statement of Operations (See Note 2). |
(2) | Net of foreign taxes withheld of $2 for the TCW Global Bond Fund. |
(3) | Amount rounds to less than $1. |
See accompanying notes to financial statements.
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TCW Funds, Inc.
Statements of Operations (Unaudited) | Six Months Ended April 30, 2019 |
TCW High Yield Bond Fund | TCW Short Term Bond Fund | TCW Total Return Bond Fund | ||||||||||
Dollar Amounts in Thousands | ||||||||||||
INVESTMENT INCOME | ||||||||||||
Income: | ||||||||||||
Interest | $ | 361 | $ | 104 | $ | 131,337 | ||||||
|
|
|
|
|
| |||||||
Total | 361 | 104 | 131,337 | |||||||||
|
|
|
|
|
| |||||||
Expenses: | ||||||||||||
Management Fees | 32 | 12 | 15,997 | |||||||||
Accounting Services Fees | 13 | 1 | 435 | |||||||||
Administration Fees | 5 | 4 | 221 | |||||||||
Transfer Agent Fees: | ||||||||||||
I Class | 8 | 4 | 2,244 | |||||||||
N Class | 5 | — | 499 | |||||||||
Custodian Fees | 6 | 4 | 37 | |||||||||
Professional Fees | 19 | 35 | 135 | |||||||||
Directors’ Fees and Expenses | 21 | 21 | 21 | |||||||||
Registration Fees: | ||||||||||||
I Class | 15 | 12 | 47 | |||||||||
N Class | 14 | — | 26 | |||||||||
Distribution Fees: | ||||||||||||
N Class | 7 | — | 1,340 | |||||||||
Shareholder Reporting Expense | 1 | — | (1) | 12 | ||||||||
Other | 6 | 4 | 451 | |||||||||
|
|
|
|
|
| |||||||
Total | 152 | 97 | 21,465 | |||||||||
|
|
|
|
|
| |||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||
I Class | 61 | 82 | 3,639 | |||||||||
N Class | 45 | — | 542 | |||||||||
|
|
|
|
|
| |||||||
Net Expenses | 46 | 15 | 17,284 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income | 315 | 89 | 114,053 | |||||||||
|
|
|
|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | 97 | 21 | 49,009 | |||||||||
Foreign Currency | — | — | 205 | |||||||||
Foreign Currency Forward Contracts | — | — | (3,128 | ) | ||||||||
Futures Contracts | 34 | 6 | 10,547 | |||||||||
Swap Agreements | (2 | ) | — | — | ||||||||
Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | 412 | 20 | 139,249 | |||||||||
Foreign Currency Forward Contracts | — | — | (35 | ) | ||||||||
Futures contracts | (4 | ) | 6 | 13,582 | ||||||||
Swap Agreements | 1 | — | — | |||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments | 538 | 53 | 209,429 | |||||||||
|
|
|
|
|
| |||||||
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 853 | $ | 142 | $ | 323,482 | ||||||
|
|
|
|
|
|
(1) | Amount rounds to less than $1. |
See accompanying notes to financial statements.
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Statements of Changes in Net Assets | April 30, 2019 |
TCW Core Fixed Income Fund | TCW Enhanced Commodity Strategy Fund(1) | |||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 16,592 | $ | 35,592 | $ | 20 | $ | 34 | ||||||||
Net Realized Gain (Loss) on Investments, Futures Contracts, Swap Contracts and Foreign Currency Transactions | 9,596 | (32,201 | ) | (106 | ) | (16 | ) | |||||||||
Change in Unrealized Appreciation (Depreciation) on Investments, Swap Contracts and Futures Contracts | 37,086 | (33,832 | ) | 49 | (78 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | 63,274 | (30,441 | ) | (37 | ) | (60 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions to Shareholders | (16,919 | ) | (36,700 | ) | (17 | ) | (32 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | (104,268 | ) | (349,830 | ) | (424 | ) | 522 | |||||||||
N Class | (37,751 | ) | (72,937 | ) | 6 | 10 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | (142,019 | ) | (422,767 | ) | (418 | ) | 532 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | (95,664 | ) | (489,908 | ) | (472 | ) | 440 | |||||||||
NET ASSETS | ||||||||||||||||
Beginning of Period | 1,246,218 | 1,736,126 | 1,715 | 1,275 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 1,150,554 | $ | 1,246,218 | $ | 1,243 | $ | 1,715 | ||||||||
|
|
|
|
|
|
|
|
(1) | Consolidated Statement of Changes in Net Assets (See Note 2). |
See accompanying notes to financial statements.
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TCW Funds, Inc.
Statements of Changes in Net Assets | April 30, 2019 |
TCW Global Bond Fund | TCW High Yield Bond Fund | |||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 174 | $ | 326 | $ | 315 | $ | 692 | ||||||||
Net Realized Gain (Loss) on Investments, Futures Contracts, Swap Contracts and Foreign Currency Transactions | (24 | ) | (379 | ) | 129 | 34 | ||||||||||
Change in Unrealized Appreciation (Depreciation) on Investments, Swap Contracts, Futures Contracts and Foreign Currency Transactions | 611 | (359 | ) | 409 | (517 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | 761 | (412 | ) | 853 | 209 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions to Shareholders | (146 | ) | (109 | ) | (347 | ) | (799 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | 118 | 67 | 1,709 | (6,067 | ) | |||||||||||
N Class | 67 | 42 | 3,063 | (1,682 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 185 | 109 | 4,772 | (7,749 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | 800 | (412 | ) | 5,278 | (8,339 | ) | ||||||||||
NET ASSETS | ||||||||||||||||
Beginning of Period | 15,981 | 16,393 | 12,790 | 21,129 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 16,781 | $ | 15,981 | $ | 18,068 | $ | 12,790 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
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TCW Funds, Inc.
Statements of Changes in Net Assets | April 30, 2019 |
TCW Short Term Bond Fund | TCW Total Return Bond Fund | |||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 89 | $ | 131 | $ | 114,053 | $ | 250,578 | ||||||||
Net Realized Gain (Loss) on Investments, Futures Contracts and Foreign Currency Transactions | 27 | (23 | ) | 56,633 | (199,454 | ) | ||||||||||
Change in Unrealized Appreciation (Depreciation) on Investments, Foreign Currency Transactions and Futures Contracts | 26 | (17 | ) | 152,796 | (193,099 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | 142 | 91 | 323,482 | (141,975 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions to Shareholders | (87 | ) | (167 | ) | (124,115 | ) | (275,920 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | (1,038 | ) | (595 | ) | (463,057 | ) | (1,172,213 | ) | ||||||||
N Class | — | — | (114,625 | ) | (706,623 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Decrease in Net Assets Resulting from Net Capital Shares Transactions | (1,038 | ) | (595 | ) | (577,682 | ) | (1,878,836 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Decrease in Net Assets | (983 | ) | (671 | ) | (378,315 | ) | (2,296,731 | ) | ||||||||
NET ASSETS | ||||||||||||||||
Beginning of Period | 7,280 | 7,951 | 6,709,409 | 9,006,140 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 6,297 | $ | 7,280 | $ | 6,331,094 | $ | 6,709,409 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
78
Table of Contents
Notes to Financial Statements (Unaudited) | April 30, 2019 |
Note 1 — Organization
TCW Funds, Inc., a Maryland corporation (the “Company”), is anopen-end management investment company registered under the Investment Company Act of 1940, as amended, (the “1940 Act”), that currently offers 19no-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 is a brief description of the investment objectives and principal investment strategies for the Funds that are covered in this report:
TCW Fund | Investment Objectives and Principal Investment | |
Diversified Fixed Income Funds | ||
TCW Core Fixed Income Fund | Seeks to maximize current income and achieve above average total return consistent with prudent investment management over a full market cycle by investing at least 80% of the value of its net assets in debt securities; uses a controlled risk approach and active asset allocation; monitors the duration of portfolio securities to seek to mitigate exposure to interest rate risk. | |
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; invests in securities of issuers located in at least three countries, representing 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. |
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 1 — Organization (Continued)
TCW Fund | Investment Objectives and Principal Investment | |
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; invests at least 50% of the value in securitized obligations guaranteed by the U.S. government or its agencies, instrumentalities or sponsored corporations, privately issued mortgage-backed and asset-backed securities rated at time of investment Aa3 or higher by Moody’s,AA- or higher by Standard & Poor’s or the equivalent by any other nationally recognized statistical organization, other obligations of the U.S. government or its agencies, instrumentalities or sponsored corporations, and money market instruments. |
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 two classes of a Fund are substantially the same except that the N Class shares are subject to a distribution fee (see Note 6).
Note 2 — Significant Accounting Policies
The following is a summary of significant accounting policies, which are in conformity with accounting principles generally accepted in the United States of America (“GAAP”) and which are consistently followed by the Funds in the preparation of their financial statements. Each Fund is considered an investment company under the Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) No. 946, Financial Services — Investment Companies.
Principles of Accounting: The Funds use the accrual method of accounting for financial reporting purposes.
Principles of Consolidation: The TCW Cayman Enhanced Commodity Fund, Ltd. (the “Subsidiary”), a Cayman Islands exempted company, was incorporated as a wholly owned subsidiary acting as an investment vehicle for the TCW Enhanced Commodity Strategy Fund (the “Parent”) in order to effect certain investments for the Parent consistent with the Parent’s investment objectives and policies as specified in its prospectus and statement of additional information. The accompanying financial statements are consolidated and include the accounts of the Subsidiary. The Parent may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary at April 30, 2019 were $174,478 or 14.03% 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 the investment companies. 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.
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TCW Funds, Inc.
April 30, 2019
Note 2 — Significant Accounting Policies (Continued)
Securities for which market quotations are not readily available, including in circumstances under which it is determined by the Advisor that prices received are not reflective of their market values, are valued by the Advisor’s Pricing Committee in accordance with the guidelines established by the Valuation Committee of the Company’s Board of Directors (“Board”) and under the general oversight of the Board.
Fair value is defined as the price that a Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market for the investment. In accordance with the authoritative guidance on fair value measurements and disclosures under GAAP, the Funds disclose investments in their financial statements in a three-tier hierarchy. This hierarchy is utilized to establish classification of fair value measurements based on inputs. Inputs that go into fair value measurement refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the inputs market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
The three-tier hierarchy of inputs is summarized in three broad levels listed below.
Level 1 — | quoted prices in active markets for identical investments. | |
Level 2 — | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.). | |
Level 3 — | significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments). |
Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement.
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
Fair Value Measurements: Descriptions of the valuation techniques applied to the Funds’ major categories of assets and liabilities on a recurring basis are as follows:
Asset-backed securities (“ABS”) and mortgage-backed securities (“MBS”). The fair value of ABS and MBS is estimated based on pricing models that consider the estimated cash flows of each debt tranche of the issuer, establish a benchmark yield, and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche including, but not limited to, the prepayment speed assumptions and attributes of the collateral. To the extent the inputs are observable and timely, the values would be categorized in Level 2 of the fair value hierarchy; otherwise, they would be categorized in Level 3.
Bank loans. The fair value of bank loans is estimated using recently executed transactions, market price quotations, credit/market events, and cross-asset pricing. Inputs are generally observable and are obtained from independent sources. Bank loans are generally categorized in Level 2 of the fair value hierarchy.
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.
Foreign currency contracts. The fair values of foreign currency contracts are derived from indices, reference rates, and other inputs or a combination of these factors. To the extent that these factors can be observed, foreign currency contracts are categorized in Level 2 of the fair value hierarchy.
Futures contracts. Futures contracts are generally valued at the settlement price established at the close of business each day by the exchange on which they are traded. They are categorized in Level 1.
Government and agency securities. Government and agency securities are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. Accordingly, government and agency securities are normally categorized in Level 1 or 2 of the fair value hierarchy depending on the liquidity and transparency of the market.
Interest Rate and total return swaps. Interest rate and total return swaps are fair valued using pricing models that take into account among other factors, index spread curves, nominal values, modified duration values and cash flows. To the extent that these inputs are observable and timely, the fair values of credit default swaps would be categorized as Level 2; otherwise, the fair values would be categorized in Level 3.
Money market funds. Money market funds areopen-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 are categorized in Level 2; otherwise, the fair values are categorized in Level 3.
Restricted securities. Restricted securities, including illiquid Rule 144A securities, issued bynon-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and therefore, the
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TCW Funds, Inc.
April 30, 2019
Note 2 — Significant Accounting Policies (Continued)
inputs are unobservable. Any other restricted securities valued similar to publicly traded securities may be categorized in Level 2 or 3 of the fair value hierarchy depending on whether a discount is applied and significant to the fair value.
Short-term investments. Short-term investments are valued using market price quotations, and are reflected in Level 1 or Level 2 of the fair value hierarchy.
The summary of the inputs used as April 30, 2019 is listed after the Schedule of Investments for each Fund.
The Funds did not have any transfers in and out of Level 1 and Level 2 of the fair value hierarchy during the period ended April 30, 2019.
Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value:
TCW Core Fixed Income Fund | TCW Global Bond Fund | TCW High Yield Bond Fund | TCW Total Return Bond Fund | |||||||||||||
Balance as of October 31, 2018 | $ | 1,036,315 | $ | 127,112 | $ | 47,685 | $ | 5,610,158 | ||||||||
Accrued Discounts (Premiums) | (738 | ) | 7,915 | — | (380,744 | ) | ||||||||||
Realized Gain (Loss) | (1,179 | ) | — | 1,614 | ||||||||||||
Change in Unrealized Appreciation | (6,138 | ) | (19,217 | ) | — | 16,360 | ||||||||||
Purchases | — | — | — | 7,328 | ||||||||||||
Sales | (26,255 | ) | — | — | (16,247 | ) | ||||||||||
Transfers in to Level 3(1) | — | — | — | — | ||||||||||||
Transfers out of Level 3(1) | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Balance as of April 30, 2019 | $ | 1,002,005 | $ | 115,810 | $ | 47,685 | $ | 5,238,469 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Unrealized Appreciation from Investments Still Held at April 30, 2019 | $ | (6,138 | ) | $ | (19,217 | ) | $ | — | $ | 9,497 | ||||||
|
|
|
|
|
|
|
|
(1) | The Funds recognize transfers in and out at the beginning of the period. |
Significant unobservable valuations inputs for Level 3 investments as of April 30, 2019 are as follows:
Description | Fair Value at 4/30/2019 | Valuation Techniques* | Unobservable Input | Price or Price Range | Average Weighted Price | |||||||
TCW Core Fixed Income Fund | ||||||||||||
Corporate Bonds | $ 1,002,005 | Third-party Vendor | Vendor Prices | $106.853 | $106.853 | |||||||
TCW Global Bond Fund | ||||||||||||
Residential Mortgage-Backed Securities —Non-Agency | 115,810 | Third-party Vendor | Vendor Prices | $9.252 | $9.252 | |||||||
TCW High Yield Bond Fund | ||||||||||||
Common Stocks | 47,685 | Third-party Vendor | Vendor Prices | $8.500 | $8.500 | |||||||
TCW Total Return Bond Fund | ||||||||||||
Residential Mortgage-Backed Securities —Non-Agency | 10,214 | Third-party Vendor | Vendor Prices | $15.230 | $15.230 | |||||||
Residential Mortgage-Backed Securities —Non-Agency (Interest Only, Collateral Strip Rate Securities) | 5,228,255 | Third-party Vendor | Vendor Prices | $0.790–2.598 | $1.768 |
* | The valuation technique employed on the Level 3 securities involves the use of the vendor prices. The Advisor monitors the effectiveness of vendor pricing using the Advisor’s own model and inputs. |
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
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 theex-dividend date. Interest income is recognized on an accrual basis. Realized gains and losses on investments are recorded on the basis of specific identification.
Allocation of Operating Activity for Multiple Classes: Investment income, common expenses and realized and unrealized gains and losses are allocated among the 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 theex-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 betweenpaid-in capital, undistributed net investment income (loss), and/or undistributed accumulated realized gain (loss). Undistributed net investment income or loss may include temporary book and tax basis differences which will reverse in subsequent periods. Any taxable income or capital gain remaining at fiscalyear-end is distributed in the following year.
Use of Estimates: The preparation of the accompanying financial statements requires management to make estimates and assumptions that affect the reported amount of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from these estimates.
Foreign Currency Translation: The books and records of each Fund are maintained in U.S. dollars as follows: (1) 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
84
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TCW Funds, Inc.
April 30, 2019
Note 2 — Significant Accounting Policies (Continued)
can create investment leverage and may be highly volatile. A derivative contract may result in a mark to market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. It is possible that a derivative transaction will result in a loss greater than the principal amount invested. The Funds may not be able to close out a derivative transaction at a favorable time or price.
For the period ended April 30, 2019, the following Funds had derivatives and transactions in derivatives, grouped in the following risk categories (amounts in thousands except notional amounts or number of contracts):
TCW Core Fixed Income Fund
Credit Risk | Commodity Risk | Foreign Currency Risk | Interest Rate Risk | Equity Risk | Total | |||||||||||||||||||
Statement of Asset and Liabilities | ||||||||||||||||||||||||
Asset Derivatives |
| |||||||||||||||||||||||
Swaps Contracts | $ | — | $ | — | $ | — | $ | 70 | $ | — | $ | 70 | ||||||||||||
Futures Contracts(1) | — | — | — | 1,219 | — | 1,219 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Value | $ | — | $ | — | $ | — | $ | 1,289 | $ | — | $ | 1,289 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liability Derivatives |
| |||||||||||||||||||||||
Swaps Contracts | $ | — | $ | — | $ | — | $ | (36 | ) | $ | — | $ | (36 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Value | $ | — | $ | — | $ | — | $ | (36 | ) | $ | — | $ | (36 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Statement of Operations: |
| |||||||||||||||||||||||
Realized Gain (Loss) |
| |||||||||||||||||||||||
Forward Contracts | $ | — | $ | — | $ | (451 | ) | $ | — | $ | — | $ | (451 | ) | ||||||||||
Futures Contracts | — | — | — | 2,514 | — | 2,514 | ||||||||||||||||||
Swaps Contracts | — | — | — | 3 | — | 3 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Realized Gain (Loss) | $ | — | $ | — | $ | (451 | ) | $ | 2,517 | $ | — | $ | (2,066 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Appreciation (Depreciation) |
| |||||||||||||||||||||||
Forward Contracts | $ | — | $ | — | $ | (7 | ) | $ | — | $ | — | $ | (7 | ) | ||||||||||
Futures Contracts | — | — | — | 2,791 | — | 2,791 | ||||||||||||||||||
Swaps Contracts | — | — | — | 34 | — | 34 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Change in Appreciation (Depreciation) | $ | — | $ | — | $ | (7 | ) | $ | 2,825 | $ | — | $ | 2,818 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Number of Contracts or Notional Amounts(2) |
| |||||||||||||||||||||||
Forward Currency Contracts | $ — | $ — | $14,721,693 | $ — | $ — | $14,721,693 | ||||||||||||||||||
Futures Contracts | — | — | — | 1,645 | — | 1,645 | ||||||||||||||||||
Swap Contracts | $ — | $ — | $— | $93,500,000 | $ — | $93,500,000 |
85
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
TCW Enhanced Commodity Strategy Fund
| ||||||||||||||||||||||||
Credit Risk | Commodity Risk | Foreign Currency Risk | Interest Rate Risk | Equity Risk | Total | |||||||||||||||||||
Statement of Asset and Liabilities |
| |||||||||||||||||||||||
Liability Derivatives |
| |||||||||||||||||||||||
Swaps Contracts | $ | — | $ | (17 | ) | $ | — | $ | — | $ | — | $ | (17 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Value | $ | — | $ | (17 | ) | $ | — | $ | — | $ | — | $ | (17 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Statement of Operations: |
| |||||||||||||||||||||||
Realized Gain (Loss) |
| |||||||||||||||||||||||
Swaps Contracts | $ | — | $ | (109 | ) | $ | — | $ | — | $ | — | $ | (109 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Realized Gain (Loss) | $ | — | $ | (109 | ) | $ | — | $ | — | $ | — | $ | (109 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Appreciation (Depreciation) |
| |||||||||||||||||||||||
Swaps Contracts | $ | — | $ | 39 | $ | — | $ | — | $ | — | $ | 39 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Realized Gain (Loss) | $ | — | $ | 39 | $ | — | $ | — | $ | — | $ | 39 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Notional Amounts(2) |
| |||||||||||||||||||||||
Swaps Contracts | $ — | $1,323,725 | $ — | $ — | $ — | $1,323,725 | ||||||||||||||||||
TCW Global Bond Fund
| ||||||||||||||||||||||||
Credit Risk | Commodity Risk | Foreign Currency Risk | Interest Rate Risk | Equity Risk | Total | |||||||||||||||||||
Statement of Asset and Liabilities |
| |||||||||||||||||||||||
Asset Derivatives |
| |||||||||||||||||||||||
Futures Contracts(1) | $ | — | $ | — | $ | — | $ | 39 | $ | — | $ | 39 | ||||||||||||
Forward Contracts | — | — | 11 | — | — | 11 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Value | $ | — | $ | — | $ | 11 | $ | 39 | $ | — | $ | 50 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liability Derivatives |
| |||||||||||||||||||||||
Forward Contracts(1) | $ | — | $ | — | $ | (18 | ) | $ | — | $ | — | $ | (18 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Value | $ | — | $ | — | $ | (18 | ) | $ | — | $ | — | $ | (18 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Statement of Operations: |
| |||||||||||||||||||||||
Realized Gain (Loss) |
| |||||||||||||||||||||||
Forward Contracts | $ | — | $ | — | $ | (30 | ) | $ | — | $ | — | $ | (30 | ) | ||||||||||
Futures Contracts | — | — | — | 64 | — | 64 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Realized Gain (Loss) | $ | — | $ | — | $ | (30 | ) | $ | 64 | $ | — | $ | 34 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Appreciation (Depreciation) |
| |||||||||||||||||||||||
Forward Contracts | $ | — | $ | — | $ | — | (1) | $ | — | $ | — | $ | — | (1) | ||||||||||
Futures Contracts | — | — | — | 100 | — | 100 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Change in Appreciation (Depreciation) | $ | — | $ | — | $ | 1 | $ | 100 | $ | — | $ | 101 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Number of Contracts or Notional Amounts(2) |
| |||||||||||||||||||||||
Forward Currency Contracts | $ — | $ — | $2,133,596 | $ — | $ — | $2,133,596 | ||||||||||||||||||
Futures Contracts | — | — | — | 35 | — | 35 |
86
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TCW Funds, Inc.
April 30, 2019
Note 2 — Significant Accounting Policies (Continued)
TCW High Yield Bond Fund
| ||||||||||||||||||||||||
Credit Risk | Commodity Risk | Foreign Currency Risk | Interest Rate Risk | Equity Risk | Total | |||||||||||||||||||
Statement of Asset and Liabilities |
| |||||||||||||||||||||||
Asset Derivatives |
| |||||||||||||||||||||||
Futures Contracts(1) | $ | — | $ | — | $ | — | $ | 7 | $ | — | $ | 7 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Value | $ | — | $ | — | $ | — | $ | 7 | $ | — | $ | 7 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liability Derivatives |
| |||||||||||||||||||||||
Futures Contracts(1) | $ | — | $ | — | $ | — | $ | (12 | ) | $ | — | $ | (12 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Value | $ | — | $ | — | $ | — | $ | (12 | ) | $ | — | $ | (12 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Statement of Operations: |
| |||||||||||||||||||||||
Realized Gain (Loss) |
| |||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | 34 | $ | — | $ | 34 | ||||||||||||
Swaps Contracts | (2 | ) | — | — | — | — | (2 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Realized Gain (Loss) | $ | (2 | ) | $ | — | $ | — | $ | 34 | $ | — | $ | 32 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Appreciation (Depreciation) |
| |||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | (4 | ) | $ | — | $ | (4 | ) | ||||||||||
Swaps Contracts | 1 | — | — | — | — | 1 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Change in Appreciation (Depreciation) | $ | 1 | $ | — | $ | — | $ | (4 | ) | $ | — | $ | (3 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Number of Contracts or Notional Amounts(2) |
| |||||||||||||||||||||||
Futures Contracts | — | — | — | 22 | — | 22 | ||||||||||||||||||
Swaps Contracts | 250,000 | — | — | — | — | 250,000 | ||||||||||||||||||
TCW Short Term Bond Fund
| ||||||||||||||||||||||||
Credit Risk | Commodity Risk | Foreign Currency Risk | Interest Rate Risk | Equity Risk | Total | |||||||||||||||||||
Statement of Asset and Liabilities |
| |||||||||||||||||||||||
Asset Derivatives |
| |||||||||||||||||||||||
Futures Contracts(1) | $ | — | $ | — | $ | — | $ | 1 | $ | — | $ | 1 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Value | $ | — | $ | — | $ | — | $ | 1 | $ | — | $ | 1 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Statement of Operations: |
| |||||||||||||||||||||||
Realized Gain (Loss) |
| |||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | 6 | $ | — | $ | 6 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Realized Gain (Loss) | $ | — | $ | — | $ | — | $ | 6 | $ | — | $ | 6 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Appreciation (Depreciation) |
| |||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | 6 | $ | — | $ | 6 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Change in Appreciation (Depreciation) | $ | — | $ | — | $ | — | $ | 6 | $ | — | $ | 6 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Number of Contracts(2) |
| |||||||||||||||||||||||
Futures Contracts | — | — | — | 3 | — | 3 |
87
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
TCW Total Return Bond Fund
| ||||||||||||||||||||||||
Credit Risk | Commodity Risk | Foreign Currency Risk | Interest Rate Risk | Equity Risk | Total | |||||||||||||||||||
Statement of Asset and Liabilities |
| |||||||||||||||||||||||
Asset Derivatives |
| |||||||||||||||||||||||
Futures Contracts(1) | $ | — | $ | — | $ | — | $ | 6,548 | $ | — | $ | 6,548 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Value | $ | — | $ | — | $ | — | $ | 6,548 | $ | — | $ | 6,548 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liability Derivatives |
| |||||||||||||||||||||||
Futures Contracts(1) | $ | — | $ | — | $ | — | $ | (537 | ) | $ | — | $ | (537 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Value | $ | — | $ | — | $ | — | $ | (537 | ) | $ | — | $ | (537 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Statement of Operations: |
| |||||||||||||||||||||||
Realized Gain (Loss) |
| |||||||||||||||||||||||
Forward Contracts | $ | — | $ | — | $ | (3,128 | ) | $ | — | $ | — | $ | (3,128 | ) | ||||||||||
Futures Contracts | — | — | — | 10,547 | — | 10,547 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Realized Gain (Loss) | $ | — | $ | — | $ | (3,128 | ) | $ | 10,547 | $ | — | $ | 7,419 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Appreciation (Depreciation) |
| |||||||||||||||||||||||
Forward Contracts | $ | — | $ | — | $ | (35 | ) | $ | — | $ | — | $ | (35 | ) | ||||||||||
Futures Contracts | — | — | — | 13,582 | — | 13,582 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Change in Appreciation (Depreciation) | $ | — | $ | — | $ | (35 | ) | $ | 13,582 | $ | — | $ | 13,547 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Number of Contracts or Notional Amounts(2) |
| |||||||||||||||||||||||
Forward Currency Contracts | $ — | $ — | $113,360,206 | $ — | $ — | $113,360,206 | ||||||||||||||||||
Futures Contracts | — | — | — | 8,395 | — | 8,395 |
(1) | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only variation margin on April 30, 2019 is reported within the Statement of Assets and Liabilities. |
(2) | Amount disclosed represents average number of contracts or notional amounts, which are representative of the volume traded for the period ended April 30, 2019. |
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.
88
Table of Contents
TCW Funds, Inc.
April 30, 2019
Note 2 — Significant Accounting Policies (Continued)
For OTC derivatives, the Funds entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) with each counterparty. An ISDA Master Agreement is a bilateral agreement between the Funds and a counterparty that governs OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Funds may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event a Fund’s net assets declines by a stated percentage or a Fund fails to meet the terms of its ISDA Master Agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.
Collateral requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral pledged or received by a Fund.
Cash collateral that has been pledged to cover obligations of a Fund is reported separately on the Statement of Assets and Liabilities.Non-cash collateral pledged by a Fund, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold, typically $250,000 or $500,000, before a transfer is required, which is determined at the close of each business day and the collateral is transferred on the next business day. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterpartynon-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 ASUNo. 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 and net of the related collateral received by the Funds as of April 30, 2019 (in thousands):
TCW Enhanced Commodity Strategy Fund
Counterparty | Gross Assets Subject to Master Agreements | Gross Liabilities Subject to Master Agreements | Net Assets (Liabilities) Subject to Master Agreements | Collateral Pledged (Received) | Net Amount (1) | |||||||||||||||
Credit Suisse International | $ | — | $ | (17 | ) | $ | (17 | ) | $ | 17 | (2) | $ | — | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | — | $ | (17 | ) | $ | (17 | ) | $ | 17 | (2) | $ | — | |||||||
|
|
|
|
|
|
|
|
|
|
(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
(2) | Amount does not include excess collateral pledged or received. |
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Note 2 — Significant Accounting Policies (Continued)
TCW Global Bond Fund
Counterparty | Gross Assets Subject to Master Agreements | Gross Liabilities Subject to Master Agreements | Net Assets (Liabilities) Subject to Master Agreements | Collateral Pledged (Received) | Net Amount (1) | |||||||||||||||
Citibank N.A. | $ | — | $ | (7 | ) | $ | (7 | ) | $ | — | $ | (7 | ) | |||||||
State Street Bank & Trust | 5 | (11 | ) | (6 | ) | — | (6 | ) | ||||||||||||
Goldman Sachs & Co. | 6 | — | 6 | — | 6 | |||||||||||||||
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Total | $ | 11 | $ | (18 | ) | $ | (7 | ) | $ | — | $ | (7 | ) | |||||||
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(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
Note 3 — Portfolio Investments
Mortgage-Backed Securities: The Funds may invest in MBS which represent interests in pools of mortgages in which payments of both principal and interest on the securities are generally made monthly, in effect “passing through” monthly payments made by borrowers on the residential or commercial mortgage loans which underlie the securities (net of any fees paid to the issuer or guarantor of the securities). Mortgage pass-through securities differ from other forms of debt securities which normally provide for periodic payment of interest in fixed amounts with principal payments at maturity or specified call dates. The Funds may also invest in Collateralized Mortgage Obligations (“CMOs”). CMOs are debt obligations collateralized by residential or commercial mortgage loans or residential or commercial mortgage pass-through securities. Interest and principal are generally paid monthly. CMOs may be collateralized by whole mortgage loans or private mortgage pass-through securities but are more typically collateralized by portfolios of mortgage pass-through securities guaranteed by Ginnie Mae, Freddie Mac or Fannie Mae. The issuer of a series of CMOs may elect to be treated for tax purposes as a Real Estate Mortgage Investment Conduit. CMOs are structured into multiple classes, each bearing a different stated maturity. Monthly payment of principal received from the pool of underlying mortgages, including prepayments, is first returned to investors holding the shortest maturity class. Investors holding the longer maturity classes usually receive principal only after shorter classes have been retired. An investor may be partially protected against a sooner than desired return of principal because of the sequential payments. The Funds may invest in stripped MBS. Stripped MBS are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. In certain cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). The yield to maturity on IOs is sensitive to the rate of principal repayments (including prepayments) on the related underlying mortgage assets, and principal payments may have a material effect on yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may not fully recoup its initial investment in IOs.
Inflation-Indexed Bonds: The Funds may invest in inflation-indexed bonds, which are fixed income securities whose principal value or coupon is periodically adjusted according to the rate of inflation. Any increase or decrease in the principal amount of an inflation-indexed bond will be included as interest income.
Inflation-indexed securities issued by the U.S. Treasury have maturities of five, ten, twenty, or thirty years, although it is possible that securities with other maturities will be issued in the future. The U.S. Treasury securities pay interest on a semi-annual basis, equal to a fixed percentage of the inflation-adjusted principal amount.
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If the periodic adjustment rate measuring inflation falls, the principal value of inflation-indexed bonds will be adjusted downward, and consequently the interest payable on these securities (calculated with respect to a smaller principal amount) will be reduced. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds, even during a period of deflation. However, the current market value of the bonds is not guaranteed, and will fluctuate. The Funds may also invest in other inflation related bonds which may or may not provide a similar guarantee. If a guarantee of principal is not provided, the adjusted principal value of the bond repaid at maturity may be less than the original principal.
The value of inflation-indexed bonds is expected to change in response to changes in real interest rates. Real interest rates in turn are tied to the relationship between nominal interest rates and the rate of inflation. Therefore, if inflation were to rise at a faster rate than nominal interest rates, real interest rates might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increased at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds.
While the values of these securities are expected to be protected from long-term inflationary trends, short term increases in inflation may lead to declines in values. If interest rates rise due to reasons other than inflation (for example, due to changes in currency exchange rates), investors in these securities may not be protected to the extent that the increase is not reflected in the bond’s inflation measure.
When-Issued, Delayed-Delivery, To be Announced (“TBA”) and Forward Commitment Transactions: The Funds may enter into when-issued, delayed-delivery, TBA or forward commitment transactions in order to lock in the purchase price of the underlying security or to adjust the interest rate exposure of the Funds’ existing portfolios. In when-issued, delayed-delivery, or forward commitment transactions, a Fund commits to purchase securities, with payment and delivery to take place at a future date. Although the Fund does not pay for the securities or start earning interest on them until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If a Fund’s counterparty fails to deliver a security purchased on a when-issued, delayed-delivery, TBA or forward commitment basis, there may be a loss, and that Fund may have missed an opportunity to make an alternative investment.
Prior to settlement of these transactions, the value of the subject securities will fluctuate with market movement. In addition, because a Fund is not required to pay for when-issued, delayed-delivery, TBA or forward commitment securities until the delivery date, they may result in a form of leverage to the extent a Fund does not set aside liquid assets to cover the commitment. To guard against the deemed leverage, the Fund monitors the obligations under these transactions and ensures that the Fund has sufficient liquid assets to cover them.
Dollar Roll Transactions: The Funds may enter into dollar roll transactions with financial institutions to take advantage of opportunities in the MBS market. A dollar roll transaction involves a simultaneous sale of securities by a Fund with an agreement to repurchase substantially similar securities at an agreed upon price and date, but generally will be collateralized at time of delivery by different pools of mortgages with different prepayment histories than those securities sold. These transactions are accounted for as financing transactions as opposed to sales and purchases. The differential between the sale price and the repurchase price is recorded as deferred income and recognized between the settlement dates of the sale and repurchase. During the period between the sale and repurchase, a Fund will not be entitled to receive interest and principal payments on the securities sold. Dollar roll transactions involve risk that the market
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Notes to Financial Statements (Unaudited) (Continued)
Note 3 — Portfolio Investments (Continued)
value of the security sold by a Fund may decline below the repurchase price of the security and the potential inability of counterparties to complete the transaction. There were no such transactions by the Funds for the period ended April 30, 2019.
Repurchase Agreements: The Funds may enter into repurchase agreements, under the terms of a Master Repurchase Agreement (“MRA”). In a repurchase agreement, the Funds purchase a security from a counterparty who agrees to repurchase the same security at a mutually agreed upon date and price. The MRA permits a Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of a MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, each Fund receives securities as collateral with a market value in excess of the repurchase price. Upon a bankruptcy or insolvency of the MRA counterparty, a Fund recognizes a liability with respect to such excess collateral to reflect the Fund’s obligation under bankruptcy law to return the excess to the counterparty. There were no repurchase agreements outstanding as of April 30, 2019.
Reverse Repurchase Agreements: The Funds may enter into reverse repurchase agreements. Under a reverse repurchase agreement, a Fund sells portfolio assets subject to an agreement by the Fund to repurchase the same assets at an agreed upon price and date. The Funds may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. During the term of the reverse repurchase agreement, the Funds continue to receive the principal and interest payments on the securities sold. There were no reverse repurchase agreements outstanding during the period ended April 30, 2019.
Security Lending: The Funds may lend their securities to qualified brokers. The loans must be collateralized at all times primarily with cash although the Funds can accept money market instruments or U.S. Government securities with a market value at least equal to the market value of the securities on loan. As with any extensions of credit, the Funds may bear the risk of delay in recovery or even loss of rights in the collateral if the borrowers of the securities fail financially. The Funds earn additional income for lending their securities by investing the cash collateral in short-term investments. The Funds did not lend any securities during the period ended April 30, 2019.
Derivatives:
Forward Foreign Currency Contracts: The Funds enter into forward foreign currency contracts as a hedge against fluctuations in foreign exchange rates. Forward foreign currency contracts are marked to market daily and the change in market value is recorded by the Funds as unrealized gains or losses in the Statement of Assets and Liabilities. When a contract is closed or delivery is taken, a Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of the foreign currency relative to the U.S. dollar. The TCW Core Fixed Income Fund, the TCW Global Bond Fund and the TCW Total Return Bond Fund entered into forward foreign currency contracts during the period to hedge against the foreign currency exposure within the Funds. Outstanding foreign currency forward contracts at April 30, 2019 are disclosed in the Schedule of Investments.
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Note 3 — Portfolio Investments (Continued)
Futures Contracts: The Funds may enter into futures contracts. A Fund may seek to manage a variety of different risks through the use of futures contracts, such as interest rate risk, equity price risk, and currency risk. A Fund may use index futures to hedge against broad market risks to its portfolio or to gain broad market exposure. Securities index futures contracts are contracts to buy or sell units of a securities index at a specified future date at a price agreed upon when the contract is made and are settled in cash. Positions in futures may be closed out only on an exchange or board of trade which provides a secondary market for such futures. Because futures contracts are exchange-traded, they typically have minimal exposure to counterparty risk. Parties to a futures contract are not required to post the entire notional amount of the contract, but rather a small percentage of that amount (by way of margin), both at the time they enter into futures transactions, and then on a daily basis if their positions decline in value; as a result, futures contracts are highly leveraged. Such payments are known as variation margin and are recorded by a Fund as unrealized gains or losses. Because futures markets are highly leveraged, they can be extremely volatile, and there can be no assurance that the pricing of a futures contract will correlate precisely with the pricing of the asset or index underlying it or the asset or liability of a Fund that is the subject of the hedge. It may not always be possible for a Fund to enter into a closing transaction with respect to a futures contract it has entered into at a favorable time or price. When a Fund enters into a futures transaction, it is subject to the risk that the value of the futures contract will move in a direction unfavorable to it.
When a Fund uses futures contracts for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part. When a futures contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The TCW Core Fixed Income Fund, the TCW Global Bond Fund, the TCW High Yield Bond Fund, the TCW Short Term Bond Fund and the TCW Total Return Bond Fund utilized futures during the period ended April 30, 2019 to help manage interest rate duration of those Funds. Futures contracts outstanding at April 30, 2019 are listed on the Schedule of Investments.
Swap Agreements. The Funds may enter into swap agreements. Swap agreements are typicallytwo-party contracts entered into primarily by institutional investors. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments, which may be adjusted for an interest factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount” (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or in a “basket” of securities representing a particular index).
In a total return swap, one party typically agrees to pay to the other a short-term interest rate in return for a payment at one or more times in the future based on the increase in the value of an underlying security or other asset, or index of securities or assets; if the underlying security, asset, or index declines in value, the party that pays the short-term interest rate must also pay to its counterparty a payment based on the amount of the decline. A Fund may take either side of such a swap, and so may take a long or short position in the underlying security, asset, or index. A Fund may enter into a total return swap to hedge against an exposure in its portfolio — such as interest rate risk (including to adjust the duration or credit quality of a Fund’s bond portfolio), equity risk, or credit risk — or generally to put cash to work efficiently in the markets in anticipation of, or as a replacement for, cash investments. A Fund may also enter into a total return swap to gain exposure to securities or markets in which it might not be able to invest directly (in so called market access transactions).
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Note 3 — Portfolio Investments (Continued)
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 benon-transferable or otherwise highly illiquid, and a Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.
During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking to market to reflect the market value of the swap. When the swap is terminated, a Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from the closing transaction and the Fund’s basis in the agreement. Upfront swap premium payments paid or received by a Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gains or losses on each Fund’s Statement of Operations upon termination or maturity of the swap agreement.
During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security. These periodic payments received or made by the Funds are recorded as
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Note 3 — Portfolio Investments (Continued)
realized gains and losses, respectively. During the period ended April 30, 2019, the TCW Core Fixed Income Fund entered into interest rate swaps to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed-rate bonds which may decrease when interest rates rise (interest rate risk); the TCW 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.
Note 4 — Risk Considerations
Market Risk: The Funds’ investments will fluctuate with market conditions, so will the value of your investment in the Funds. You could lose money on your investment in the Funds or the Funds could underperform other investments.
Liquidity Risk: The Funds’ investments in illiquid securities may reduce the returns of the Funds because they may not be able to sell the illiquid securities at an advantageous time or price. Investments in high yield securities, foreign securities, derivatives or other securities with substantial market and/or credit risk tend to have the greatest exposure to liquidity risk. Certain investments in private placements and Rule 144A securities may be considered illiquid investments. The Funds may invest in private placements and Rule 144A securities.
Interest Rate Risk: The values of the Funds’ investments fluctuate in response to movements in interest rates. If rates rise, the values of debt securities generally fall. The longer the average duration of a Fund’s investment portfolio, the greater the change in value.
Mortgage-Backed Securities Risk: Each Fund may invest in mortgage-backed securities. The values of some mortgage-backed securities may expose a Fund to a lower rate of return upon reinvestment of principal. When interest rates rise, the value of mortgage-related securities generally will decline; however, when interest rates are declining, the value of mortgage related-securities with prepayment features may not increase as much as other fixed-income securities. The rate of prepayments on underlying mortgages will affect the price and volatility of a mortgage-related security, and may shorten or extend the effective maturity of the security beyond what was anticipated at the time of purchase. The value of these securities may fluctuate in response to the market’s perception of the creditworthiness of the issuers. Additionally, although mortgages and mortgage-related securities are generally supported by some form of government or private guarantee and/or insurance, there is no assurance that private guarantors or insurers will meet their obligations.
Derivatives Risk: Use of derivatives, which at times is an important part of the Funds’ investment strategies, involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Investments in derivatives could cause the Funds to lose more than the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances and there can be no assurance that the Funds will achieve their objective through the use of the derivatives.
Credit Risk: The values of any of the Funds’ investments may also decline in response to events affecting the issuer or its credit rating. The lower rated debt securities in which a Fund may invest are considered speculative and are subject to greater volatility and risk of loss than investment-grade securities, particularly in deteriorating economic conditions. The value of some mortgage-related securities in which the Funds invest also may fall because of unanticipated levels of principal prepayments that can occur
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Note 4 — Risk Considerations (Continued)
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, primenon-conforming loans,Alt-A loans, subprime loans, commercial loans, etc.). In many cases, the classification incorporates a degree of subjectivity: a particular loan might be categorized as “prime” by the underwriting standards of one mortgage issuer while another might classify the loan as “subprime.” In addition to other functions, the risk associated with an investment in a mortgage loan must take into account the nature of the collateral, the form and the level of credit enhancement, the vintage of the loan, the geography of the loan, the purpose of the loan (refinance versus purchase versus equity takeout), the borrower’s credit quality (e.g., FICO score), and whether the loan is a first trust deed or a second lien.
Counterparty Risk: The Funds may be exposed to counterparty risk, the risk that an entity with which the Funds have unsettled or open transactions may not fulfill its obligations.
Commodities Risk: The TCW Enhanced Commodity Strategy Fund has exposure to commodity markets through its investments in total return swap agreements. Therefore, the price of its shares is affected by factors particular to the commodity markets and may decline and fluctuate more than the price of shares of a fund with a broader range of investments. Commodity prices can be extremely volatile and are affected by many factors, including changes in overall market movements, real or perceived inflationary trends, commodity index volatility, changes in interest rates or currency exchange rates, population growth and changing demographics, nationalization, expropriation, or other confiscation, international regulatory, political and economic developments (e.g., regime changes and changes in economic activity levels), and developments affecting a particular industry or commodity, such as drought, floods or other weather conditions, livestock disease, trade embargoes, competition from substitute products, transportation bottlenecks or shortages, fluctuations in supply and demand and tariffs.
Foreign Currency Risk: The Funds may be exposed to the risk that the value of the Funds’ investments denominated in foreign currencies will decline in value because the foreign currencies have declined in value relative to the U.S. dollar.
Foreign Investment Risk: The Funds may be exposed to the risk that the Funds’ share prices will fluctuate with market conditions, currency exchange rates and the economic and political climates in countries where the Funds invest.
For complete information on the various risks involved, please refer to the Funds’ prospectus and the Statement of Additional Information which can be obtained on the Funds’ website (www.tcw.com) or by calling the customer service.
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Note 5 — Federal Income Taxes
It is the policy of each Fund to comply with the requirements under Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its net taxable income, including any net realized gains on investments, to its shareholders. Therefore, no federal income tax provision is required.
At April 30, 2019, 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 | $ | 16,347 | $ | (7,168 | ) | $ | 9,179 | $ | 1,158,318 | |||||||
TCW Enhanced Commodity Strategy Fund | 35 | — | 35 | 1,158 | ||||||||||||
TCW Global Bond Fund | 521 | (640 | ) | (119 | ) | 16,837 | ||||||||||
TCW High Yield Bond Fund | 378 | (226 | ) | 152 | 17,661 | |||||||||||
TCW Short Term Bond Fund | 12 | (32 | ) | (20 | ) | 6,464 | ||||||||||
TCW Total Return Bond Fund | 316,533 | (103,186) | 213,347 | 6,212,386 |
At October 31, 2018, 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 | $ | 3,339 | $ | — | $ | 3,339 | ||||||
TCW Enhanced Commodity Strategy Fund | 5 | — | 5 | |||||||||
TCW High Yield Bond Fund | 80 | — | 80 | |||||||||
TCW Short Term Bond Fund | 49 | — | 49 | |||||||||
TCW Total Return Bond Fund | 49,461 | — | 49,461 |
During the year ended October 31, 2018, 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 | $ | 36,700 | $ | — | $ | 36,700 | ||||||
TCW Enhanced Commodity Strategy Fund | 32 | — | 32 | |||||||||
TCW Global Bond Fund | 92 | 17 | 109 | |||||||||
TCW High Yield Bond Fund | 799 | — | 799 | |||||||||
TCW Short Term Bond Fund | 167 | — | 167 | |||||||||
TCW Total Return Bond Fund | 275,920 | — | 275,920 |
At October 31, 2018, the following Funds had net realized loss carryforwards for federal income tax purposes (amounts in thousands):
No Expiration(2) | ||||||||||||||||
Expiring In 2019 (1) | Short-Term Capital Losses | Long-Term Capital Losses | Total | |||||||||||||
TCW Core Fixed Income Fund | $ | — | $ | 44,342 | $ | 5,513 | $ | 49,855 | ||||||||
TCW Enhanced Commodity Strategy Fund | — | — | (3) | — | (3) | — | (3) | |||||||||
TCW Global Bond Fund | — | 103 | 36 | 139 | ||||||||||||
TCW High Yield Bond Fund | — | 279 | 504 | 783 | ||||||||||||
TCW Short Term Bond Fund | 111 | 143 | 206 | 460 | ||||||||||||
TCW Total Return Bond Fund | — | 339,535 | 34,314 | 373,849 |
(1) | Losses incurred prior to December 22, 2010. |
(2) | Losses incurred after December 22, 2010. |
(3) | Amount rounds to less than $1. |
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Note 5 — Federal Income Taxes (Continued)
The Funds did not have any unrecognized tax benefits at April 30, 2019, nor were there any increases or decreases in unrecognized tax benefits for the six months ended April 30, 2019. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three and four fiscal years, respectively.
Note 6 — Fund Management Fees and Other Expenses
The Funds pay to the Advisor, as compensation for services rendered, facilities furnished and expenses borne by it, the following annual management fees as a percentage of daily NAV:
TCW Core Fixed Income Fund | 0.40% | |||
TCW Enhanced Commodity Strategy Fund | 0.50% | |||
TCW Global Bond Fund | 0.50% | (1) | ||
TCW High Yield Bond Fund | 0.45% | |||
TCW Short Term Bond Fund | 0.35% | |||
TCW Total Return Bond Fund | 0.50% |
(1) | From November 1, 2018 through December 31, 2018 the management fee was 0.55%. |
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 | 0.73% | (1) | ||
TCW Enhanced Commodity Strategy Fund | ||||
I Class | 0.70% | (1) | ||
N Class | 0.75% | (1) | ||
TCW Global Bond Fund | ||||
I Class | 0.60% | (1)(2) | ||
N Class | 0.70% | (1)(2) | ||
TCW High Yield Bond Fund | ||||
I Class | 0.55% | (1) | ||
N Class | 0.80% | (1) | ||
TCW Short Term Bond Fund | ||||
I Class | 0.44% | (1) | ||
TCW Total Return Bond Fund | ||||
I Class | 0.49% | (1) | ||
N Class | 0.79% | (1) |
(1) | These limitations are based on an agreement between the Advisor and Company. |
(2) | This limitation was in effect January 1, 2019. From November 1, 2018 through December 31, 2018 the expense limitation was 1.04% for Class I and Class N. |
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 aNon-Qualified Deferred Compensation Plan. Deferred compensation is included within directors’ fees and expenses in the Statements of Assets and Liabilities.
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Note 7— Distribution Plan
TCW Funds Distributors LLC (“Distributor”), an affiliate of the Advisor and the Funds, serves as the nonexclusive distributor of each class of the Funds’ shares. The Funds have a distribution plan pursuant to Rule12b-1 under the 1940 Act with respect to the N Class shares of each Fund. Under the terms of the plan, each Fund compensates the Distributor at a rate equal to 0.25% of the average daily net assets of the Fund attributable to its N Class shares for distribution and related services.
Note 8— Purchases and Sales of Securities
Investment transactions (excluding short-term investments) for the period ended April 30, 2019 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 | $ | 86,499 | (1) | $ | 231,819 | $ | 999,991 | $ | 1,034,891 | |||||||
TCW Enhanced Commodity Strategy Fund | 550 | 57 | 334 | 318 | ||||||||||||
TCW Global Bond Fund | 4,304 | 4,207 | 1,704 | 1,318 | ||||||||||||
TCW High Yield Bond Fund | 9,968 | 6,037 | — | — | ||||||||||||
TCW Short Term Bond Fund | 470 | 833 | 6,318 | 6,917 | ||||||||||||
TCW Total Return Bond Fund | 80,416 | (2) | 129,511 | 5,409,679 | 5,985,879 |
(1) | Purchases include the Fund’s purchase of a security from an affiliated investment account for a total of $13,285 (amount in thousands) in accordance with the provisions set forth inSection 17(a)-7 of the 1940 Act. |
(2) | Purchases include the Fund’s purchase of a security from an affiliated investment account for a total of $1,763 (amount in thousands) in accordance with the provisions set forth inSection 17(a)-7 of the 1940 Act. |
Note 9 — Capital Share Transactions
Transactions in each Fund’s shares were as follows:
TCW Core Fixed Income Fund | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 11,682,408 | $ | 126,457 | 31,871,049 | $ | 344,924 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,365,624 | 14,682 | 2,461,509 | 26,542 | ||||||||||||
Shares Redeemed | (22,783,128 | ) | (245,407 | ) | (67,085,708 | ) | (721,296 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (9,735,096 | ) | $ | (104,268 | ) | (32,753,150 | ) | $ | (349,830 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 1,982,229 | $ | 21,268 | 6,167,589 | $ | 66,350 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 296,552 | 3,180 | 493,732 | 5,307 | ||||||||||||
Shares Redeemed | (5,788,332 | ) | (62,199 | ) | (13,445,430 | ) | (144,594 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (3,509,551 | ) | $ | (37,751 | ) | (6,784,109 | ) | $ | (72,937 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
TCW Enhanced Commodity Strategy Fund | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | — | $ | — | 91,408 | $ | 500 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,753 | 8 | 4,198 | 22 | ||||||||||||
Shares Redeemed | (92,757 | ) | (432 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (91,004 | ) | $ | (424 | ) | 95,606 | $ | 522 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | — | $ | — | — | $ | — | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,197 | 6 | 1,943 | 10 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 1,197 | $ | 6 | 1,943 | $ | 10 | ||||||||||
|
|
|
|
|
|
|
|
99
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 9 — Capital Share Transactions (Continued)
TCW Global Bond Fund | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 5,125 | $ | 50 | 11,813 | $ | 115 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 8,216 | 79 | 7,300 | 71 | ||||||||||||
Shares Redeemed | (1,196 | ) | (11 | ) | (12,111 | ) | (119 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 12,145 | $ | 118 | 7,002 | $ | 67 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 19 | $ | — | 68 | $ | 1 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 6,948 | 67 | 6,434 | 63 | ||||||||||||
Shares Redeemed | (50 | ) | — | (2,263 | ) | (22 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 6,917 | $ | 67 | 4,239 | $ | 42 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW High Yield Bond Fund | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 533,184 | $ | 3,324 | 572,054 | $ | 3,575 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 36,288 | 226 | 67,107 | 421 | ||||||||||||
Shares Redeemed | (296,229 | ) | (1,841 | ) | (1,606,329 | ) | (10,063 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 273,243 | $ | 1,709 | (967,168 | ) | $ | (6,067 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 691,558 | $ | 4,355 | 380,994 | $ | 2,407 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 24,760 | 155 | 37,265 | 235 | ||||||||||||
Shares Redeemed | (232,971 | ) | (1,447 | ) | (684,444 | ) | (4,324 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 483,347 | $ | 3,063 | (266,185 | ) | $ | (1,682 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Short Term Bond Fund | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 67,714 | $ | 580 | 262,262 | $ | 2,251 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 10,622 | 91 | 17,601 | 151 | ||||||||||||
Shares Redeemed | (199,036 | ) | (1,709 | ) | (349,163 | ) | (2,997 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (120,700 | ) | $ | (1,038 | ) | (69,300 | ) | $ | (595 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
TCW Total Return Bond Fund | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 89,049,348 | $ | 859,381 | 204,848,174 | $ | 2,002,728 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 6,688,460 | 64,503 | 12,103,452 | 118,065 | ||||||||||||
Shares Redeemed | (143,977,974 | ) | (1,386,941 | ) | (338,581,903 | ) | (3,293,006 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (48,240,166 | ) | $ | (463,057 | ) | (121,630,277 | ) | $ | (1,172,213 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 7,611,780 | $ | 75,909 | 13,094,820 | $ | 131,597 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 2,168,206 | 21,553 | 4,256,561 | 42,830 | ||||||||||||
Shares Redeemed | (21,333,626 | ) | (212,087 | ) | (87,235,011 | ) | (881,050 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (11,553,640 | ) | $ | (114,625 | ) | (69,883,630 | ) | $ | (706,623 | ) | ||||||
|
|
|
|
|
|
|
|
100
Table of Contents
TCW Funds, Inc.
April 30, 2019
Note 10—Affiliate Ownership
As of April 30, 2019, affiliates of the Funds and Advisor owned 99.83%, and 97.02% of the NAV of TCW Enhanced Commodity Strategy Fund and the TCW Global Bond Fund, respectively.
Note 11— Restricted Securities
The Funds are permitted to invest in securities that have legal or contractual restrictions on resale. These securities may be sold privately, but are required to be registered before being sold to the public (exemption rules apply). Private placement securities are generally considered to be restricted except for those securities traded between qualified institutional investors under the provisions of Rule 144A of the Securities Act of 1933, as amended (the “Securities Act”). However, the Company considers 144A securities to be restricted if those securities have been deemed illiquid. Disposal of these securities may involve time consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Restricted securities held by the Funds at April 30, 2019 are listed below:
TCW Core Fixed Income Fund
Issuer Description | Acquisition Date | Acquisition Cost | Aggregate Value | Percentage of Net Assets | ||||||||||
Alta Wind Holdings LLC, (144A), 7%, due 06/30/35 | 7/14/10 | $ | 979,334 | $ | 1,002,005 | 0.09 | % | |||||||
|
|
|
|
|
| |||||||||
TCW Enhanced Commodity Strategy Fund |
| |||||||||||||
Issuer Description | Acquisition Date | Acquisition Cost | Aggregate Value | Percentage of Net Assets | ||||||||||
LB-UBS Commercial Mortgage Trust(06-C6 XCL), (144A), 0.685%, due 09/15/39 | 7/15/16 | $ | 993 | $ | 6,187 | 0.50 | % | |||||||
|
|
|
|
|
| |||||||||
TCW Global Bond Fund |
| |||||||||||||
Issuer Description | Acquisition Date | Acquisition Cost | Aggregate Value | Percentage of Net Assets | ||||||||||
Bank of America-First Union NB Commercial Mortgage(01-3-XC), (144A), 1.190%, due 04/11/37 | 3/26/15 | $ | 0 | $ | 14,887 | 0.09 | % | |||||||
Morgan Stanley Capital I Trust(99-RM1-X), (144A), | 3/26/15 | 0 | 138 | 0.00 | % | |||||||||
|
|
|
|
|
| |||||||||
$ | 0 | $ | 15,025 | 0.09 | % | |||||||||
|
|
|
|
|
| |||||||||
TCW Short Term Bond Fund
|
| |||||||||||||
Issuer Description | Acquisition Date | Acquisition Cost | Aggregate Value | Percentage of Net Assets | ||||||||||
Citigroup Commercial Mortgage Trust(12-GC8-XA) (I/O) 1.95% due 09/10/45 | 2/6/19 | $ | 8,079 | $ | 7,467 | 0.12 | % | |||||||
|
|
|
|
|
|
Note 12 — Committed Line Of Credit
The Funds have entered into a $100,000,000 committed revolving line of credit agreement with the State Street Bank and Trust Company (the “Bank”) for temporary borrowing purposes renewable annually. The interest rate on borrowing is the higher of the federal funds rate or the overnight LIBOR rate, plus 1.25%. There were no borrowings from the line of credit as of or during the period ended April 30, 2019. 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.
101
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 13— Indemnifications
Under the Company’s organizational documents, its Officers and Directors may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Company. In addition, the Company entered into an agreement with each of the Directors which provides that the Company will indemnify and hold harmless each Director against any expenses actually and reasonably incurred by such Director in any proceeding arising out of or in connection with the Director’s services to the Company, to the fullest extent permitted by the Company’s Articles of Incorporation andBy-Laws, the Maryland General Corporation Law, the Securities Act, and the 1940 Act, each as now or hereinafter in force. Additionally, in the normal course of business, the Company enters into agreements with service providers that may contain indemnification clauses. The Company’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Company that have not yet occurred. However, based on experience, the Company expects the risk of loss to be remote. The Company has not accrued any liability in connection with such indemnification.
Note 14 — New Accounting Pronouncement
In August 2018, the FASB released Accounting Standards Update (ASU)2018-13, which changes the fair value measurement disclosure requirements of Topic 820. The amendments in this ASU are the result of a broader disclosure project called FASB Concept Statement, Conceptual Framework for Financial Reporting — Chapter 8: Notes to Financial Statements. The objective and primary focus of the project are to improve the effectiveness of disclosures in the notes to the financial statements by facilitating clear communication of the information required by GAAP that is most important to users of the financial statements. The ASU is effective for all entities for fiscal years beginning after December 15, 2019, including interim periods therein. Early adoption is permitted for any eliminated or modified disclosures upon issuance of the ASU. Management is currently evaluating the impact of the ASU to the financial statements.
102
Table of Contents
Financial Highlights — I Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 10.52 | $ | 10.99 | $ | 11.28 | $ | 11.14 | $ | 11.22 | $ | 10.97 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income(1) | 0.15 | 0.25 | 0.22 | 0.19 | 0.18 | 0.21 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.42 | (0.45 | ) | (0.15 | ) | 0.24 | (0.04 | ) | 0.24 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.57 | (0.20 | ) | 0.07 | 0.43 | 0.14 | 0.45 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.16 | ) | (0.27 | ) | (0.23 | ) | (0.19 | ) | (0.19 | ) | (0.20 | ) | ||||||||||||
Distributions from Net Realized Gain | — | — | (0.13 | ) | (0.10 | ) | (0.03 | ) | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.16 | ) | (0.27 | ) | (0.36 | ) | (0.29 | ) | (0.22 | ) | (0.20 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 10.93 | $ | 10.52 | $ | 10.99 | $ | 11.28 | $ | 11.14 | $ | 11.22 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 5.41 | % (2) | (1.87 | )% | 0.68 | % | 3.97 | % | 1.25 | % | 4.14 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 907,714 | $ | 975,741 | $ | 1,379,196 | $ | 1,421,267 | $ | 1,109,630 | $ | 646,372 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 0.53 | % (3) | 0.51 | % | 0.51 | % | 0.51 | % | 0.50 | % | 0.49 | % | ||||||||||||
After Expense Reimbursement | 0.49 | % (3) | 0.49 | % | 0.49 | % | 0.49 | % | 0.49 | % | 0.47 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.84 | % (3) | 2.34 | % | 1.96 | % | 1.70 | % | 1.57 | % | 1.92 | % | ||||||||||||
Portfolio Turnover Rate | 91.10 | % (2) | 267.96 | % | 287.39 | % | 283.38 | % | 332.85 | % | 249.94 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2019 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
103
Table of Contents
TCW Core Fixed Income Fund
Financial Highlights — N Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 10.49 | $ | 10.96 | $ | 11.25 | $ | 11.12 | $ | 11.20 | $ | 10.97 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income(1) | 0.14 | 0.23 | 0.19 | 0.16 | 0.14 | 0.18 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.41 | (0.46 | ) | (0.15 | ) | 0.24 | (0.03 | ) | 0.22 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.55 | (0.23 | ) | 0.04 | 0.40 | 0.11 | 0.40 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.14 | ) | (0.24 | ) | (0.20 | ) | (0.17 | ) | (0.16 | ) | (0.17 | ) | ||||||||||||
Distributions from Net Realized Gain | — | — | (0.13 | ) | (0.10 | ) | (0.03 | ) | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.14 | ) | (0.24 | ) | (0.33 | ) | (0.27 | ) | (0.19 | ) | (0.17 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 10.90 | $ | 10.49 | $ | 10.96 | $ | 11.25 | $ | 11.12 | $ | 11.20 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 5.31 | % (2) | (2.10 | )% | 0.41 | % | 3.66 | % | 1.00 | % | 3.68 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 242,840 | $ | 270,477 | $ | 356,930 | $ | 487,223 | $ | 542,103 | $ | 608,129 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 0.82 | % (3) | 0.81 | % | 0.79 | % | 0.79 | % | 0.79 | % | 0.80 | % | ||||||||||||
After Expense Reimbursement | 0.71 | % (3) | 0.72 | % | 0.75 | % | 0.77 | % | 0.79 | % (4) | N/A | |||||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.62 | % (3) | 2.12 | % | 1.69 | % | 1.41 | % | 1.25 | % | 1.59 | % | ||||||||||||
Portfolio Turnover Rate | 91.10 | % (2) | 267.96 | % | 287.39 | % | 283.38 | % | 332.85 | % | 249.94 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2019 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
(4) | Reimbursement is less than 0.01%. |
See accompanying notes to financial statements.
104
Table of Contents
TCW Enhanced Commodity Strategy Fund
Financial Highlights — I Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 5.01 | $ | 5.20 | $ | 5.15 | $ | 5.30 | $ | 7.18 | $ | 7.61 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.07 | 0.11 | 0.12 | 0.04 | 0.05 | 0.10 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.10 | ) | (0.20 | ) | 0.10 | (0.14 | ) | (1.87 | ) | (0.39 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | (0.03 | ) | (0.09 | ) | 0.22 | (0.10 | ) | (1.82 | ) | (0.29 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.06 | ) | (0.10 | ) | (0.11 | ) | (0.05 | ) | (0.06 | ) | (0.11 | ) | ||||||||||||
Distributions from Net Realized Gain | — | — | (0.06 | ) | — | — | (0.03 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.06 | ) | (0.10 | ) | (0.17 | ) | (0.05 | ) | (0.06 | ) | (0.14 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 4.92 | $ | 5.01 | $ | 5.20 | $ | 5.15 | $ | 5.30 | $ | 7.18 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | (0.64 | )% (2) | (1.96 | )% | 4.55 | % | (1.83 | )% | (25.47 | )% | (3.90 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 739 | $ | 1,208 | $ | 758 | $ | 725 | $ | 1,443 | $ | 1,934 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 16.02 | % (3) | 11.53 | % | 16.65 | % | 9.74 | % | 7.82 | % | 5.90 | % | ||||||||||||
After Expense Reimbursement | 0.70 | % (3) | 0.70 | % | 0.70 | % | 0.70 | % | 0.70 | % | 0.70 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.73 | % (3) | 2.06 | % | 2.31 | % | 0.88 | % | 0.88 | % | 1.30 | % | ||||||||||||
Portfolio Turnover Rate | 57.67 | % (2) | 75.52 | % | 0.00 | % | 2.44 | % | 10.68 | % | 4.13 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2019 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
105
Table of Contents
TCW Enhanced Commodity Strategy Fund
Financial Highlights — N Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 5.01 | $ | 5.21 | $ | 5.15 | $ | 5.31 | $ | 7.18 | $ | 7.61 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.07 | 0.11 | 0.12 | 0.04 | 0.05 | 0.10 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.10 | ) | (0.21 | ) | 0.11 | (0.15 | ) | (1.86 | ) | (0.39 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | (0.03 | ) | (0.10 | ) | 0.23 | (0.11 | ) | (1.81 | ) | (0.29 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.06 | ) | (0.10 | ) | (0.11 | ) | (0.05 | ) | (0.06 | ) | (0.11 | ) | ||||||||||||
Distributions from Net Realized Gain | — | — | (0.06 | ) | — | — | (0.03 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.06 | ) | (0.10 | ) | (0.17 | ) | (0.05 | ) | (0.06 | ) | (0.14 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 4.92 | $ | 5.01 | $ | 5.21 | $ | 5.15 | $ | 5.31 | $ | 7.18 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | (0.64 | )% (2) | (1.96 | )% | 4.55 | % | (2.03 | )% | (25.36 | )% | (3.92 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 504 | $ | 507 | $ | 517 | $ | 496 | $ | 1,153 | $ | 1,546 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 17.38 | % (3) | 12.59 | % | 18.01 | % | 10.21 | % | 8.32 | % | 6.45 | % | ||||||||||||
After Expense Reimbursement | 0.75 | % (3) | 0.75 | % | 0.75 | % | 0.75 | % | 0.75 | % | 0.73 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.79 | % (3) | 2.02 | % | 2.26 | % | 0.83 | % | 0.83 | % | 1.27 | % | ||||||||||||
Portfolio Turnover Rate | 57.67 | % (2) | 75.52 | % | 0.00 | % | 2.44 | % | 10.68 | % | 4.13 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2019 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
106
Table of Contents
TCW Global Bond Fund
Financial Highlights — I Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 9.45 | $ | 9.75 | $ | 9.88 | $ | 9.85 | $ | 10.26 | $ | 10.45 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.11 | 0.19 | 0.17 | 0.20 | 0.19 | 0.22 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.34 | (0.43 | ) | (0.07 | ) | 0.19 | (0.49 | ) | (0.20 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.45 | (0.24 | ) | 0.10 | 0.39 | (0.30 | ) | 0.02 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.09 | ) | (0.05 | ) | (0.16 | ) | (0.22 | ) | (0.09 | ) | (0.13 | ) | ||||||||||||
Distributions from Net Realized Gain | — | (0.01 | ) | (0.07 | ) | (0.14 | ) | (0.02 | ) | (0.08 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.09 | ) | (0.06 | ) | (0.23 | ) | (0.36 | ) | (0.11 | ) | (0.21 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 9.81 | $ | 9.45 | $ | 9.75 | $ | 9.88 | $ | 9.85 | $ | 10.26 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 4.86 | % (2) | (2.54 | )% | 1.07 | % | 4.03 | % | (2.96 | )% | 0.21 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 8,951 | $ | 8,505 | $ | 8,714 | $ | 8,648 | $ | 7,878 | $ | 8,138 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 1.65 | % (3) | 1.63 | % | 1.60 | % | 1.48 | % | 1.37 | % | 1.39 | % | ||||||||||||
After Expense Reimbursement | 0.72 | % (3) | 1.00 | % | 1.04 | % | 1.05 | % | 1.08 | % | 1.12 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.21 | % (3) | 1.99 | % | 1.75 | % | 2.02 | % | 1.92 | % | 2.11 | % | ||||||||||||
Portfolio Turnover Rate | 37.03 | % (2) | 102.42 | % | 90.08 | % | 116.87 | % | 147.16 | % | 125.54 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2019 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
107
Table of Contents
TCW Global Bond Fund
Financial Highlights — N Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 9.45 | $ | 9.75 | $ | 9.88 | $ | 9.85 | $ | 10.26 | $ | 10.45 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.10 | 0.19 | 0.17 | 0.20 | 0.19 | 0.22 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.34 | (0.43 | ) | (0.07 | ) | 0.19 | (0.49 | ) | (0.20 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.44 | (0.24 | ) | 0.10 | 0.39 | (0.30 | ) | 0.02 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.08 | ) | (0.05 | ) | (0.16 | ) | (0.22 | ) | (0.09 | ) | (0.13 | ) | ||||||||||||
Distributions from Net Realized Gain | — | (0.01 | ) | (0.07 | ) | (0.14 | ) | (0.02 | ) | (0.08 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.08 | ) | (0.06 | ) | (0.23 | ) | (0.36 | ) | (0.11 | ) | (0.21 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 9.81 | $ | 9.45 | $ | 9.75 | $ | 9.88 | $ | 9.85 | $ | 10.26 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 4.83 | % (2) | (2.54 | )% | 1.07 | % | 4.03 | % | (2.96 | )% | 0.21 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 7,830 | $ | 7,476 | $ | 7,679 | $ | 7,586 | $ | 7,358 | $ | 7,565 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.95 | % (3) | 1.92 | % | 1.89 | % | 1.76 | % | 1.64 | % | 1.67 | % | ||||||||||||
After Expense Reimbursement | 0.79 | % (3) | 1.00 | % | 1.04 | % | 1.05 | % | 1.08 | % | 1.12 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.14 | % (3) | 1.99 | % | 1.75 | % | 2.02 | % | 1.92 | % | 2.12 | % | ||||||||||||
Portfolio Turnover Rate | 37.03 | % (2) | 102.42 | % | 90.08 | % | 116.87 | % | 147.16 | % | 125.54 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2019 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
108
Table of Contents
TCW High Yield Bond Fund
Financial Highlights — I Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 6.15 | $ | 6.37 | $ | 6.23 | $ | 6.18 | $ | 6.35 | $ | 6.33 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.14 | 0.26 | 0.24 | 0.24 | 0.26 | 0.29 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.22 | (0.17 | ) | 0.18 | 0.06 | (0.15 | ) | 0.04 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.36 | 0.09 | 0.42 | 0.30 | 0.11 | 0.33 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.15 | ) | (0.31 | ) | (0.28 | ) | (0.25 | ) | (0.28 | ) | (0.31 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 6.36 | $ | 6.15 | $ | 6.37 | $ | 6.23 | $ | 6.18 | $ | 6.35 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 5.93 | % (2) | 1.40 | % | 6.80 | % | 5.06 | % | 1.74 | % | 5.25 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 9,755 | $ | 7,749 | $ | 14,195 | $ | 20,265 | $ | 20,791 | $ | 20,649 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.97 | % (3) | 1.50 | % | 1.22 | % | 1.03 | % | 1.03 | % | 0.90 | % | ||||||||||||
After Expense Reimbursement | 0.55 | % (3) | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.53 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 4.46 | % (3) | 4.13 | % | 3.85 | % | 3.88 | % | 4.11 | % | 4.60 | % | ||||||||||||
Portfolio Turnover Rate | 47.77 | % (2) | 104.21 | % | 179.87 | % | 244.36 | % | 195.97 | % | 145.14 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2019 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
109
Table of Contents
TCW High Yield Bond Fund
Financial Highlights — N Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 6.19 | $ | 6.42 | $ | 6.28 | $ | 6.23 | $ | 6.41 | $ | 6.37 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.13 | 0.25 | 0.23 | 0.22 | 0.25 | 0.28 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.23 | (0.18 | ) | 0.18 | 0.07 | (0.17 | ) | 0.05 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.36 | 0.07 | 0.41 | 0.29 | 0.08 | 0.33 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.14 | ) | (0.30 | ) | (0.27 | ) | (0.24 | ) | (0.26 | ) | (0.29 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 6.41 | $ | 6.19 | $ | 6.42 | $ | 6.28 | $ | 6.23 | $ | 6.41 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 5.96 | % (2) | 1.04 | % | 6.59 | % | 4.82 | % | 1.34 | % | 5.24 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 8,313 | $ | 5,041 | $ | 6,934 | $ | 7,526 | $ | 15,910 | $ | 12,555 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 2.33 | % (3) | 1.98 | % | 1.65 | % | 1.40 | % | 1.38 | % | 1.39 | % | ||||||||||||
After Expense Reimbursement | 0.80 | % (3) | 0.80 | % | 0.80 | % | 0.80 | % | 0.80 | % | 0.78 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 4.22 | % (3) | 3.90 | % | 3.60 | % | 3.64 | % | 3.87 | % | 4.30 | % | ||||||||||||
Portfolio Turnover Rate | 47.77 | % (2) | 104.21 | % | 179.87 | % | 244.36 | % | 195.97 | % | 145.14 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2019 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
110
Table of Contents
TCW Short Term Bond Fund
Financial Highlights — I Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 8.54 | $ | 8.62 | $ | 8.70 | $ | 8.69 | $ | 8.75 | $ | 8.80 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.11 | 0.15 | 0.08 | 0.05 | 0.05 | 0.06 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.06 | (0.04 | ) | (0.01 | ) | 0.02 | (0.03 | ) | 0.00 | (2) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.17 | 0.11 | 0.07 | 0.07 | 0.02 | 0.06 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.11 | ) | (0.19 | ) | (0.15 | ) | (0.06 | ) | (0.08 | ) | (0.11 | ) | ||||||||||||
| �� |
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 8.60 | $ | 8.54 | $ | 8.62 | $ | 8.70 | $ | 8.69 | $ | 8.75 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 1.99 | % (3) | 1.26 | % | 0.75 | % | 0.84 | % | 0.25 | % | 0.65 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 6,297 | $ | 7,280 | $ | 7,951 | $ | 7,698 | $ | 9,614 | $ | 21,080 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 2.80 | % (4) | 2.28 | % | 1.65 | % | 2.46 | % | 1.57 | % | 1.23 | % | ||||||||||||
After Expense Reimbursement | 0.44 | % (4) | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.56 | % (4) | 1.70 | % | 0.96 | % | 0.58 | % | 0.53 | % | 0.70 | % | ||||||||||||
Portfolio Turnover Rate | 109.48 | % (3) | 199.55 | % | 131.31 | % | 46.36 | % | 8.51 | % | 67.27 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Amount rounds to less than $0.01 per share. |
(3) | For the six months ended April 30, 2019 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
111
Table of Contents
TCW Total Return Bond Fund
Financial Highlights — I Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 9.46 | $ | 9.98 | $ | 10.33 | $ | 10.28 | $ | 10.31 | $ | 10.13 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.17 | 0.31 | 0.27 | 0.26 | 0.25 | 0.27 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.32 | (0.48 | ) | (0.20 | ) | 0.11 | (0.02 | ) | 0.18 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.49 | (0.17 | ) | 0.07 | 0.37 | 0.23 | 0.45 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.19 | ) | (0.35 | ) | (0.26 | ) | (0.25 | ) | (0.22 | ) | (0.27 | ) | ||||||||||||
Distributions from Net Realized Gain | — | — | (0.16 | ) | (0.07 | ) | (0.04 | ) | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.19 | ) | (0.35 | ) | (0.42 | ) | (0.32 | ) | (0.26 | ) | (0.27 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 9.76 | $ | 9.46 | $ | 9.98 | $ | 10.33 | $ | 10.28 | $ | 10.31 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 5.10 | %(2) | (1.67 | )% | 0.72 | % | 3.63 | % | 2.24 | % | 4.49 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 5,290,823 | $ | 5,587,668 | $ | 7,103,832 | $ | 8,042,194 | $ | 6,360,295 | $ | 6,129,426 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 0.63 | % (3) | 0.62 | % | 0.61 | % | 0.60 | % | 0.60 | % | 0.59 | % | ||||||||||||
After Expense Reimbursement | 0.49 | % (3) | 0.49 | % | 0.49 | % | 0.49 | % | 0.49 | % | 0.47 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 3.62 | % (3) | 3.20 | % | 2.73 | % | 2.55 | % | 2.46 | % | 2.65 | % | ||||||||||||
Portfolio Turnover Rate | 86.30 | % (2) | 241.76 | % | 287.55 | % | 318.48 | % | 287.85 | % | 201.30 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2019 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
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TCW Total Return Bond Fund
Financial Highlights — N Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 9.76 | $ | 10.29 | $ | 10.65 | $ | 10.60 | $ | 10.64 | $ | 10.45 | ||||||||||||
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Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.16 | 0.29 | 0.25 | 0.24 | 0.23 | 0.25 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.32 | (0.49 | ) | (0.21 | ) | 0.11 | (0.04 | ) | 0.19 | |||||||||||||||
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Total from Investment Operations | 0.48 | (0.20 | ) | 0.04 | 0.35 | 0.19 | 0.44 | |||||||||||||||||
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Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.18 | ) | (0.33 | ) | (0.24 | ) | (0.23 | ) | (0.19 | ) | (0.25 | ) | ||||||||||||
Distributions from Net Realized Gain | — | — | (0.16 | ) | (0.07 | ) | (0.04 | ) | — | |||||||||||||||
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Total Distributions | (0.18 | ) | (0.33 | ) | (0.40 | ) | (0.30 | ) | (0.23 | ) | (0.25 | ) | ||||||||||||
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Net Asset Value per Share, End of Period | $ | 10.06 | $ | 9.76 | $ | 10.29 | $ | 10.65 | $ | 10.60 | $ | 10.64 | ||||||||||||
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Total Return | 4.97 | % (2) | (1.96 | )% | 0.41 | % | 3.35 | % | 1.83 | % | 4.24 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 1,040,271 | $ | 1,121,741 | $ | 1,902,308 | $ | 2,762,803 | $ | 2,399,850 | $ | 2,177,160 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 0.89 | % (3) | 0.88 | % | 0.88 | % | 0.87 | % | 0.88 | % | 0.87 | % | ||||||||||||
After Expense Reimbursement | 0.79 | % (3) | 0.79 | % | 0.79 | % | 0.79 | % | 0.79 | % | 0.77 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 3.31 | % (3) | 2.89 | % | 2.42 | % | 2.25 | % | 2.17 | % | 2.36 | % | ||||||||||||
Portfolio Turnover Rate | 86.30 | % (2) | 241.76 | % | 287.55 | % | 318.48 | % | 287.85 | % | 201.30 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2019 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
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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 November 1, 2018 to April 30, 2019 (181 days).
Actual Expenses The first line under each Fund in the table below provides information about the actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your Fund under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes The second line under each Fund in the table below provides information about the hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account value and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
TCW Funds, Inc. | Beginning Account Value November 1, 2018 | Ending Account Value April 30, 2019 | Annualized Expense Ratio | Expenses Paid During Period (November 1, 2018 to April 30, 2019) | ||||||||||||
TCW Core Fixed Income Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,054.10 | 0.49 | % | $ | 2.50 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.37 | 0.49 | % | 2.46 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,053.10 | 0.71 | % | $ | 3.61 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.27 | 0.71 | % | 3.56 | |||||||||||
TCW Enhanced Commodity Strategy Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 993.60 | 0.70 | % | $ | 3.46 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.32 | 0.70 | % | 3.51 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 993.60 | 0.75 | % | $ | 3.71 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.08 | 0.75 | % | 3.76 | |||||||||||
TCW Global Bond Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,048.60 | 0.72 | % (1) | $ | 3.66 (1 | ) | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.22 | 0.72 | % (1) | 3.61 (1 | ) | ||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,048.30 | 0.79 | % (1) | $ | 4.01 (1 | ) | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.88 | 0.79 | % (1) | 3.96 (1 | ) |
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TCW Funds, Inc.
Shareholder Expenses (Unaudited) (Continued)
TCW Funds, Inc. | Beginning Account Value November 1, 2018 | Ending Account Value April 30, 2019 | Annualized Expense Ratio | Expenses Paid During Period (November 1, 2018 to April 30, 2019) | ||||||||||||
TCW High Yield Bond Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,059.30 | 0.55 | % | $ | 2.81 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.07 | 0.55 | % | 2.76 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,059.60 | 0.80 | % | $ | 4.09 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.83 | 0.80 | % | 4.01 | |||||||||||
TCW Short Term Bond Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,019.90 | 0.44 | % | $ | 2.20 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.61 | 0.44 | % | 2.21 | |||||||||||
TCW Total Return Bond Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,051.00 | 0.49 | % | $ | 2.49 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.37 | 0.49 | % | 2.46 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,049.70 | 0.79 | % | $ | 4.01 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.88 | 0.79 | % | 3.96 |
(1) | Does not include expenses of the underlying affiliated investments. |
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Supplemental Information
Proxy Voting Guidelines
The policies and procedures that the Company uses to determine how to vote proxies are available without charge. The Board has delegated the Company’s proxy voting authority to the Advisor.
Disclosure of Proxy Voting Guidelines
The proxy voting guidelines of the Advisor are available:
1. | By calling800-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 FormN-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 calling800-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 FormN-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 FormN-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 FormN-Q.
116
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TCW Funds, Inc.
865 South Figueroa Street
Los Angeles, California 90017
800 FUND TCW
(800 386 3829)
www.TCW.com
INVESTMENT ADVISOR
TCW Investment Management Company LLC
865 South Figueroa Street
Los Angeles, California 90017
TRANSFER AGENT
U.S. Bancorp Fund Services, LLC
615 E. Michigan Street
Milwaukee, Wisconsin 53202
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
555 West 5th Street
Los Angeles, California 90013
CUSTODIAN & ADMINISTRATOR
State Street Bank & Trust Company
One Lincoln Street
Boston, Massachusetts 02111
DISTRIBUTOR
TCW Funds Distributors LLC
865 South Figueroa Street
Los Angeles, California 90017
DIRECTORS
Patrick C. Haden
Director and Chairman of the Board
Samuel P. Bell
Director
David S. DeVito
Director
Peter McMillan
Director
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 andAnti-Money Laundering Officer
Patrick W. Dennis
Vice President and Assistant Secretary
Lisa Eisen
Tax Officer
Eric W. Chan
Assistant Treasurer
TCW FAMILY OF FUNDS
EQUITY FUNDS
TCW Artificial Intelligence Equity Fund
TCW Global Real Estate Fund
TCW New America Premier Equities Fund
TCW Relative Value Dividend Appreciation Fund
TCW Relative Value Large Cap Fund
TCW Relative Value Mid Cap Fund
TCW Select Equities Fund
ASSET ALLOCATION FUND
TCW Conservative Allocation Fund
FIXED INCOME FUNDS
TCW Core Fixed Income Fund
TCW Enhanced Commodity Strategy Fund
TCW Global Bond Fund
TCW High Yield Bond Fund
TCW Short Term Bond Fund
TCW Total Return Bond Fund
INTERNATIONAL FUNDS
TCW Developing Markets Equity Fund
TCW Emerging Markets Income Fund
TCW Emerging Markets Local Currency Income Fund
TCW Emerging Markets Multi-Asset Opportunities Fund
TCW International Small Cap Fund
FUNDsarFI0419
Table of Contents
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
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website (www.tcw.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds or your financial intermediary electronically by contacting your financial intermediary (such as a broker-dealer or bank) if you invest through a financial intermediary, or by calling 1-800-FUND-TCW (1-800-386-3829) if you invest directly with the Funds.
Beginning on January 1, 2019, you may elect to receive all future reports in paper free of charge. You can call 1-800-FUND-TCW (1-800-386-3829), if you invest directly with the Funds, or contact your financial intermediary, if you invest though a financial intermediary, to inform the Funds or the financial intermediary that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all Funds held directly with TCW or through your financial intermediary.
Table of Contents
TCW Funds, Inc.
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Proxy Voting Guidelines and Availability of Quarterly Portfolio Schedule | 80 |
Table of Contents
|
David S. DeVito President, Chief Executive Officer and Director |
Dear Valued Investors,
I am pleased to present the semi-annual report for the TCW Funds, Inc. covering thesix-month period ended April 30, 2019. I would like to express our appreciation for your continued investment in the TCW Funds as well as welcome new shareholders to our fund family. As of April 30, 2019, the TCW Funds held total net assets of approximately $15.1 billion.
This report contains information outlining the performance and a list of portfolio holdings as of April 30, 2019 for the TCW Funds’ International fixed income and equity funds.
Several headwinds that hurt international markets in 2018 started to subside at the beginning of the year, namely: 1) a dovish tilt from the Fed, 2) signs of improved growth in China, and 3) at the time, improved sentiment around the US/China trade negotiations. Over the last few weeks, however, sentiment has deteriorated as trade tensions have escalated, posing a threat to global growth. While we have not materially changed our constructive view on international assets, and the recent market moves have in fact been relatively muted, we are in a period of uncertainty until we get more clarity on the direction of US/China trade negotiations.
We would note that emerging markets (EM) are an important and growing segment of the global economy, representing close to 60% of global GDP and nearly 70% of global growth in 2019. The spread differential between real rates in EM versus developed markets (DM) is still close to the high end of the recent range and the January pivot of the Fed eliminates the pressure EM central banks might otherwise have felt to raise rates in order to maintain that differential. Moreover, EM real rates are significantly higher today than they were at the start of the 2013 taper tantrum. On the inflation front, EM inflation is near recent lows and continued slack in the major EM economies ensures that, while further downside surprises are unlikely, an upsurge in EM inflation is equally remote over the near to intermediate term. Moreover, absent a no
deal scenario in the US/China trade dispute, we still expect the interest rate spread between EM and DM growth to widen marginally in 2019, owing principally to lower growth in the developed world. This has traditionally been positive for active and passive flows into EM.
In the short term, the key impact of the trade dispute is likely to come from a reduction in global trade and persistent uncertainty, leading to a deferral of investment and encouraging precautionary savings. In the extended trade negotiation scenario, we would expect Chinese policy makers to pick up the pace of easing, targeting higher broad credit growth and expending fiscal stimulus. If China stabilizes, we see scope for Europe to recover, which would pave the way for international currencies to outperform the US dollar.
As of April 30, 2019, the TCW Emerging Markets Income Fund (TGEIX) received an Overall Morningstar RatingTM of 5 Stars based on risk-adjusted returns among 230 Emerging Markets Bond Funds1 and ranked in the first quartile of its Morningstar Emerging Markets Bond peer group foryear-to-date,3-year,7-year and10-year time periods ended April 30, 20192. As of April 30, 2019, the TCW Emerging Markets Local Currency Income Fund (TGWIX) received an Overall Morningstar RatingTM of 4 Stars based on risk-adjusted returns among 67 EM Local-Currency Bond Funds1 and ranked in the first quartile of its Morningstar EM Local-Currency Bond peer group for the3-year and5-year time periods ended April 30, 20192.
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 at800-386-3829.
1
Table of Contents
Letter to Shareholders (Continued) |
I look forward to further correspondence with you through our annual report later this year.
Sincerely,
David S. DeVito
President, Chief Executive Officer and Director
1. Morningstar Rating Disclosure:
©2019 Morningstar, Inc. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Past performance is no guarantee of future results.
The Morningstar RatingTMfor funds, or “star rating,” is calculated for managed products (including mutual funds, variable annuity and variable life subaccounts, exchange-traded funds,closed-end funds, and separate accounts) with at least a three-year history. Exchange-traded funds and open-ended mutual funds are considered a single population for comparative purposes. It is calculated based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a managed product’s monthly excess performance, placing more emphasis on downward variations and rewarding consistent performance. The top 10% of products in each product category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars, and the bottom 10% receive 1 star. The Morningstar Overall Rating for a managed product is derived from a weighted average of the performance figures associated with its three-, five-, and10-year (if applicable) Morningstar Rating metrics. The weights are: 100% three-year rating for36-59 months of total returns, 60% five-year rating/40% three-year rating for60-119 months of total returns, and 50%10-year rating/30% five-year rating/20% three-year rating for 120 or more months of total returns.
While the10-year overall star rating formula seems to give the most weight to the10-year period, the most recent three-year period actually has the greatest impact because it is included in all three rating periods. The TCW Emerging Markets Income Fund, I Share was rated against the following numbers of Emerging Markets Bond funds over the following time periods: 230 funds (4 stars) in the last3-years; 178 funds (4 stars) in the last5-years, and 48 funds (5 stars) in the last10-years, as of April 30, 2019. The TCW Emerging Markets Local Currency Income Fund, I Share was rated against the following numbers of EM Local-Currency Bond funds over the following time periods: 67 funds (4 stars) in the last3-years; and 60 funds (4 stars) in the last5-years, as of April 30, 2019. Past performance is no guarantee of future results.
2. Morningstar Quartile Ranking Disclosure:
Morningstar Emerging Markets Bond Fund and EM Local-Currency Bond Universes — The universe of all funds in the category as defined by Morningstar as of April 30, 2019. For the Morningstar Emerging Markets Bond universe, theyear-to-date period included 317 funds, the3-year period included 239 funds, the7-year period included 96 funds, and the10-year period included 54 funds. For the Morningstar EM Local-Currency Bond Universe, the3-year period included 67 funds and the5-year period included 60 funds. The Morningstar percentile ranking is based on the fund’s total-return rank relative to all funds that have the same category for the same time period. The highest (or most favorable) percentile rank is 1 and the lowest (or least favorable) percentile rank is 100. Thetop-performing fund in a category will always receive a rank of 1. Percentile ranks within Categories are most useful in those categories that have a large number of funds. Morningstar total return includes both income and capital gains or losses and is not adjusted for sales charges. Past performance is not guarantee of future results.
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TCW Funds, Inc.
Performance Summary (Unaudited)
NAV | Six Months Return as of April 30, 2019 | Total Return Annualized as of April 30, 2019 (1) | Inception Date | |||||||||||||||||||||||||
1-Year | 5-Year | 10-Year | Since Inception | |||||||||||||||||||||||||
TCW Developing Markets Equity Fund |
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I Class | $ | 10.11 | 8.14 | % | (12.38 | )% | N/A | N/A | 0.81 | % | 06/30/15 | |||||||||||||||||
N Class | $ | 10.11 | 8.14 | % | (12.31 | )% | N/A | N/A | 0.81 | % | 06/30/15 | |||||||||||||||||
TCW Emerging Markets Income Fund |
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I Class | $ | 8.16 | 7.96 | % | 4.19 | % | 4.27 | % | 8.85 | % | 9.10 | % (2) | 09/04/96 | (3) | ||||||||||||||
N Class | $ | 10.50 | 7.81 | % | 3.92 | % | 3.97 | % | 8.55 | % | 7.57 | % | 02/27/04 | |||||||||||||||
TCW Emerging Markets Local Currency Income Fund |
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I Class | $ | 8.53 | 6.28 | % | (6.33 | )% | (0.55 | )% | N/A | 0.85 | % | 12/14/10 | ||||||||||||||||
N Class | $ | 8.51 | 6.16 | % | (6.45 | )% | (0.57 | )% | N/A | 0.81 | % | 12/14/10 | ||||||||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund |
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I Class | $ | 11.10 | 8.45 | % | (4.10 | )% | 3.63 | % | N/A | 4.06 | % | 06/28/13 | ||||||||||||||||
N Class | $ | 11.05 | 8.29 | % | (4.21 | )% | 3.60 | % | N/A | 3.96 | % | 06/28/13 | ||||||||||||||||
TCW International Small Cap Fund |
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I Class | $ | 9.79 | 2.29 | % | (12.23 | )% | 2.75 | % | N/A | 1.38 | % | 02/28/11 | ||||||||||||||||
N Class | $ | 9.79 | 2.19 | % | (12.31 | )% | 2.71 | % | N/A | 1.34 | % | 02/28/11 |
(1) | Past performance is not indicative of future performance. |
(2) | Performance data includes the performance of the predecessor limited partnership for periods before the Fund’s registration became effective. The limited partnership was not registered under the Investment Company Act of 1940, as amended (the “1940 Act”), and therefore, was not subjected to certain investment restrictions that are imposed by the 1940 Act. If the limited partnership had been registered under the 1940 Act, the limited partnership’s performance may have been lower. |
(3) | Inception date of the predecessor entity. |
3
Table of Contents
TCW Developing Markets Equity Fund
Schedule of Investments (Unaudited)
Issues | Shares | Value | ||||||
COMMON STOCK — 97.5% of Net Assets |
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Brazil — 5.3% | ||||||||
B3 S.A. — Brasil Bolsa Balcao | 9,100 | $ | 79,360 | |||||
Banco Bradesco S.A. (ADR) | 6,960 | 63,057 | ||||||
CCR S.A. | 16,500 | 48,828 | ||||||
Estacio Participacoes S.A. | 3,300 | 22,706 | ||||||
Petroleo Brasileiro S.A. (SP ADR) | 3,200 | 48,736 | ||||||
Vale S.A.(ADR) | 2,900 | 37,062 | ||||||
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Total Brazil |
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(Cost: $272,566) |
| 299,749 | ||||||
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Chile — 0.5%(Cost: $28,280) | ||||||||
Antofagasta PLC | 2,318 | 27,548 | ||||||
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China — 38.4% | ||||||||
58.Com, Inc. (ADR)(1) | 1,200 | 86,148 | ||||||
Alibaba Group Holding, Ltd. (SP ADR) (China) (1) | 1,384 | 256,829 | ||||||
Angang Steel Co., Ltd. — Class H | 36,000 | 24,221 | ||||||
Anhui Conch Cement Co., Ltd. — Class H | 4,500 | 27,465 | ||||||
Autohome, Inc. (ADR)(1) | 600 | 69,294 | ||||||
BYD Electronic International Co., Ltd. | 20,500 | 36,749 | ||||||
China Jinmao Holdings Group, Ltd. | 54,000 | 35,009 | ||||||
China Maple Leaf Educational Systems, Ltd. | 58,000 | 27,128 | ||||||
China National Building Material Co., Ltd. — Class H | 34,000 | 31,642 | ||||||
CIFI Holdings Group Co., Ltd. | 54,000 | 35,881 | ||||||
Cstone Pharmaceuticals(1) | 21,500 | 37,654 | ||||||
Fosun International, Ltd. | 18,500 | 28,736 | ||||||
Future Land Development Holdings, Ltd. | 30,000 | 35,774 | ||||||
Galaxy Entertainment Group, Ltd. | 15,000 | 112,330 | ||||||
Geely Automobile Holdings, Ltd. | 12,000 | 24,171 | ||||||
Haitong Securities Co., Ltd. — Class H | 73,200 | 94,398 | ||||||
Industrial & Commercial Bank of China, Ltd. — Class H | 72,000 | 54,151 | ||||||
Kingboard Holdings, Ltd. | 7,500 | 24,452 | ||||||
KWG Property Holding, Ltd. | 28,500 | 33,424 | ||||||
Lenovo Group, Ltd. | 36,000 | 33,358 | ||||||
Micron Technology, Inc.(1) | 1,900 | 79,914 | ||||||
New Oriental Education & Technology Group (ADR)(1) | 300 | 28,638 | ||||||
Pinduoduo, Inc. (ADR)(1) | 1,800 | 40,014 | ||||||
Ping An Insurance Group Co. of China, Ltd. — Class H | 11,150 | 134,957 | ||||||
Shanghai Industrial Holdings, Ltd. | 12,000 | 28,223 | ||||||
Shanghai Tunnel Engineering Co., Ltd. | 24,700 | 25,317 | ||||||
Shanxi Lu’an Environmental Energy Development Co., Ltd. | 22,400 | 27,476 | ||||||
Shui On Land, Ltd. | 111,500 | 27,166 | ||||||
Sino Biopharmaceutical, Ltd. | 42,000 | 40,434 | ||||||
Sinopec Engineering Group Co., Ltd. — Class H | 28,000 | 27,075 | ||||||
Sinotruk Hong Kong, Ltd. | 15,000 | 32,560 |
Issues | Shares | Value | ||||||
China (Continued) | ||||||||
Sunny Optical Technology Group Co., Ltd. | 2,100 | $ | 25,688 | |||||
Tencent Holdings, Ltd. | 3,200 | 157,708 | ||||||
Weibo Corp. (SP ADR)(1) | 1,200 | 82,200 | ||||||
Wisdom Education International Holdings Co., Ltd. | 52,000 | 30,574 | ||||||
WuXi AppTec Co., Ltd.(1) | 2,400 | 29,521 | ||||||
Wuxi Biologics, Inc.(1) | 5,000 | 50,371 | ||||||
Xiamen C & D, 1Inc. | 20,500 | 29,330 | ||||||
Yanzhou Coal Mining Co., Ltd. — Class H | 28,000 | 29,891 | ||||||
Yuzhou Properties Co., Ltd. | 46,000 | 24,311 | ||||||
Zhejiang Expressway Co., Ltd. Class H | 24,000 | 25,740 | ||||||
Zhongsheng Group Holdings, Ltd. | 28,000 | 73,655 | ||||||
|
| |||||||
Total China |
| |||||||
(Cost: $1,800,303) |
| 2,159,577 | ||||||
|
| |||||||
Egypt — 1.5%(Cost: $80,846) |
| |||||||
Commercial International Bank Egypt SAE | 19,377 | 86,507 | ||||||
|
| |||||||
France — 1.7%(Cost: $78,364) |
| |||||||
Kering S.A. | 159 | 94,014 | ||||||
|
| |||||||
Greece — 2.3% | ||||||||
Alpha Bank AE(1) | 43,786 | 68,115 | ||||||
Motor Oil Hellas Corinth Refineries S.A. | 1,095 | 27,906 | ||||||
Piraeus Bank S.A.(1) | 17,580 | 35,809 | ||||||
|
| |||||||
Total Greece |
| |||||||
(Cost: $121,075) |
| 131,830 | ||||||
|
| |||||||
India — 2.9% | ||||||||
Avenue Supermarts, Ltd.(1) | 2,736 | 50,744 | ||||||
Can Fin Homes, Ltd. | 11,340 | 51,813 | ||||||
Reliance Industries, Ltd. | 3,118 | 62,449 | ||||||
|
| |||||||
Total India |
| |||||||
(Cost: $167,507) |
| 165,006 | ||||||
|
| |||||||
Indonesia — 1.4%(Cost: $71,773) | ||||||||
Semen Indonesia Persero Tbk PT | 83,900 | 79,645 | ||||||
|
| |||||||
Iraq — 0.5%(Cost: $28,254) | ||||||||
Gulf Keystone Petroleum, Ltd.(1) | 8,325 | 27,603 | ||||||
|
| |||||||
Kenya — 2.1%(Cost: $103,864) | ||||||||
Safari.com, Ltd. | 414,100 | 117,202 | ||||||
|
| |||||||
Poland — 0.9% | ||||||||
Jastrzebska Spolka Weglowa S.A.(1) | 1,700 | 25,835 | ||||||
Telekomunikacja Polska S.A.(1) | 20,727 | 26,756 | ||||||
|
| |||||||
Total Poland |
| |||||||
(Cost: $56,796) |
| 52,591 | ||||||
|
| |||||||
Russia — 3.8% | ||||||||
LUKOIL PJSC (SP ADR) | 1,359 | 116,195 | ||||||
Sberbank of Russia | 9,930 | 34,758 |
See accompanying notes to financial statements.
4
Table of Contents
TCW Developing Markets Equity Fund
April 30, 2019 |
Issues | Shares | Value | ||||||
Russia (Continued) | ||||||||
Yandex N.V.(1) | 1,600 | $ | 59,888 | |||||
|
| |||||||
Total Russia |
| |||||||
(Cost: $167,339) |
| 210,841 | ||||||
|
| |||||||
Slovenia — 0.2%(Cost: $13,073) | ||||||||
Nova Ljubljanska Banka dd(1) | 1,005 | 13,606 | ||||||
|
| |||||||
South Africa — 6.9% | ||||||||
African Rainbow Minerals, Ltd. | 1,136 | 13,502 | ||||||
Barloworld, Ltd. | 3,060 | 27,274 | ||||||
Capitec Bank Holdings, Ltd. | 645 | 60,139 | ||||||
Clicks Group, Ltd. | 4,024 | 54,919 | ||||||
FirstRand, Ltd. | 10,597 | 50,322 | ||||||
Mr Price Group, Ltd. | 1,743 | 26,358 | ||||||
Naspers, Ltd. — N Shares | 121 | 31,059 | ||||||
Sappi, Ltd. | 5,261 | 25,020 | ||||||
Standard Bank Group, Ltd. | 4,909 | 68,409 | ||||||
Telkom S.A .SOC, Ltd. | 5,473 | 32,503 | ||||||
|
| |||||||
Total South Africa |
| |||||||
(Cost: $354,464) |
| 389,505 | ||||||
|
| |||||||
South Korea — 5.8% | ||||||||
CJ Corp. | 255 | 26,081 | ||||||
Daelim Industrial Co., Ltd. | 300 | 24,892 | ||||||
Doosan Bobcat, Inc. | 1,015 | 27,832 | ||||||
Hyundai Department Store Co., Ltd | 310 | 26,957 | ||||||
Korean Air Lines Co., Ltd. | 1,000 | 28,400 | ||||||
Kumho Petrochemical Co., Ltd. | 320 | 25,196 | ||||||
Posco Daewoo Corp. | 1,735 | 27,202 | ||||||
Samsung Electronics Co., Ltd. | 2,841 | 111,700 | ||||||
SK Holdings Co., Ltd. | 116 | 25,510 | ||||||
|
| |||||||
Total South Korea |
| |||||||
(Cost: $307,627) |
| 323,770 | ||||||
|
| |||||||
Taiwan — 15.1% | ||||||||
Accton Technology Corp. | 28,000 | 118,944 | ||||||
Acer, Inc. | 43,000 | 29,229 | ||||||
Arcadyan Technology Corp. | 9,000 | 24,961 | ||||||
ASPEED Technology, Inc. | 1,000 | 20,824 | ||||||
Evergreen Marine Corp. Taiwan, Ltd. | 68,000 | 29,853 | ||||||
Lanner Electronics, Inc. | 11,000 | 27,692 | ||||||
Nanya Technology Corp. | 14,000 | 29,732 | ||||||
Pou Chen Corp. | 23,000 | 27,981 | ||||||
Powertech Technology, Inc.(1) | 11,000 | 27,464 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 30,000 | 251,881 | ||||||
Taiwan Union Technology Corp. | 24,000 | 87,613 | ||||||
United Microelectronics Corp. | 74,000 | 32,268 | ||||||
Win Semiconductors Corp. | 12,000 | 80,766 | ||||||
Winbond Electronics Corp. | 57,000 | 29,686 | ||||||
Zhen Ding Technology Holding, Ltd. | 9,000 | 32,199 | ||||||
|
| |||||||
Total Taiwan |
| |||||||
(Cost: $758,049) |
| 851,093 | ||||||
|
|
Issues | Shares | Value | ||||||
Turkey — 1.3% | ||||||||
Ford Otomotiv Sanayi A.S. | 3,350 | $ | 29,599 | |||||
Koc Holding A.S. | 7,955 | 21,588 | ||||||
Tupras Turkiye Petrol Rafinerileri A.S. | 1,035 | 21,398 | ||||||
|
| |||||||
Total Turkey |
| |||||||
(Cost: $82,767) |
| 72,585 | ||||||
|
| |||||||
United Arab Emirates — 2.8% | ||||||||
DAMAC Properties Dubai Co. PJSC | 75,896 | 25,566 | ||||||
Emaar Properties PJSC | 20,615 | 27,013 | ||||||
NMC Health PLC | 2,808 | 103,666 | ||||||
|
| |||||||
Total United Arab Emirates |
| |||||||
(Cost: $110,374) |
| 156,245 | ||||||
|
| |||||||
United States — 4.1% | ||||||||
Analog Devices, Inc. | 300 | 34,872 | ||||||
Applied Materials, Inc. | 1,400 | 61,698 | ||||||
MSCI, Inc. | 200 | 45,076 | ||||||
Teradyne, Inc. | 600 | 29,400 | ||||||
Xilinx, Inc. | 500 | 60,070 | ||||||
|
| |||||||
Total United States |
| |||||||
(Cost: $177,438) |
| 231,116 | ||||||
|
| |||||||
Total Common Stock |
| |||||||
(Cost: $4,780,759) |
| 5,490,033 | ||||||
|
| |||||||
PREFERRED STOCK — 1.0% |
| |||||||
Russia — 0.5%(Cost: $26,855) | ||||||||
Transneft PJSC, 4.86% | 10 | 25,938 | ||||||
|
| |||||||
South Korea — 0.5%(Cost: $26,425) | ||||||||
LG Household & Health Care, Ltd. 0.71% | 40 | 27,768 | ||||||
|
| |||||||
Total Preferred Stock |
| |||||||
(Cost: $53,280) |
| 53,706 | ||||||
|
| |||||||
RIGHTS — 0.0% |
| |||||||
China — 0.0% |
| |||||||
Haitong Securities, Strike Price CNY 1, 06/30/2019(1) | 2,614 | — | ||||||
|
| |||||||
Total Rights |
| |||||||
(Cost: $0) |
| — | ||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 1.2% |
| |||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class 2.37%, (2) | 69,799 | 69,799 | ||||||
|
| |||||||
Total Money Market Investments |
| |||||||
(Cost: $69,799) |
| 69,799 | ||||||
|
| |||||||
Total Investments (99.7%) |
| |||||||
(Cost: $4,903,838) | 5,613,538 | |||||||
Excess of Other Assets Over Liabilities (0.3%) |
| 14,387 | ||||||
|
| |||||||
Total Net Assets (100.0%) |
| $ | 5,627,925 | |||||
|
|
See accompanying notes to financial statements.
5
Table of Contents
TCW Developing Markets Equity Fund
Schedule of Investments (Unaudited) (Continued)
Notes to the Schedule of Investments:
ADR | American Depositary Receipt. ADRs are receipts typically issued by a U.S. bank or trust company, evidencing ownership of underlying securities issued by a foreign corporation. |
PJSC | Private Joint-Stock Company. |
SP ADR | Sponsored American Depositary Receipt. ADRs are receipts, typically issued by a U.S. bank or trust company, evidencing ownership of underlying securities issued by a foreign corporation. Sponsored ADRs are ADRs issued with the cooperation of the foreign corporation. |
(1) | Non-income producing security. |
(2) | Rate disclosed is the7-day net yield as of April 30, 2019. |
See accompanying notes to financial statements.
6
Table of Contents
TCW Developing Markets Equity Fund
Investments by Sector (Unaudited) | April 30, 2019 |
Sector | Percentage of Net Assets | |||
Airlines | 0.5 | % | ||
Automobiles | 1.0 | |||
Banks | 8.6 | |||
Biotechnology | 0.7 | |||
Capital Markets | 3.9 | |||
Chemicals | 0.4 | |||
Communications Equipment | 3.7 | |||
Construction & Engineering | 1.4 | |||
Construction Materials | 2.5 | |||
Diversified Consumer Services | 1.9 | |||
Diversified Financial Services | 0.9 | |||
Diversified Telecommunication Services | 1.1 | |||
Electronic Equipment, Instruments & Components | 3.0 | |||
Food & Staples Retailing | 1.9 | |||
Health Care Providers & Services | 1.8 | |||
Hotels, Restaurants & Leisure | 2.0 | |||
Industrial Conglomerates | 2.3 | |||
Insurance | 2.4 | |||
Interactive Media & Services | 12.7 | |||
Internet & Direct Marketing Retail | 0.7 | |||
Life Sciences Tools & Services | 1.4 | |||
Machinery | 1.1 | |||
Marine | 0.5 | |||
Media | 0.5 | |||
Metals & Mining | 2.3 | |||
Multiline Retail | 0.5 | |||
Oil, Gas & Consumable Fuels | 6.9 | |||
Paper & Forest Products | 0.4 | |||
Personal Products | 0.5 | |||
Pharmaceuticals | 0.7 | |||
Real Estate Management & Development | 4.3 | |||
Semiconductors & Semiconductor Equipment | 13.1 | |||
Specialty Retail | 1.8 | |||
Technology Hardware, Storage & Peripherals | 3.1 | |||
Textiles, Apparel & Luxury Goods | 2.2 | |||
Thrifts & Mortgage Finance | 0.9 | |||
Trading Companies & Distributors | 1.5 | |||
Transportation Infrastructure | 1.3 | |||
Wireless Telecommunication Services | 2.1 | |||
Money Market Investments | 1.2 | |||
|
| |||
Total | 99.7 | % | ||
|
|
See accompanying notes to financial statements.
7
Table of Contents
TCW Developing Markets Equity Fund
Fair Valuation Summary (Unaudited) | April 30, 2019 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2019 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 | $ | — | $ | 28,400 | $ | — | $ | 28,400 | ||||||||
Automobiles | — | 53,770 | — | 53,770 | ||||||||||||
Banks | 136,803 | 347,749 | — | 484,552 | ||||||||||||
Biotechnology | 37,654 | — | — | 37,654 | ||||||||||||
Capital Markets | 124,436 | 94,398 | — | 218,834 | ||||||||||||
Chemicals | — | 25,196 | — | 25,196 | ||||||||||||
Communications Equipment | — | 208,346 | — | 208,346 | ||||||||||||
Construction & Engineering | — | 77,284 | — | 77,284 | ||||||||||||
Construction Materials | — | 138,752 | — | 138,752 | ||||||||||||
Diversified Consumer Services | 51,344 | 57,701 | — | 109,045 | ||||||||||||
Diversified Financial Services | — | 50,322 | — | 50,322 | ||||||||||||
Diversified Telecommunication Services | — | 59,259 | — | 59,259 | ||||||||||||
Electronic Equipment, Instruments & Components | — | 169,951 | — | 169,951 | ||||||||||||
Food & Staples Retailing | 54,919 | 50,745 | — | 105,664 | ||||||||||||
Health Care Providers & Services | — | 103,666 | — | 103,666 | ||||||||||||
Hotels, Restaurants & Leisure | — | 112,330 | — | 112,330 | ||||||||||||
Industrial Conglomerates | 21,588 | 108,549 | — | 130,137 | ||||||||||||
Insurance | — | 134,957 | — | 134,957 | ||||||||||||
Interactive Media & Services | 554,359 | 157,708 | — | 712,067 | ||||||||||||
Internet & Direct Marketing Retail | 40,014 | — | — | 40,014 | ||||||||||||
Life Sciences Tools & Services | 29,521 | 50,371 | — | 79,892 | ||||||||||||
Machinery | — | 60,392 | — | 60,392 | ||||||||||||
Marine | — | 29,853 | — | 29,853 | ||||||||||||
Media | — | 31,059 | — | 31,059 | ||||||||||||
Metals & Mining | 37,062 | 91,107 | — | 128,169 | ||||||||||||
Multiline Retail | — | 26,957 | — | 26,957 | ||||||||||||
Oil, Gas & Consumable Fuels | 192,837 | 168,816 | — | 361,653 | ||||||||||||
Paper & Forest Products | 25,020 | — | — | 25,020 | ||||||||||||
Pharmaceuticals | — | 40,434 | — | 40,434 | ||||||||||||
Real Estate Management & Development | — | 244,145 | — | 244,145 | ||||||||||||
Semiconductors & Semiconductor Equipment | 265,954 | 472,622 | — | 738,576 | ||||||||||||
Specialty Retail | — | 100,013 | — | 100,013 | ||||||||||||
Technology Hardware, Storage & Peripherals | — | 174,287 | — | 174,287 | ||||||||||||
Textiles, Apparel & Luxury Goods | — | 121,994 | — | 121,994 | ||||||||||||
Thrifts & Mortgage Finance | — | 51,813 | — | 51,813 | ||||||||||||
Trading Companies & Distributors | — | 83,806 | — | 83,806 | ||||||||||||
Transportation Infrastructure | 48,828 | 25,740 | — | 74,568 | ||||||||||||
Wireless Telecommunication Services | 117,202 | — | — | 117,202 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 1,737,541 | 3,752,492 | — | 5,490,033 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stock | ||||||||||||||||
Oil, Gas & Consumable Fuels | — | 25,938 | — | 25,938 | ||||||||||||
Personal Products | — | 27,768 | — | 27,768 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stock | — | 53,706 | — | 53,706 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights | ||||||||||||||||
Capital Markets | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 69,799 | — | — | 69,799 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,807,340 | $ | 3,806,198 | $ | — | $ | 5,613,538 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
8
Table of Contents
TCW Emerging Markets Income Fund
Schedule of Investments (Unaudited) | April 30, 2019 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 94.4% of Net Assets |
| |||||||||||
Angola — 1.9% | ||||||||||||
Angolan Government International Bond |
| |||||||||||
8.25%(1) | 05/09/28 | $ | 58,014,000 | $ | 60,877,107 | |||||||
9.38%(1) | 05/08/48 | 44,060,000 | 47,437,199 | |||||||||
|
| |||||||||||
Total Angola |
| |||||||||||
(Cost: $110,955,662) |
| 108,314,306 | ||||||||||
|
| |||||||||||
Argentina — 1.8% | ||||||||||||
Argentine Republic Government International Bond |
| |||||||||||
3.75% | 12/31/38 | 71,750,000 | 37,884,000 | |||||||||
4.63% | 01/11/23 | 82,963,000 | 61,423,316 | |||||||||
|
| |||||||||||
Total Argentina |
| |||||||||||
(Cost: $107,594,629) |
| 99,307,316 | ||||||||||
|
| |||||||||||
Azerbaijan — 0.8% | ||||||||||||
Republic of Azerbaijan International Bond |
| |||||||||||
3.50%(2) | 09/01/32 | 38,300,000 | 34,363,526 | |||||||||
Southern Gas Corridor CJSC |
| |||||||||||
6.88%(2) | 03/24/26 | 10,145,000 | 11,495,553 | |||||||||
|
| |||||||||||
Total Azerbaijan |
| |||||||||||
(Cost: $43,796,034) |
| 45,859,079 | ||||||||||
|
| |||||||||||
Bahrain — 2.9% | ||||||||||||
Bahrain Government International Bond |
| |||||||||||
6.75%(2) | 09/20/29 | 64,615,000 | 68,730,975 | |||||||||
7.00%(1) | 10/12/28 | 37,480,000 | 40,602,084 | |||||||||
7.50%(2) | 09/20/47 | 19,775,000 | 21,190,890 | |||||||||
Oil and Gas Holding Co. (The) |
| |||||||||||
7.50%(1) | 10/25/27 | 15,333,000 | 16,367,978 | |||||||||
8.38%(1) | 11/07/28 | 12,850,000 | 14,529,110 | |||||||||
|
| |||||||||||
Total Bahrain |
| |||||||||||
(Cost: $146,849,026) |
| 161,421,037 | ||||||||||
|
| |||||||||||
Belarus — 0.2%(Cost: $12,800,000) | ||||||||||||
Development Bank of the Republic of Belarus JSC |
| |||||||||||
6.75%(1) | 05/02/24 | 12,800,000 | 12,887,360 | |||||||||
|
| |||||||||||
Brazil — 5.5% | ||||||||||||
Andrade Gutierrez International S.A. |
| |||||||||||
11.00%(1) | 08/20/21 | 8,509,680 | 8,063,007 | |||||||||
Banco BTG Pactual S.A. |
| |||||||||||
7.75% (1)(3) | 02/15/29 | 21,725,000 | 22,222,503 | |||||||||
Banco do Brasil S.A. |
| |||||||||||
6.25% (10 year U.S. Treasury Constant Maturity Rate + 4.398%)(2)(4)(5) | 10/29/49 | 27,545,000 | 24,982,489 | |||||||||
9.00% (10 year U.S. Treasury Constant Maturity Rate + 6.362%)(2)(4)(5) | 06/29/49 | 22,597,000 | 24,144,556 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Brazil (Continued) | ||||||||||||
CSN Islands XII Corp. |
| |||||||||||
7.00%(2)(5) | 09/29/49 | $ | 20,188,000 | $ | 17,589,804 | |||||||
CSN Resources S.A. |
| |||||||||||
7.63%(1) | 04/17/26 | 25,925,000 | 25,940,555 | |||||||||
GTL Trade Finance, Inc. |
| |||||||||||
7.25%(2) | 04/16/44 | 12,065,000 | 13,708,856 | |||||||||
Klabin Austria GmbH |
| |||||||||||
7.00%(1) | 04/03/49 | 19,185,000 | 19,200,348 | |||||||||
Light Servicos de Eletricidade S.A./Light Energia S.A. |
| |||||||||||
7.25%(1) | 05/03/23 | 12,110,000 | 12,335,064 | |||||||||
MARB BondCo PLC |
| |||||||||||
6.88%(1) | 01/19/25 | 19,465,000 | 19,465,000 | |||||||||
Petrobras Global Finance B.V. |
| |||||||||||
5.75% | 02/01/29 | 29,152,000 | 29,297,760 | |||||||||
6.85% | 06/05/15 | 31,405,000 | 30,835,627 | |||||||||
6.90% | 03/19/49 | 36,895,000 | 36,922,671 | |||||||||
Suzano Austria GmbH |
| |||||||||||
7.00%(1) | 03/16/47 | 22,200,000 | 24,725,250 | |||||||||
|
| |||||||||||
Total Brazil |
| |||||||||||
(Cost: $294,918,317) |
| 309,433,490 | ||||||||||
|
| |||||||||||
Chile — 0.8% | ||||||||||||
AES Gener S.A. |
| |||||||||||
7.13%(1)(3) | 03/26/79 | 16,683,000 | 17,496,296 | |||||||||
Latam Finance, Ltd. |
| |||||||||||
7.00%(1) | 03/01/26 | 24,025,000 | 24,655,657 | |||||||||
|
| |||||||||||
Total Chile |
| |||||||||||
(Cost: $40,696,772) |
| 42,151,953 | ||||||||||
|
| |||||||||||
China — 1.4% | ||||||||||||
China SCE Group Holdings, Ltd. |
| |||||||||||
7.45%(2) | 04/17/21 | 28,575,000 | 29,180,047 | |||||||||
Country Garden Holdings Co. Ltd. |
| |||||||||||
7.25%(2) | 04/04/21 | 9,694,000 | 9,901,452 | |||||||||
New Metro Global, Ltd. |
| |||||||||||
6.50%(2) | 04/23/21 | 26,380,000 | 26,591,040 | |||||||||
Sunac China Holdings, Ltd. |
| |||||||||||
7.88%(2) | 02/15/22 | 13,500,000 | 13,819,788 | |||||||||
|
| |||||||||||
Total China |
| |||||||||||
(Cost: $78,272,897) |
| 79,492,327 | ||||||||||
|
| |||||||||||
Colombia — 3.4% | ||||||||||||
Banco GNB Sudameris S.A. |
| |||||||||||
6.50% (5 year U.S. Treasury Constant Maturity Rate + 4.561%)(1)(4) | 04/03/27 | 19,871,000 | 20,755,955 | |||||||||
Colombia Government International Bond |
| |||||||||||
4.50% | 03/15/29 | 23,445,000 | 24,746,199 | |||||||||
5.00% | 06/15/45 | 66,095,000 | 69,194,855 |
See accompanying notes to financial statements.
9
Table of Contents
TCW Emerging Markets Income Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Colombia (Continued) | ||||||||||||
Ecopetrol S.A. |
| |||||||||||
5.88% | 05/28/45 | $ | 50,515,000 | $ | 52,285,551 | |||||||
Gilex Holding SARL |
| |||||||||||
8.50%(1) | 05/02/23 | 2,890,000 | 3,067,735 | |||||||||
Millicom International Cellular S.A. |
| |||||||||||
6.25%(1) | 03/25/29 | 17,125,000 | 17,681,563 | |||||||||
|
| |||||||||||
Total Colombia |
| |||||||||||
(Cost: $177,578,030) |
| 187,731,858 | ||||||||||
|
| |||||||||||
Costa Rica — 2.0% | ||||||||||||
Autopistas del Sol S.A. |
| |||||||||||
7.38%(1) | 12/30/30 | 23,023,739 | 23,138,857 | |||||||||
Costa Rica Government International Bond |
| |||||||||||
4.38%(2) | 04/30/25 | 31,685,000 | 29,720,530 | |||||||||
7.00%(2) | 04/04/44 | 25,679,000 | 24,800,778 | |||||||||
7.16%(2) | 03/12/45 | 36,139,000 | 35,286,120 | |||||||||
|
| |||||||||||
Total Costa Rica |
| |||||||||||
(Cost: $110,449,707) |
| 112,946,285 | ||||||||||
|
| |||||||||||
Dominican Republic — 3.0% | ||||||||||||
Dominican Republic International Bond |
| |||||||||||
5.50%(2) | 01/27/25 | 10,880,000 | 11,274,400 | |||||||||
5.95%(1) | 01/25/27 | 52,403,000 | 55,416,172 | |||||||||
6.00%(1) | 07/19/28 | 60,145,000 | 63,562,740 | |||||||||
6.85%(2) | 01/27/45 | 35,291,000 | 37,937,825 | |||||||||
|
| |||||||||||
Total Dominican Republic |
| |||||||||||
(Cost: $159,680,699) |
| 168,191,137 | ||||||||||
|
| |||||||||||
Ecuador — 2.3% | ||||||||||||
Ecuador Government International Bond |
| |||||||||||
7.88%(1) | 01/23/28 | 77,963,000 | 75,429,203 | |||||||||
7.95%(2) | 06/20/24 | 50,180,000 | 51,155,499 | |||||||||
|
| |||||||||||
Total Ecuador |
| |||||||||||
(Cost: $114,666,412) |
| 126,584,702 | ||||||||||
|
| |||||||||||
Egypt — 4.0% | ||||||||||||
Egypt Government International Bond |
| |||||||||||
6.59%(1) | 02/21/28 | 66,048,000 | 64,231,680 | |||||||||
7.60%(1) | 03/01/29 | 89,300,000 | 90,282,300 | |||||||||
8.70%(1) | 03/01/49 | 66,897,000 | 69,174,508 | |||||||||
|
| |||||||||||
Total Egypt |
| |||||||||||
(Cost: $223,270,776) |
| 223,688,488 | ||||||||||
|
| |||||||||||
El Salvador — 1.5% | ||||||||||||
AES El Salvador Trust III |
| |||||||||||
6.75%(2) | 03/28/23 | 12,800,000 | 12,464,000 | |||||||||
El Salvador Government International Bond |
| |||||||||||
5.88%(2) | 01/30/25 | 36,605,000 | 35,839,956 | |||||||||
7.63%(2) | 02/01/41 | 19,050,000 | 19,636,740 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
El Salvador (Continued) | ||||||||||||
7.65%(2) | 06/15/35 | $ | 17,802,000 | $ | 18,533,662 | |||||||
|
| |||||||||||
Total El Salvador |
| |||||||||||
(Cost: $85,018,927) |
| 86,474,358 | ||||||||||
|
| |||||||||||
Ghana — 2.3% | ||||||||||||
Ghana Government International Bond |
| |||||||||||
7.63%(2) | 05/16/29 | 26,360,000 | 25,980,416 | |||||||||
8.13%(1) | 03/26/32 | 52,270,000 | 51,978,595 | |||||||||
8.95%(1) | 03/26/51 | 51,825,000 | 51,384,487 | |||||||||
|
| |||||||||||
Total Ghana |
| |||||||||||
(Cost: $129,247,716) |
| 129,343,498 | ||||||||||
|
| |||||||||||
Honduras — 0.4%(Cost: $21,977,884) | ||||||||||||
Honduras Government International Bond |
| |||||||||||
6.25%(2) | 01/19/27 | 22,330,000 | 23,616,208 | |||||||||
|
| |||||||||||
India — 1.4% | ||||||||||||
Azure Power Energy, Ltd. |
| |||||||||||
5.50%(1) | 11/03/22 | 14,667,000 | 14,565,443 | |||||||||
Neerg Energy, Ltd. |
| |||||||||||
6.00%(1) | 02/13/22 | 18,042,000 | 17,890,447 | |||||||||
Vedanta Resources Finance II PLC |
| |||||||||||
9.25%(1) | 04/23/26 | 13,030,000 | 13,124,468 | |||||||||
Vedanta Resources PLC |
| |||||||||||
6.13%(2) | 08/09/24 | 35,969,000 | 32,598,705 | |||||||||
|
| |||||||||||
Total India |
| |||||||||||
(Cost: $77,641,647) |
| 78,179,063 | ||||||||||
|
| |||||||||||
Indonesia — 5.1% | ||||||||||||
Freeport-McMoRan, Inc. |
| |||||||||||
5.40% | 11/14/34 | 16,895,000 | 15,952,259 | |||||||||
Indika Energy Capital III Pte, Ltd. |
| |||||||||||
5.88%(2) | 11/09/24 | 16,200,000 | 15,328,440 | |||||||||
Indonesia Asahan Aluminium Persero PT |
| |||||||||||
6.53%(1) | 11/15/28 | 19,188,000 | 21,874,320 | |||||||||
6.76%(1) | 11/15/48 | 60,187,000 | 69,258,878 | |||||||||
Indonesia Treasury Bond |
| |||||||||||
8.25% | 05/15/29 | IDR | 369,415,000,000 | 26,766,385 | ||||||||
Minejesa Capital BV |
| |||||||||||
5.63%(1) | 08/10/37 | $ | 47,985,000 | 47,649,009 | ||||||||
Perusahaan Penerbit SBSN Indonesia III |
| |||||||||||
4.15%(2) | 03/29/27 | 64,095,000 | 65,314,087 | |||||||||
Saka Energi Indonesia PT |
| |||||||||||
4.45%(1) | 05/05/24 | 20,535,000 | 20,344,189 | |||||||||
|
| |||||||||||
Total Indonesia |
| |||||||||||
(Cost: $272,609,639) |
| 282,487,567 | ||||||||||
|
| |||||||||||
Iraq — 0.8%(Cost: $43,203,874) | ||||||||||||
Iraq International Bond |
| |||||||||||
5.80%(2) | 01/15/28 | 48,545,000 | 47,263,412 | |||||||||
|
|
See accompanying notes to financial statements.
10
Table of Contents
TCW Emerging Markets Income Fund
April 30, 2019 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Ivory Coast — 1.2%(Cost: $67,192,638) | ||||||||||||
Ivory Coast Government International Bond |
| |||||||||||
6.13%(1) | 06/15/33 | $ | 72,715,000 | $ | 66,406,174 | |||||||
|
| |||||||||||
Kazakhstan — 2.7% | ||||||||||||
Kazakhstan Temir Zholy National Co. JSC |
| |||||||||||
4.85%(1) | 11/17/27 | 35,605,000 | 37,075,486 | |||||||||
KazMunayGas National Co. JSC |
| |||||||||||
5.38%(1) | 04/24/30 | 26,585,000 | 28,499,652 | |||||||||
5.75%(1) | 04/19/47 | 80,804,000 | 84,876,522 | |||||||||
|
| |||||||||||
Total Kazakhstan |
| |||||||||||
(Cost: $143,281,149) |
| 150,451,660 | ||||||||||
|
| |||||||||||
Lebanon — 2.4% | ||||||||||||
Lebanon Government International Bond |
| |||||||||||
6.00%(2) | 01/27/23 | 47,909,000 | 41,620,944 | |||||||||
6.10%(2) | 10/04/22 | 40,610,000 | 35,891,930 | |||||||||
6.65%(2) | 04/22/24 | 67,782,000 | 58,292,520 | |||||||||
|
| |||||||||||
Total Lebanon |
| |||||||||||
(Cost: $134,792,324) |
| 135,805,394 | ||||||||||
|
| |||||||||||
Mexico — 4.1% | ||||||||||||
Banco Mercantil del Norte S.A. |
| |||||||||||
6.88% (5 year U.S. Treasury Constant Maturity Rate + 5.035%) (1)(4)(5) | 12/31/99 | 17,405,000 | 17,923,669 | |||||||||
Banco Mercantil del Norte S.A. |
| |||||||||||
7.63% (10 year U.S. Treasury Constant Maturity Rate + 5.353%)(1)(4)(5) | 12/31/99 | 15,126,000 | 15,639,830 | |||||||||
Credito Real SAB de CV |
| |||||||||||
9.50%(1) | 02/07/26 | 8,200,000 | 8,880,600 | |||||||||
Mexico Government International Bond |
| |||||||||||
4.15% | 03/28/27 | 19,865,000 | 20,162,975 | |||||||||
Petroleos Mexicanos |
| |||||||||||
5.35% | 02/12/28 | 82,765,000 | 77,923,248 | |||||||||
6.50% | 01/23/29 | 52,255,000 | 52,255,000 | |||||||||
6.63% | 06/15/35 | 35,955,000 | 34,768,485 | |||||||||
|
| |||||||||||
Total Mexico |
| |||||||||||
(Cost: $223,693,794) |
| 227,553,807 | ||||||||||
|
| |||||||||||
Mongolia — 0.8% | ||||||||||||
Development Bank of Mongolia LLC |
| |||||||||||
7.25%(1) | 10/23/23 | 26,115,000 | 26,762,391 | |||||||||
Mongolia Government International Bond |
| |||||||||||
5.13%(2) | 12/05/22 | 20,973,000 | 20,655,133 | |||||||||
|
| |||||||||||
Total Mongolia |
| |||||||||||
(Cost: $45,554,394) |
| 47,417,524 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Nigeria — 3.1% | ||||||||||||
IHS Netherlands Holdco BV |
| |||||||||||
9.50%(2) | 10/27/21 | $ | 16,185,000 | $ | 16,833,080 | |||||||
Nigeria Government International Bond |
| |||||||||||
7.14%(1) | 02/23/30 | 45,975,000 | 45,933,622 | |||||||||
7.70%(1) | 02/23/38 | 67,040,000 | 66,423,232 | |||||||||
9.25%(1) | 01/21/49 | 37,640,000 | 41,168,750 | |||||||||
|
| |||||||||||
Total Nigeria |
| |||||||||||
(Cost: $166,463,877) |
| 170,358,684 | ||||||||||
|
| |||||||||||
Oman — 2.5% | ||||||||||||
Oman Government International Bond |
| |||||||||||
5.63%(1) | 01/17/28 | 78,840,000 | 75,242,925 | |||||||||
Oman Sovereign Sukuk SAOC |
| |||||||||||
5.93%(1) | 10/31/25 | 62,080,000 | 63,202,717 | |||||||||
|
| |||||||||||
Total Oman |
| |||||||||||
(Cost: $134,988,764) |
| 138,445,642 | ||||||||||
|
| |||||||||||
Pakistan — 0.6%(Cost: $31,282,823) | ||||||||||||
Pakistan Government International Bond |
| |||||||||||
6.88%(2) | 12/05/27 | 33,930,000 | 33,714,884 | |||||||||
|
| |||||||||||
Panama — 2.5% | ||||||||||||
Aeropuerto Internacional de Tocumen S. A. |
| |||||||||||
6.00%(1) | 11/18/48 | 17,565,000 | 19,848,450 | |||||||||
AES Panama SRL |
| |||||||||||
6.00%(1) | 06/25/22 | 18,534,000 | 19,125,235 | |||||||||
Banistmo S.A. |
| |||||||||||
3.65%(1) | 09/19/22 | 9,140,000 | 9,087,902 | |||||||||
C&W Senior Financing Designated Activity Co. |
| |||||||||||
6.88%(1) | 09/15/27 | 22,924,000 | 23,061,315 | |||||||||
7.50%(1) | 10/15/26 | 13,450,000 | 13,954,375 | |||||||||
Global Bank Corp. |
| |||||||||||
4.50%(2) | 10/20/21 | 12,625,000 | 12,845,937 | |||||||||
5.25%(1)(3) | 04/16/29 | 29,215,000 | 29,726,262 | |||||||||
Sable International Finance, Ltd. |
| |||||||||||
5.75%(1) | 09/07/27 | 9,800,000 | 9,738,750 | |||||||||
|
| |||||||||||
Total Panama |
| |||||||||||
(Cost: $131,915,519) |
| 137,388,226 | ||||||||||
|
| |||||||||||
Paraguay — 1.0% | ||||||||||||
Paraguay Government International Bond |
| |||||||||||
5.40%(1) | 03/30/50 | 27,050,000 | 28,297,681 | |||||||||
5.60%(2) | 03/13/48 | 26,017,000 | 27,903,233 | |||||||||
|
| |||||||||||
Total Paraguay |
| |||||||||||
(Cost: $53,055,017) |
| 56,200,914 | ||||||||||
|
| |||||||||||
Peru — 1.9% | ||||||||||||
Hunt Oil Co. of Peru LLC Sucursal Del Peru |
| |||||||||||
6.38%(1) | 06/01/28 | 12,759,000 | 13,971,041 | |||||||||
Inkia Energy, Ltd. |
| |||||||||||
5.88%(1) | 11/09/27 | 16,705,000 | 16,815,253 |
See accompanying notes to financial statements.
11
Table of Contents
TCW Emerging Markets Income Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Peru (Continued) | ||||||||||||
Peru LNG SRL |
| |||||||||||
5.38%(1) | 03/22/30 | $ | 25,772,000 | $ | 27,168,842 | |||||||
Petroleos del Peru S.A. |
| |||||||||||
4.75%(2) | 06/19/32 | 16,250,000 | 16,565,250 | |||||||||
5.63%(1) | 06/19/47 | 14,135,000 | 14,961,898 | |||||||||
Telefonica del Peru S.A. |
| |||||||||||
7.38%(1) | 04/10/27 | PEN | 54,860,000 | 16,894,660 | ||||||||
|
| |||||||||||
Total Peru |
| |||||||||||
(Cost: $101,880,551) |
| 106,376,944 | ||||||||||
|
| |||||||||||
Qatar — 4.0% | ||||||||||||
Qatar Government International Bond |
| |||||||||||
4.00%(1) | 03/14/29 | $ | 131,604,000 | 137,657,784 | ||||||||
4.82%(1) | 03/14/49 | 19,860,000 | 21,374,325 | |||||||||
5.10%(1) | 04/23/48 | 55,340,000 | 61,961,984 | |||||||||
|
| |||||||||||
Total Qatar |
| |||||||||||
(Cost: $209,654,064) |
| 220,994,093 | ||||||||||
|
| |||||||||||
Russia — 3.5% | ||||||||||||
Russian Federation Government Bond |
| |||||||||||
4.25%(2) | 06/23/27 | 45,200,000 | 45,606,800 | |||||||||
4.38%(1) | 03/21/29 | 33,800,000 | 34,040,284 | |||||||||
4.75%(2) | 05/27/26 | 36,200,000 | 37,647,566 | |||||||||
5.10%(1) | 03/28/35 | 74,200,000 | 76,945,400 | |||||||||
|
| |||||||||||
Total Russia |
| |||||||||||
(Cost: $187,214,220) |
| 194,240,050 | ||||||||||
|
| |||||||||||
Saudi Arabia — 4.1% | ||||||||||||
Saudi Arabian Oil Co. |
| |||||||||||
3.50%(1) | 04/16/29 | 19,935,000 | 19,643,949 | |||||||||
4.25%(1) | 04/16/39 | 27,605,000 | 26,970,085 | |||||||||
Saudi Government International Bond |
| |||||||||||
4.50%(2) | 10/26/46 | 184,300,000 | 182,287,075 | |||||||||
|
| |||||||||||
Total Saudi Arabia |
| |||||||||||
(Cost: $223,965,612) |
| 228,901,109 | ||||||||||
|
| |||||||||||
Senegal — 1.5% | ||||||||||||
Senegal Government International Bond |
| |||||||||||
6.25%(2) | 05/23/33 | 49,407,000 | 47,739,514 | |||||||||
6.75%(2) | 03/13/48 | 36,540,000 | 33,792,557 | |||||||||
|
| |||||||||||
Total Senegal |
| |||||||||||
(Cost: $77,613,438) |
| 81,532,071 | ||||||||||
|
| |||||||||||
South Africa — 3.7% | ||||||||||||
Eskom Holdings SOC, Ltd. |
| |||||||||||
6.75%(2) | 08/06/23 | 48,685,000 | 49,050,138 | |||||||||
7.13%(2) | 02/11/25 | 26,025,000 | 26,389,350 | |||||||||
Petra Diamonds US Treasury PLC |
| |||||||||||
7.25%(2) | 05/01/22 | 17,500,000 | 17,106,250 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
South Africa (Continued) | ||||||||||||
SASOL Financing USA LLC |
| |||||||||||
5.88% | 03/27/24 | $ | 14,205,000 | $ | 15,082,834 | |||||||
6.50% | 09/27/28 | 29,920,000 | 32,795,312 | |||||||||
South Africa Government Bond |
| |||||||||||
4.30% | 10/12/28 | 30,265,000 | 28,279,283 | |||||||||
5.88% | 06/22/30 | 38,000,000 | 38,900,600 | |||||||||
|
| |||||||||||
Total South Africa |
| |||||||||||
(Cost: $199,118,011) |
| 207,603,767 | ||||||||||
|
| |||||||||||
Sri Lanka — 2.7% | ||||||||||||
Sri Lanka Government Bond |
| |||||||||||
5.75%(1) | 04/18/23 | 60,585,000 | 59,427,826 | |||||||||
6.75%(2) | 04/18/28 | 38,813,000 | 37,567,103 | |||||||||
6.85%(1) | 03/14/24 | 24,605,000 | 24,892,879 | |||||||||
7.85%(1) | 03/14/29 | 26,615,000 | 27,368,204 | |||||||||
|
| |||||||||||
Total Sri Lanka |
| |||||||||||
(Cost: $144,597,129) |
| 149,256,012 | ||||||||||
|
| |||||||||||
Tanzania — 0.2%(Cost: $13,118,419) | ||||||||||||
HTA Group, Ltd. |
| |||||||||||
9.13%(2) | 03/08/22 | 12,829,000 | 13,435,016 | |||||||||
|
| |||||||||||
Tunisia — 0.3%(Cost: $14,973,124) | ||||||||||||
Banque Centrale de Tunisie International Bond |
| |||||||||||
6.75%(1) | 10/31/23 | EUR | 13,275,000 | 15,014,915 | ||||||||
|
| |||||||||||
Turkey — 4.1% | ||||||||||||
Petkim Petrokimya Holding AS |
| |||||||||||
5.88%(1) | 01/26/23 | $ | 14,400,000 | 13,325,760 | ||||||||
Turk Telekomunikasyon AS |
| |||||||||||
4.88%(2) | 06/19/24 | 15,100,000 | 13,581,544 | |||||||||
6.88%(1) | 02/28/25 | 10,025,000 | 9,624,501 | |||||||||
Turkcell Iletisim Hizmetleri AS |
| |||||||||||
5.80%(1) | 04/11/28 | 20,400,000 | 17,830,620 | |||||||||
Turkey Government International Bond |
| |||||||||||
5.75% | 03/22/24 | 41,845,000 | 39,282,203 | |||||||||
6.00% | 03/25/27 | 91,415,000 | 82,549,116 | |||||||||
7.63% | 04/26/29 | 22,665,000 | 22,112,541 | |||||||||
Turkiye Vakiflar Bankasi TAO |
| |||||||||||
6.88% (USD 5 Year Swap rate + 5.439%)(2)(4) | 02/03/25 | 15,775,000 | 14,197,500 | |||||||||
Yapi ve Kredi Bankasi AS |
| |||||||||||
8.25%(1) | 10/15/24 | 16,475,000 | 15,797,136 | |||||||||
|
| |||||||||||
Total Turkey |
| |||||||||||
(Cost: $233,534,163) |
| 228,300,921 | ||||||||||
|
| |||||||||||
Ukraine — 2.6% | ||||||||||||
Ukraine Government International Bond |
| |||||||||||
7.75%(2) | 09/01/22 | 51,555,000 | 50,719,809 | |||||||||
7.75%(2) | 09/01/23 | 64,198,000 | 62,143,664 |
See accompanying notes to financial statements.
12
Table of Contents
TCW Emerging Markets Income Fund
April 30, 2019 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Ukraine (Continued) | ||||||||||||
8.99%(1) | 02/01/24 | $ | 34,600,000 | $ | 34,669,373 | |||||||
|
| |||||||||||
Total Ukraine |
| |||||||||||
(Cost: $146,946,921) |
| 147,532,846 | ||||||||||
|
| |||||||||||
United Arab Emirates — 0.3%(Cost: $17,500,606) | ||||||||||||
DP World, Ltd. |
| |||||||||||
5.63%(1) | 09/25/48 | 18,070,000 | 19,129,806 | |||||||||
|
| |||||||||||
Uruguay — 1.2% | ||||||||||||
Uruguay Government International Bond |
| |||||||||||
4.38% | 01/23/31 | 16,420,000 | 17,153,974 | |||||||||
4.98% | 04/20/55 | 47,850,000 | 49,476,900 | |||||||||
|
| |||||||||||
Total Uruguay |
| |||||||||||
(Cost: $62,593,139) |
| 66,630,874 | ||||||||||
|
| |||||||||||
Venezuela — 1.0% | ||||||||||||
Venezuela Government International Bond |
| |||||||||||
8.25%(6) | 10/13/24 | 68,054,200 | 20,331,192 | |||||||||
9.25%(6) | 09/15/27 | 60,955,000 | 19,353,213 | |||||||||
9.25%(6) | 05/07/28 | 49,048,000 | 14,530,470 | |||||||||
|
| |||||||||||
Total Venezuela |
| |||||||||||
(Cost: $58,451,914) |
| 54,214,875 | ||||||||||
|
| |||||||||||
Zambia — 0.9% | ||||||||||||
First Quantum Minerals, Ltd. |
| |||||||||||
6.88%(1) | 03/01/26 | 14,150,000 | 13,194,875 | |||||||||
7.50%(1) | 04/01/25 | 18,556,000 | 17,910,251 | |||||||||
Zambia Government International Bond |
| |||||||||||
8.50%(2) | 04/14/24 | 10,365,000 | 7,253,344 | |||||||||
8.97%(2) | 07/30/27 | 16,100,000 | 11,251,485 | |||||||||
|
| |||||||||||
Total Zambia |
| |||||||||||
(Cost: $57,488,369) |
| 49,609,955 | ||||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $5,132,098,627) |
| 5,271,889,607 | ||||||||||
|
| |||||||||||
PURCHASED OPTIONS(7) (0.0%) |
| |||||||||||
(Cost: $1,668,390) |
| 447,346 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||
MONEY MARKET INVESTMENTS (5.8%) |
| |||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class(8) | $ | 325,461,552 | $ | 325,461,552 | ||||||
|
| |||||||||
Total Money Market Investments |
| |||||||||
(Cost: $325,461,552) |
| 325,461,552 | ||||||||
|
| |||||||||
Total Investments (100.2%) |
| |||||||||
(Cost: $5,459,228,569) |
| 5,597,798,505 | ||||||||
Liabilities in Excess of Other Assets(-0.2%) | (10,658,910) | |||||||||
|
| |||||||||
Total Net Assets (100.0%) |
| $ | 5,587,139,595 | |||||||
|
|
Purchased Options — OTC (7) | ||||||||||||||||||||||||||||||||||
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount (000) | Market Value | Premiums Paid by Fund | Unrealized (Depreciation) | ||||||||||||||||||||||||||
USD Put / ZAR Call | Goldman Sachs & Co. | ZAR | 14 | 5/20/19 | 111,004 | $ | 111,004 | $ | 447,346 | $ | 1,668,390 | $ | (1,221,044 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
13
Table of Contents
TCW Emerging Markets Income Fund
Schedule of Investments (Unaudited) (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) | ||||||||||||||||||
BUY(9) | ||||||||||||||||||||||||
Bank of America | COP | 172,605,000,000 | 06/25/19 | $ | 55,500,000 | $ | 53,201,974 | $ | (2,298,026 | ) | ||||||||||||||
Bank of America | RUB | 1,735,198,020 | 05/06/19 | 26,267,000 | 26,858,067 | 591,067 | ||||||||||||||||||
Bank of America | SAR | 10,559,508 | 05/20/19 | 2,813,693 | 2,815,569 | 1,876 | ||||||||||||||||||
Citibank N.A. | SAR | 65,340,492 | 05/20/19 | 17,414,843 | 17,422,274 | 7,431 | ||||||||||||||||||
Citibank N.A. | SAR | 69,663,299 | 04/06/20 | 18,493,045 | 18,558,417 | 65,372 | ||||||||||||||||||
Goldman Sachs & Co. | COP | 163,859,455,500 | 05/06/19 | 52,530,000 | 50,634,062 | (1,895,938 | ) | |||||||||||||||||
Goldman Sachs & Co. | RUB | 1,735,198,020 | 05/06/19 | 26,911,599 | 26,858,067 | (53,532 | ) | |||||||||||||||||
Standard Chartered Bank | IDR | 395,038,000,000 | 06/24/19 | 27,800,000 | 27,535,208 | (264,792 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 227,730,180 | $ | 223,883,638 | $ | (3,846,542 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
SELL(10) | ||||||||||||||||||||||||
Bank of America | RUB | 1,735,198,020 | 05/06/19 | $ | 26,911,599 | $ | 26,858,067 | $ | 53,532 | |||||||||||||||
Bank of America | SAR | 10,559,508 | 05/20/19 | 2,782,479 | 2,815,569 | (33,090 | ) | |||||||||||||||||
Barclays Capital | COP | 163,859,455,500 | 05/06/19 | 52,100,582 | 50,634,062 | 1,466,520 | ||||||||||||||||||
Citibank N.A. | SAR | 65,340,492 | 05/20/19 | 17,217,521 | 17,422,275 | (204,754 | ) | |||||||||||||||||
Citibank N.A. | SAR | 69,663,299 | 04/06/20 | 18,470,000 | 18,558,416 | (88,416 | ) | |||||||||||||||||
Goldman Sachs & Co. | RUB | 1,735,198,020 | 05/06/19 | 25,925,564 | 26,858,066 | (932,502 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 143,407,745 | $ | 143,146,455 | $ | 261,290 | |||||||||||||||||||
|
|
|
|
|
|
Notes to the Schedule of Investments:
COP - | Colombian Peso. |
EUR - | Euro Currency. |
IDR - | Indonesian Rupiah. |
PEN - | Peruvian Nuevo Sol. |
RUB - | Russian Ruble. |
SAR - | Saudi Riyal. |
USD - | U.S. Dollar. |
ZAR - | South African Rand. |
OTC - | Over the Counter. |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only to qualified institutional buyers. At April 30, 2019, the value of these securities amounted to $2,625,082,258 or 47.0% of net assets. These securities are determined to be liquid by the Fund’s investment advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(2) | Investments issued under Regulation S of the Securities Act of 1933, as amended, may not be offered, sold, or delivered within the United States except under special exemptions. At April 30, 2019, the value of these securities amounted to $1,696,541,380 or 30.4% of net assets. |
(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) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2019. |
(5) | Perpetual Maturity. |
(6) | Security is currently in default due to bankruptcy or failure to make payment of principal or interest of the issuer. Income is not being accrued. |
(7) | See options table for description of purchased options. |
(8) | Rate disclosed is the7-day net yield as of April 30, 2019. |
(9) | Fund buys foreign currency, sells U.S. Dollar. |
(10) | Fund sells foreign currency, buys U.S. Dollar. |
See accompanying notes to financial statements.
14
Table of Contents
TCW Emerging Markets Income Fund
Investments by Sector (Unaudited) | April 30, 2019 |
Sector | Percentage of Net Assets | |||
Airlines | 0.4 | % | ||
Banks | 3.9 | |||
Chemicals | 1.1 | |||
Currency Options | 0.0 | * | ||
Commercial Services | 0.8 | |||
Diversified Financial Services | 0.6 | |||
Electric | 3.6 | |||
Energy-Alternate Sources | 0.6 | |||
Engineering & Construction | 0.8 | |||
Food | 0.4 | |||
Foreign Government Bonds | 61.2 | |||
Forest Products & Paper | 0.4 | |||
Iron & Steel | 1.0 | |||
Metal Fabricate & Hardware | 0.2 | |||
Mining | 3.6 | |||
Oil & Gas | 10.2 | |||
Packaging & Containers | 0.3 | |||
Pipelines | 0.7 | |||
Real Estate | 1.4 | |||
Telecommunications | 2.5 | |||
Transportation | 0.7 | |||
Money Market Investments | 5.8 | |||
|
| |||
Total | 100.2 | % | ||
|
|
* | Amount rounds to less than 0.1% |
See accompanying notes to financial statements.
15
Table of Contents
TCW Emerging Markets Income Fund
Fair Valuation Summary (Unaudited) | April 30, 2019 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2019 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 | $ | — | $ | 24,655,656 | $ | — | $ | 24,655,656 | ||||||||
Banks | — | 216,071,247 | — | 216,071,247 | ||||||||||||
Chemicals | — | 61,203,906 | — | 61,203,906 | ||||||||||||
Commercial Services | — | 42,268,663 | — | 42,268,663 | ||||||||||||
Diversified Financial Services | — | 31,103,102 | — | 31,103,102 | ||||||||||||
Electric | — | 201,324,345 | — | 201,324,345 | ||||||||||||
Energy-Alternate Sources | — | 32,455,891 | — | 32,455,891 | ||||||||||||
Engineering & Construction | — | 43,239,897 | — | 43,239,897 | ||||||||||||
Food | — | 19,465,000 | — | 19,465,000 | ||||||||||||
Foreign Government Bonds | — | 3,364,816,560 | 54,214,875 | 3,419,031,435 | ||||||||||||
Forest Products & Paper | — | 24,725,250 | — | 24,725,250 | ||||||||||||
Iron & Steel | — | 57,239,216 | — | 57,239,216 | ||||||||||||
Metal Fabricate & Hardware | — | 13,435,016 | — | 13,435,016 | ||||||||||||
Mining | — | 201,020,006 | — | 201,020,006 | ||||||||||||
Oil & Gas | — | 571,018,014 | — | 571,018,014 | ||||||||||||
Packaging & Containers | — | 19,200,348 | — | 19,200,348 | ||||||||||||
Pipelines | — | 38,664,395 | — | 38,664,395 | ||||||||||||
Real Estate | — | 79,492,327 | — | 79,492,327 | ||||||||||||
Telecommunications | — | 139,200,407 | — | 139,200,407 | ||||||||||||
Transportation | — | 37,075,486 | — | 37,075,486 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 5,217,674,732 | 54,214,875 | 5,271,889,607 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Currency Options | — | 447,346 | — | 447,346 | ||||||||||||
Money Market Investments | 325,461,552 | — | — | 325,461,552 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 325,461,552 | 5,218,122,078 | 54,214,875 | 5,597,798,505 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 2,185,798 | — | 2,185,798 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 325,461,552 | $ | 5,220,307,876 | $ | 54,214,875 | $ | 5,599,984,303 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (5,771,050 | ) | $ | — | $ | (5,771,050 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (5,771,050 | ) | $ | — | $ | (5,771,050 | ) | ||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
16
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Schedule of Investments (Unaudited) | April 30, 2019 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 87.1% of Net Assets |
| |||||||||||
Argentina — 0.5%(Cost: $1,386,098) | ||||||||||||
Argentina Treasury Bond BONCER |
| |||||||||||
2.25% | 04/28/20 | ARS | 26,400,000 | $ | 1,028,241 | |||||||
|
| |||||||||||
Brazil — 9.6% | ||||||||||||
Brazil Notas do Tesouro Nacional, Series F |
| |||||||||||
10.00% | 01/01/21 | BRL | 14,172,000 | 3,743,509 | ||||||||
10.00% | 01/01/23 | BRL | 41,585,000 | 11,106,926 | ||||||||
10.00% | 01/01/25 | BRL | 22,030,000 | 5,908,594 | ||||||||
|
| |||||||||||
Total Brazil |
| |||||||||||
(Cost: $19,615,704) |
| 20,759,029 | ||||||||||
|
| |||||||||||
Chile — 2.4% | ||||||||||||
Bonos de la Tesoreria de la Republica |
| |||||||||||
2.00% | 03/01/35 | CLP | 2,987,514,360 | 4,772,589 | ||||||||
Bonos del Banco Central de Chile en UF |
| |||||||||||
3.00% | 03/01/23 | CLP | 276,621,700 | 443,484 | ||||||||
|
| |||||||||||
Total Chile |
| |||||||||||
(Cost: $5,017,947) |
| 5,216,073 | ||||||||||
|
| |||||||||||
Colombia — 9.4% | ||||||||||||
Colombian TES (Treasury) Bond, Series B |
| |||||||||||
6.00% | 04/28/28 | COP | 9,972,800,000 | 2,967,651 | ||||||||
7.00% | 05/04/22 | COP | 11,831,900,000 | 3,823,537 | ||||||||
7.50% | 08/26/26 | COP | 16,319,000,000 | 5,373,932 | ||||||||
7.75% | 09/18/30 | COP | 11,616,000,000 | 3,841,006 | ||||||||
10.00% | 07/24/24 | COP | 12,004,700,000 | 4,375,801 | ||||||||
|
| |||||||||||
Total Colombia |
| |||||||||||
(Cost: $20,875,110) |
| 20,381,927 | ||||||||||
|
| |||||||||||
Egypt — 0.4%(Cost: $815,149) | ||||||||||||
Egypt Government Bond |
| |||||||||||
15.16% | 10/10/22 | EGP | 14,500,000 | 819,252 | ||||||||
|
| |||||||||||
Indonesia — 9.8% | ||||||||||||
Indonesia Treasury Bond |
| |||||||||||
6.63% | 05/15/33 | IDR | 16,025,000,000 | 972,746 | ||||||||
7.00% | 05/15/22 | IDR | 8,382,000,000 | 587,093 | ||||||||
7.00% | 05/15/27 | IDR | 21,200,000,000 | 1,422,831 | ||||||||
7.50% | 08/15/32 | IDR | 53,928,000,000 | 3,563,032 | ||||||||
8.25% | 05/15/29 | IDR | 42,934,000,000 | 3,110,832 | ||||||||
8.38% | 03/15/24 | IDR | 42,234,000,000 | 3,093,150 | ||||||||
8.38% | 09/15/26 | IDR | 86,006,000,000 | 6,246,751 | ||||||||
9.00% | 03/15/29 | IDR | 28,498,000,000 | 2,149,849 | ||||||||
|
| |||||||||||
Total Indonesia |
| |||||||||||
(Cost: $20,821,956) |
| 21,146,284 | ||||||||||
|
| |||||||||||
Malaysia — 6.0% | ||||||||||||
Malaysia Government Bond |
| |||||||||||
3.48% | 03/15/23 | MYR | 8,910,000 | 2,143,466 | ||||||||
3.80% | 08/17/23 | MYR | 11,228,000 | 2,732,794 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Malaysia (Continued) | ||||||||||||
3.90% | 11/16/27 | MYR | 8,660,000 | $ | 2,099,283 | |||||||
3.91% | 07/15/26 | MYR | 11,300,000 | 2,756,331 | ||||||||
4.05% | 09/30/21 | MYR | 5,220,000 | 1,280,791 | ||||||||
4.18% | 07/15/24 | MYR | 5,600,000 | 1,384,254 | ||||||||
4.92% | 07/06/48 | MYR | 2,000,000 | 507,099 | ||||||||
|
| |||||||||||
Total Malaysia |
| |||||||||||
(Cost: $12,658,713) |
| 12,904,018 | ||||||||||
|
| |||||||||||
Mexico — 10.9% | ||||||||||||
Mexico Government Bond (BONOS) |
| |||||||||||
5.75% | 03/05/26 | MXN | 42,450,000 | 1,964,609 | ||||||||
6.50% | 06/09/22 | MXN | 50,100,000 | 2,529,374 | ||||||||
7.50% | 06/03/27 | MXN | 82,200,000 | 4,171,079 | ||||||||
7.75% | 05/29/31 | MXN | 41,000,000 | 2,073,396 | ||||||||
7.75% | 11/13/42 | MXN | 42,800,000 | 2,082,976 | ||||||||
8.00% | 12/07/23 | MXN | 78,540,000 | 4,137,791 | ||||||||
10.00% | 12/05/24 | MXN | 97,445,000 | 5,594,806 | ||||||||
Petroleos Mexicanos |
| |||||||||||
7.19%(1) | 09/12/24 | MXN | 22,240,000 | 986,501 | ||||||||
7.65%(1) | 11/24/21 | MXN | 3,700,000 | 183,649 | ||||||||
|
| |||||||||||
Total Mexico |
| |||||||||||
(Cost: $23,548,184) |
| 23,724,181 | ||||||||||
|
| |||||||||||
Peru — 4.8% | ||||||||||||
Alicorp SAA |
| |||||||||||
6.88%(2) | 04/17/27 | PEN | 1,726,000 | 530,495 | ||||||||
Peruvian Government International Bond |
| |||||||||||
6.15%(2) | 08/12/32 | PEN | 8,050,000 | 2,564,841 | ||||||||
6.35%(2) | 08/12/28 | PEN | 6,650,000 | 2,189,778 | ||||||||
6.95%(1) | 08/12/31 | PEN | 7,671,000 | 2,619,341 | ||||||||
Telefonica del Peru S.A. |
| |||||||||||
7.38%(2) | 04/10/27 | PEN | 8,450,000 | 2,602,258 | ||||||||
|
| |||||||||||
Total Peru |
| |||||||||||
(Cost: $9,789,494) |
| 10,506,713 | ||||||||||
|
| |||||||||||
Philippines — 0.3%(Cost: $620,677) | ||||||||||||
Philippine Government Bond |
| |||||||||||
5.50% | 03/08/23 | PHP | 33,300,000 | 630,628 | ||||||||
|
| |||||||||||
Poland — 4.0% | ||||||||||||
Poland Government Bond |
| |||||||||||
2.50% | 07/25/26 | PLN | 6,700,000 | 1,724,925 | ||||||||
2.50% | 07/25/27 | PLN | 27,414,000 | 6,981,507 | ||||||||
|
| |||||||||||
Total Poland |
| |||||||||||
(Cost: $8,827,036) |
| 8,706,432 | ||||||||||
|
| |||||||||||
Romania — 2.0% | ||||||||||||
Romania Government Bond |
| |||||||||||
4.25% | 06/28/23 | RON | 11,705,000 | 2,761,250 | ||||||||
5.85% | 04/26/23 | RON | 6,340,000 | 1,584,552 | ||||||||
|
| |||||||||||
Total Romania |
| |||||||||||
(Cost: $4,446,698) |
| 4,345,802 | ||||||||||
|
|
See accompanying notes to financial statements.
17
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Russia — 10.3% | ||||||||||||
Russian Federal Bond — OFZ |
| |||||||||||
6.50% | 02/28/24 | RUB | 186,000,000 | $ | 2,738,955 | |||||||
6.90% | 05/23/29 | RUB | 303,500,000 | 4,356,507 | ||||||||
7.00% | 08/16/23 | RUB | 205,000,000 | 3,096,705 | ||||||||
7.05% | 01/19/28 | RUB | 119,600,000 | 1,754,806 | ||||||||
7.10% | 10/16/24 | RUB | 127,000,000 | 1,909,990 | ||||||||
7.75% | 09/16/26 | RUB | 84,000,000 | 1,292,360 | ||||||||
8.15% | 02/03/27 | RUB | 277,394,000 | 4,370,263 | ||||||||
8.50% | 09/17/31 | RUB | 170,200,000 | 2,719,906 | ||||||||
|
| |||||||||||
Total Russia |
| |||||||||||
(Cost: $21,495,080) |
| 22,239,492 | ||||||||||
|
| |||||||||||
South Africa — 9.5% | ||||||||||||
South Africa Government Bond |
| |||||||||||
7.75% | 02/28/23 | ZAR | 22,600,000 | 1,579,053 | ||||||||
8.00% | 01/31/30 | ZAR | 49,154,200 | 3,171,172 | ||||||||
8.50% | 01/31/37 | ZAR | 63,560,000 | 3,998,145 | ||||||||
8.75% | 01/31/44 | ZAR | 86,265,000 | 5,447,429 | ||||||||
8.75% | 02/28/48 | ZAR | 76,900,000 | 4,860,343 | ||||||||
8.88% | 02/28/35 | ZAR | 22,600,000 | 1,487,829 | ||||||||
|
| |||||||||||
Total South Africa |
| |||||||||||
(Cost: $21,290,958) |
| 20,543,971 | ||||||||||
|
| |||||||||||
Thailand — 3.1% | ||||||||||||
Thailand Government Bond |
| |||||||||||
2.13% | 12/17/26 | THB | 178,685,000 | 5,509,672 | ||||||||
3.40% | 06/17/36 | THB | 37,939,000 | 1,261,345 | ||||||||
|
| |||||||||||
Total Thailand |
| |||||||||||
(Cost: $6,415,859) |
| 6,771,017 | ||||||||||
|
| |||||||||||
Turkey — 3.6% | ||||||||||||
Turkey Government Bond |
| |||||||||||
8.50% | 07/10/19 | TRY | 6,440,000 | 1,050,121 | ||||||||
10.50% | 08/11/27 | TRY | 3,079,044 | 334,236 | ||||||||
10.70% | 02/17/21 | TRY | 13,800,000 | 1,891,244 | ||||||||
11.00% | 03/02/22 | TRY | 5,386,250 | 681,828 | ||||||||
11.00% | 02/24/27 | TRY | 30,250,000 | 3,364,771 | ||||||||
16.20% | 06/14/23 | TRY | 3,050,000 | 430,970 | ||||||||
|
| |||||||||||
Total Turkey |
| |||||||||||
(Cost: $10,909,764) |
| 7,753,170 | ||||||||||
|
| |||||||||||
Uruguay — 0.5% | ||||||||||||
Uruguay Government International Bond |
| |||||||||||
3.70% | 06/26/37 | UYU | 19,757,331 | 579,849 | ||||||||
4.38% | 12/15/28 | UYU | 15,924,718 | 488,898 | ||||||||
|
| |||||||||||
Total Uruguay |
| |||||||||||
(Cost: $1,129,193) |
| 1,068,747 | ||||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $189,663,620) |
| 188,544,977 | ||||||||||
|
| |||||||||||
PURCHASED OPTIONS(3) (0.0%) |
| |||||||||||
(Cost: $65,531) |
| 17,571 | ||||||||||
|
|
Issues | Shares | Value | ||||||||||
MONEY MARKET INVESTMENTS — 3.4% |
| |||||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 2.37% (4) |
| 7,383,548 | $ | 7,383,548 | ||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $7,383,548) |
| 7,383,548 | ||||||||||
|
| |||||||||||
Maturity Date | Principal Amount | |||||||||||
SHORT TERM INVESTMENTS — 7.5% |
| |||||||||||
FOREIGN GOVERNMENT BONDS — 7.5% |
| |||||||||||
Argentina — 0.4%(Cost: $1,137,243) | ||||||||||||
Argentina Treasury Bill |
| |||||||||||
0.00%(5) | 07/31/20 | ARS | 45,300,000 | 888,750 | ||||||||
|
| |||||||||||
Egypt — 4.6% | ||||||||||||
Egypt Treasury Bills |
| |||||||||||
0.00%(5) | 05/07/19 | EGP | 8,150,000 | 472,750 | ||||||||
0.00%(5) | 05/14/19 | EGP | 54,000,000 | 3,122,895 | ||||||||
0.00%(5) | 06/04/19 | EGP | 2,000,000 | 114,512 | ||||||||
0.00%(5) | 07/02/19 | EGP | 34,200,000 | 1,932,847 | ||||||||
0.00%(5) | 07/16/19 | EGP | 60,900,000 | 3,419,748 | ||||||||
0.00%(5) | 07/30/19 | EGP | 17,150,000 | 956,850 | ||||||||
|
| |||||||||||
Total Egypt |
| |||||||||||
(Cost: $9,882,431) |
| 10,019,602 | ||||||||||
|
| |||||||||||
Nigeria — 2.5% | ||||||||||||
Nigeria Treasury Bills |
| |||||||||||
0.00%(5) | 01/30/20 | NGN | 860,000,000 | 2,165,163 | ||||||||
0.00%(5) | 02/20/20 | NGN | 648,600,000 | 1,620,327 | ||||||||
0.00%(5) | 02/27/20 | NGN | 278,000,000 | 684,982 | ||||||||
0.00%(5) | 04/16/20 | NGN | 390,000,000 | 953,629 | ||||||||
|
| |||||||||||
Total Nigeria |
| |||||||||||
(Cost: $5,334,809) |
| 5,424,101 | ||||||||||
|
| |||||||||||
Total Short Term Investments |
| |||||||||||
(Cost: $16,354,483) |
| 16,332,453 | ||||||||||
|
| |||||||||||
Total Investments (98.0%) |
| |||||||||||
(Cost: $213,467,182) |
| 212,278,549 | ||||||||||
Excess of Other Assets over Liabilities (2.0%) |
| 4,287,063 | ||||||||||
|
| |||||||||||
Total Net Assets (100.0%) |
| $ | 216,565,612 | |||||||||
|
|
See accompanying notes to financial statements.
18
Table of Contents
TCW Emerging Markets Local Currency Income Fund
April 30, 2019 |
Purchased Options — OTC(3) | ||||||||||||||||||||||||||||||||||||
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount (000) | Market Value | Premiums Paid by Fund | Unrealized (Depreciation) | ||||||||||||||||||||||||||||
Currency Options | ||||||||||||||||||||||||||||||||||||
USD Put / ZAR Call | Goldman Sachs & Co. | ZAR | 14 | 5/20/19 | 4,360 | $ | 4,360 | $ | 17,571 | $ | 65,531 | $ | (47,960 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
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(6) | ||||||||||||||||||||||||
Bank of America, N.A. | COP | 10,080,352,000 | 06/11/19 | $ | 3,186,634 | $ | 3,109,152 | $ | (77,482 | ) | ||||||||||||||
Bank of America, N.A. | CZK | 132,522,975 | 06/18/19 | 5,850,000 | 5,798,414 | (51,586 | ) | |||||||||||||||||
Bank of America, N.A. | PHP | 133,261,100 | 05/06/19 | 2,540,000 | 2,556,655 | 16,655 | ||||||||||||||||||
Bank of America, N.A. | PLN | 12,838,350 | 05/13/19 | 3,361,000 | 3,354,414 | (6,586 | ) | |||||||||||||||||
Bank of America, N.A. | THB | 281,261,575 | 06/28/19 | 8,825,000 | 8,821,217 | (3,783 | ) | |||||||||||||||||
Bank of America, N.A. | TRY | 9,061,110 | 05/02/19 | 1,660,000 | 1,516,994 | (143,006 | ) | |||||||||||||||||
Barclays Bank PLC | CLP | 2,869,528,800 | 07/03/19 | 4,288,000 | 4,221,044 | (66,956 | ) | |||||||||||||||||
Barclays Bank PLC | MYR | 20,566,526 | 05/13/19 | 5,060,000 | 4,973,330 | (86,670 | ) | |||||||||||||||||
Barclays Bank PLC | PHP | 178,948,290 | 05/06/19 | 3,417,000 | 3,433,178 | 16,178 | ||||||||||||||||||
BNP Paribas S.A. | CZK | 49,345,200 | 06/18/19 | 2,160,000 | 2,159,051 | (949 | ) | |||||||||||||||||
BNP Paribas S.A. | HUF | 1,266,439,440 | 06/11/19 | 4,476,000 | 4,395,049 | (80,951 | ) | |||||||||||||||||
BNP Paribas S.A. | PLN | 48,652,183 | 05/13/19 | 12,730,000 | 12,711,881 | (18,119 | ) | |||||||||||||||||
BNP Paribas S.A. | TRY | 17,470,250 | 05/02/19 | 3,160,000 | 2,924,837 | (235,163 | ) | |||||||||||||||||
BNP Paribas S.A. | ZAR | 48,910,000 | 05/06/19 | 3,650,000 | 3,410,418 | (239,582 | ) | |||||||||||||||||
Goldman Sachs & Co. | HUF | 1,575,454,860 | 06/11/19 | 5,670,000 | 5,467,455 | (202,545 | ) | |||||||||||||||||
Goldman Sachs & Co. | PLN | 6,990,620 | 05/13/19 | 1,820,000 | 1,826,515 | 6,515 | ||||||||||||||||||
Goldman Sachs & Co. | RUB | 122,406,000 | 05/15/19 | 1,840,000 | 1,892,161 | 52,161 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 73,693,634 | $ | 72,571,765 | $ | (1,121,869 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
SELL(7) | ||||||||||||||||||||||||
Bank of America, N.A. | COP | 6,933,490,000 | 07/23/19 | $ | 2,180,000 | $ | 2,134,065 | $ | 45,935 | |||||||||||||||
Bank of America, N.A. | HUF | 723,555,000 | 06/11/19 | 2,523,146 | 2,511,024 | 12,122 | ||||||||||||||||||
Bank of America, N.A. | PHP | 246,715,640 | 05/06/19 | 4,659,530 | 4,733,316 | (73,786 | ) | |||||||||||||||||
Bank of America, N.A. | RUB | 322,025,633 | 05/15/19 | 4,750,000 | 4,977,896 | (227,896 | ) | |||||||||||||||||
Bank of America, N.A. | ZAR | 48,910,000 | 05/06/19 | 3,423,871 | 3,410,418 | 13,453 | ||||||||||||||||||
Barclays Bank PLC | COP | 10,080,352,000 | 06/11/19 | 3,200,000 | 3,109,152 | 90,848 | ||||||||||||||||||
Barclays Bank PLC | COP | 3,961,282,000 | 07/23/19 | 1,214,000 | 1,219,247 | (5,247 | ) | |||||||||||||||||
BNP Paribas S.A. | ARS | 44,394,000 | 07/29/19 | 840,000 | 878,820 | (38,820 | ) | |||||||||||||||||
BNP Paribas S.A. | TRY | 15,739,996 | 05/02/19 | 2,804,516 | 2,635,160 | 169,356 | ||||||||||||||||||
BNP Paribas S.A. | TRY | 1,254,397 | 05/03/19 | 210,222 | 209,883 | 339 | ||||||||||||||||||
BNP Paribas S.A. | ZAR | 15,897,750 | 08/05/19 | 1,100,000 | 1,096,589 | 3,411 | ||||||||||||||||||
Citibank N.A. | PLN | 20,888,596 | 05/13/19 | 5,492,409 | 5,457,789 | 34,620 | ||||||||||||||||||
Citibank N.A. | TRY | 10,791,364 | 05/02/19 | 1,927,704 | 1,806,670 | 121,034 | ||||||||||||||||||
Goldman Sachs & Co. | CLP | 736,443,750 | 07/03/19 | 1,085,000 | 1,083,300 | 1,700 | ||||||||||||||||||
Goldman Sachs & Co. | MYR | 20,566,527 | 05/13/19 | 5,038,943 | 4,973,330 | 65,613 | ||||||||||||||||||
Goldman Sachs & Co. | PHP | 65,493,750 | 05/06/19 | 1,250,000 | 1,256,519 | (6,519 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 41,699,341 | $ | 41,493,178 | $ | 206,163 | |||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
19
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Schedule of Investments (Unaudited) (Continued)
Notes to the Schedule of Investments:
ARS - | Argentine Peso. |
BRL - | Brazilian Real. |
CLP - | Chilean Peso. |
COP - | Colombian Peso. |
CZK - | Czech Koruna. |
EGP - | Egyptian Pound. |
HUF - | Hungarian Forint. |
IDR - | Indonesian Rupiah. |
MXN - | Mexican Peso. |
MYR - | Malaysian Ringgit. |
NGN - | Nigeria Naira. |
PEN - | Peruvian Nuevo Sol. |
PHP - | Philippines Peso. |
PLN - | Polish Zloty. |
RON - | Romanian New Leu. |
RUB - | Russian Ruble. |
THB - | Thai Baht. |
TRY - | Turkish New Lira. |
USD - | U.S. Dollar. |
UYU - | Uruguayan Peso. |
ZAR - | South African Rand. |
OTC - | Over the Counter. |
(1) | Investments issued under Regulation S of the Securities Act of 1933, as amended, may not be offered, sold, or delivered within the United States except under special exemptions. At April 30, 2019, the value of these securities amounted to $3,789,491 or 1.8% of net assets. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only to qualified institutional buyers. At April 30, 2019, the value of these securities amounted to $7,887,372 or 3.6% of net assets. These securities are determined to be liquid by the Fund’s investment advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(3) | See options table for description of purchased options. |
(4) | Rate disclosed is the7-day net yield as of April 30, 2019. |
(5) | Security is not accruing interest. |
(6) | Fund buys foreign currency, sells U.S. Dollar. |
(7) | Fund sells foreign currency, buys U.S. Dollar. |
See accompanying notes to financial statements.
20
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Investments by Sector (Unaudited) | April 30, 2019 |
Sector | Percentage of Net Assets | |||
Banks | 0.2 | % | ||
Currency Options | 0.0 | * | ||
Food | 0.3 | |||
Foreign Government Bonds | 84.9 | |||
Oil & Gas | 0.5 | |||
Short Term Investments | 7.5 | |||
Telecommunications | 1.2 | |||
Money Market Investments | 3.4 | |||
|
| |||
Total | 98.0 | % | ||
|
|
* | Value rounds to less than 0.1% of net assets. |
See accompanying notes to financial statements.
21
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Fair Valuation Summary (Unaudited) | April 30, 2019 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2019 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 | $ | — | $ | 443,484 | $ | — | $ | 443,484 | ||||||||
Food | — | 530,496 | — | 530,496 | ||||||||||||
Foreign Government Bonds | — | 183,798,589 | — | 183,798,589 | ||||||||||||
Oil & Gas | — | 1,170,150 | — | 1,170,150 | ||||||||||||
Telecommunications | — | 2,602,258 | — | 2,602,258 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 188,544,977 | — | 188,544,977 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Currency Options | — | 17,571 | — | 17,571 | ||||||||||||
Money Market Investments | 7,383,548 | — | — | 7,383,548 | ||||||||||||
Short-Term Investments | — | 16,332,453 | — | 16,332,453 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 7,383,548 | $ | 204,895,001 | $ | — | $ | 212,278,549 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 649,940 | — | 649,940 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 7,383,548 | $ | 205,544,941 | $ | — | $ | 212,928,489 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (1,565,646 | ) | $ | — | $ | (1,565,646 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (1,565,646 | ) | $ | — | $ | (1,565,646 | ) | ||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
22
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Unaudited) | April 30, 2019 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 40.2% of Net Assets |
| |||||||||||
Angola — 0.8% | ||||||||||||
Angolan Government International Bond |
| |||||||||||
8.25%(1) | 05/09/28 | $ | 425,000 | $ | 445,975 | |||||||
9.38%(1) | 05/08/48 | 425,000 | 457,576 | |||||||||
|
| |||||||||||
Total Angola |
| |||||||||||
(Cost: $845,974) |
| 903,551 | ||||||||||
|
| |||||||||||
Argentina — 0.7% | ||||||||||||
Argentine Republic Government International Bond |
| |||||||||||
3.75% | 12/31/38 | 450,000 | 237,600 | |||||||||
4.63% | 01/11/23 | 820,000 | 607,103 | |||||||||
|
| |||||||||||
Total Argentina |
| |||||||||||
(Cost: $915,766) |
| 844,703 | ||||||||||
|
| |||||||||||
Azerbaijan — 0.3%(Cost: $270,791) | ||||||||||||
Republic of Azerbaijan International Bond |
| |||||||||||
3.50%(2) | 09/01/32 | 325,000 | 291,597 | |||||||||
|
| |||||||||||
Bahrain — 0.9% | ||||||||||||
Bahrain Government International Bond |
| |||||||||||
6.75%(2) | 09/20/29 | 600,000 | 638,220 | |||||||||
7.00%(1) | 10/12/28 | 355,000 | 384,572 | |||||||||
|
| |||||||||||
Total Bahrain |
| |||||||||||
(Cost: $903,006) |
| 1,022,792 | ||||||||||
|
| |||||||||||
Belarus — 0.2%(Cost: $200,000) | ||||||||||||
Development Bank of the Republic of Belarus JSC |
| |||||||||||
6.75%(1) | 05/02/24 | 200,000 | 201,365 | |||||||||
|
| |||||||||||
Brazil — 2.6% | ||||||||||||
Banco BTG Pactual S.A. |
| |||||||||||
7.75%(1)(3) | 02/15/29 | 200,000 | 204,580 | |||||||||
Banco do Brasil S.A. |
| |||||||||||
6.25% (U.S.10-year Treasury Constant Maturity Rate + 4.398%)(2)(4)(5) | 10/29/49 | 200,000 | 181,394 | |||||||||
9.00% (U.S.10-year Treasury Constant Maturity Rate + 6.362%)(2)(4)(5) | 06/29/49 | 200,000 | 213,697 | |||||||||
CSN Islands XII Corp. |
| |||||||||||
7.00%(2)(5) | 09/29/49 | 200,000 | 174,260 | |||||||||
CSN Resources S.A. |
| |||||||||||
7.63%(1) | 04/17/26 | 250,000 | 250,150 | |||||||||
GTL Trade Finance, Inc. |
| |||||||||||
7.25%(2) | 04/16/44 | 200,000 | 227,250 | |||||||||
Klabin Austria GmbH |
| |||||||||||
7.00%(1) | 04/03/49 | 200,000 | 200,160 | |||||||||
Light Servicos de Eletricidade S.A./Light Energia S.A. |
| |||||||||||
7.25%(1) | 05/03/23 | 200,000 | 203,717 | |||||||||
MARB BondCo PLC |
| |||||||||||
6.88%(1) | 01/19/25 | 200,000 | 200,000 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Brazil (Continued) | ||||||||||||
Petrobras Global Finance B.V. |
| |||||||||||
5.75% | 02/01/29 | $ | 177,000 | $ | 177,885 | |||||||
6.85% | 12/31/99 | 310,000 | 304,379 | |||||||||
6.90% | 03/19/49 | 325,000 | 325,244 | |||||||||
Suzano Austria GmbH |
| |||||||||||
7.00%(1) | 03/16/47 | 200,000 | 222,750 | |||||||||
|
| |||||||||||
Total Brazil |
| |||||||||||
(Cost: $2,729,620) |
| 2,885,466 | ||||||||||
|
| |||||||||||
Chile — 0.4% | ||||||||||||
AES Gener S.A. |
| |||||||||||
7.13%(1)(3) | 03/26/79 | 200,000 | 209,750 | |||||||||
Latam Finance, Ltd. |
| |||||||||||
7.00%(1) | 03/01/26 | 200,000 | 205,250 | |||||||||
|
| |||||||||||
Total Chile |
| |||||||||||
(Cost: $402,818) |
| 415,000 | ||||||||||
|
| |||||||||||
China — 0.7% | ||||||||||||
China SCE Group Holdings, Ltd. |
| |||||||||||
7.45%(2) | 04/17/21 | 200,000 | 204,235 | |||||||||
Country Garden Holdings Co. Ltd. |
| |||||||||||
7.25%(2) | 04/04/21 | 200,000 | 204,280 | |||||||||
New Metro Global, Ltd. |
| |||||||||||
6.50%(2) | 04/23/21 | 200,000 | 201,600 | |||||||||
Sunac China Holdings, Ltd. |
| |||||||||||
7.88%(2) | 02/15/22 | 200,000 | 204,737 | |||||||||
|
| |||||||||||
Total China |
| |||||||||||
(Cost: $797,396) |
| 814,852 | ||||||||||
|
| |||||||||||
Colombia — 1.2% | ||||||||||||
Colombia Government International Bond |
| |||||||||||
5.00% | 06/15/45 | 850,000 | 889,865 | |||||||||
Ecopetrol S.A. |
| |||||||||||
5.88% | 05/28/45 | 280,000 | 289,814 | |||||||||
Millicom International Cellular S.A. |
| |||||||||||
6.25%(1) | 03/25/29 | 200,000 | 206,500 | |||||||||
|
| |||||||||||
Total Colombia |
| |||||||||||
(Cost: $1,307,541) |
| 1,386,179 | ||||||||||
|
| |||||||||||
Costa Rica — 1.0% | ||||||||||||
Autopistas del Sol S.A. |
| |||||||||||
7.38%(1) | 12/30/30 | 189,910 | 190,860 | |||||||||
Costa Rica Government International Bond |
| |||||||||||
4.38%(2) | 04/30/25 | 200,000 | 187,600 | |||||||||
7.00%(2) | 04/04/44 | 400,000 | 386,320 | |||||||||
7.16%(2) | 03/12/45 | 400,000 | 390,560 | |||||||||
|
| |||||||||||
Total Costa Rica |
| |||||||||||
(Cost: $1,135,896) |
| 1,155,340 | ||||||||||
|
|
See accompanying notes to financial statements.
23
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Dominican Republic — 1.2% | ||||||||||||
Dominican Republic International Bond |
| |||||||||||
5.95%(1) | 01/25/27 | $ | 295,000 | $ | 311,963 | |||||||
6.00%(1) | 07/19/28 | 650,000 | 686,936 | |||||||||
6.85%(2) | 01/27/45 | 350,000 | 376,250 | |||||||||
|
| |||||||||||
Total Dominican Republic |
| |||||||||||
(Cost: $1,305,284) |
| 1,375,149 | ||||||||||
|
| |||||||||||
Ecuador — 1.0% | ||||||||||||
Ecuador Government International Bond |
| |||||||||||
7.88%(1) | 01/23/28 | 800,000 | 774,000 | |||||||||
7.95%(2) | 06/20/24 | 350,000 | 356,804 | |||||||||
|
| |||||||||||
Total Ecuador |
| |||||||||||
(Cost: $1,046,019) |
| 1,130,804 | ||||||||||
|
| |||||||||||
Egypt — 1.7% | ||||||||||||
Egypt Government International Bond |
| |||||||||||
6.59%(1) | 02/21/28 | 500,000 | 486,250 | |||||||||
7.60%(1) | 03/01/29 | 1,070,000 | 1,081,770 | |||||||||
8.70%(1) | 03/01/49 | 300,000 | 310,213 | |||||||||
|
| |||||||||||
Total Egypt |
| |||||||||||
(Cost: $1,870,092) |
| 1,878,233 | ||||||||||
|
| |||||||||||
El Salvador — 0.6% | ||||||||||||
AES El Salvador Trust III |
| |||||||||||
6.75%(2) | 03/28/23 | 200,000 | 194,750 | |||||||||
El Salvador Government International Bond |
| |||||||||||
5.88%(2) | 01/30/25 | 175,000 | 171,342 | |||||||||
6.38%(2) | 01/18/27 | 50,000 | 49,105 | |||||||||
7.63%(2) | 02/01/41 | 150,000 | 154,620 | |||||||||
7.65%(2) | 06/15/35 | 135,000 | 140,549 | |||||||||
|
| |||||||||||
Total El Salvador |
| |||||||||||
(Cost: $694,300) |
| 710,366 | ||||||||||
|
| |||||||||||
Ghana — 1.1% | ||||||||||||
Ghana Government International Bond |
| |||||||||||
7.63%(2) | 05/16/29 | 200,000 | 197,120 | |||||||||
8.13%(1) | 03/26/32 | 400,000 | 397,770 | |||||||||
8.95%(1) | 03/26/51 | 600,000 | 594,900 | |||||||||
|
| |||||||||||
Total Ghana |
| |||||||||||
(Cost: $1,188,175) |
| 1,189,790 | ||||||||||
|
| |||||||||||
Honduras — 0.1%(Cost: $146,344) | ||||||||||||
Honduras Government International Bond |
| |||||||||||
6.25%(2) | 01/19/27 | 150,000 | 158,640 | |||||||||
|
| |||||||||||
India — 0.9% | ||||||||||||
Azure Power Energy, Ltd. |
| |||||||||||
5.50%(1) | 11/03/22 | 200,000 | 198,615 | |||||||||
Neerg Energy, Ltd. |
| |||||||||||
6.00%(1) | 02/13/22 | 200,000 | 198,320 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
India (Continued) | ||||||||||||
Vedanta Resources Finance II PLC |
| |||||||||||
9.25%(1) | 04/23/26 | $ | 200,000 | $ | 201,450 | |||||||
Vedanta Resources PLC |
| |||||||||||
6.13%(2) | 08/09/24 | 400,000 | 362,520 | |||||||||
|
| |||||||||||
Total India |
| |||||||||||
(Cost: $979,636) |
| 960,905 | ||||||||||
|
| |||||||||||
Indonesia — 2.1% | ||||||||||||
Freeport-McMoRan, Inc. |
| |||||||||||
5.40% | 11/14/34 | 155,000 | 146,351 | |||||||||
Indonesia Asahan Aluminium Persero PT |
| |||||||||||
6.53%(1) | 11/15/28 | 200,000 | 228,000 | |||||||||
6.76%(1) | 11/15/48 | 600,000 | 690,437 | |||||||||
Indonesia Treasury Bond |
| |||||||||||
8.25% | 05/15/29 | IDR | 3,755,000,000 | 272,073 | ||||||||
Minejesa Capital BV |
| |||||||||||
5.63%(1) | 08/10/37 | $ | 400,000 | 397,199 | ||||||||
Perusahaan Penerbit SBSN Indonesia III |
| |||||||||||
4.15%(2) | 03/29/27 | 600,000 | 611,412 | |||||||||
|
| |||||||||||
Total Indonesia |
| |||||||||||
(Cost: $2,282,723) |
| 2,345,472 | ||||||||||
|
| |||||||||||
Iraq — 0.2%(Cost: $227,489) | ||||||||||||
Iraq International Bond |
| |||||||||||
5.80%(2) | 01/15/28 | 250,000 | 243,400 | |||||||||
|
| |||||||||||
Ivory Coast — 0.5%(Cost: $542,500) | ||||||||||||
Ivory Coast Government International Bond |
| |||||||||||
6.13%(1) | 06/15/33 | 600,000 | 547,943 | |||||||||
|
| |||||||||||
Kazakhstan — 1.1% | ||||||||||||
Kazakhstan Temir Zholy National Co. JSC |
| |||||||||||
4.85%(1) | 11/17/27 | 400,000 | 416,520 | |||||||||
KazMunayGas National Co. JSC |
| |||||||||||
5.38%(1) | 04/24/30 | 200,000 | 214,404 | |||||||||
5.75%(1) | 04/19/47 | 600,000 | 630,240 | |||||||||
|
| |||||||||||
Total Kazakhstan |
| |||||||||||
(Cost: $1,187,580) |
| 1,261,164 | ||||||||||
|
| |||||||||||
Lebanon — 1.0% | ||||||||||||
Lebanon Government International Bond |
| |||||||||||
6.00%(2) | 01/27/23 | 435,000 | 377,906 | |||||||||
6.10%(2) | 10/04/22 | 345,000 | 304,918 | |||||||||
6.65%(2) | 04/22/24 | 578,000 | 497,080 | |||||||||
|
| |||||||||||
Total Lebanon |
| |||||||||||
(Cost: $1,173,137) |
| 1,179,904 | ||||||||||
|
| |||||||||||
Mexico — 1.6% | ||||||||||||
Banco Mercantil del Norte S.A. |
| |||||||||||
6.88% (5 year Treasury Constant Maturity Rate + 5.035%)(1)(4)(5) | 12/31/99 | 200,000 | 205,960 |
See accompanying notes to financial statements.
24
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
April 30, 2019 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Mexico (Continued) | ||||||||||||
Banco Mercantil del Norte S.A. |
| |||||||||||
7.63% (U.S.10-year Treasury Constant Maturity Rate + 5.353%)(1)(4)(5) | 12/31/99 | $ | 200,000 | $ | 206,794 | |||||||
Mexico Government International Bond |
| |||||||||||
4.15% | 03/28/27 | 250,000 | 253,750 | |||||||||
Petroleos Mexicanos |
| |||||||||||
5.35% | 02/12/28 | 613,000 | 577,139 | |||||||||
6.50% | 01/23/29 | 270,000 | 270,000 | |||||||||
6.63% | 06/15/35 | 340,000 | 328,780 | |||||||||
|
| |||||||||||
Total Mexico |
| |||||||||||
(Cost: $1,793,971) |
| 1,842,423 | ||||||||||
|
| |||||||||||
Mongolia — 0.4%(Cost: $393,730) | ||||||||||||
Development Bank of Mongolia LLC |
| |||||||||||
7.25%(1) | 10/23/23 | 400,000 | 409,916 | |||||||||
|
| |||||||||||
Nigeria — 1.4% | ||||||||||||
IHS Netherlands Holdco BV |
| |||||||||||
9.50%(2) | 10/27/21 | 200,000 | 208,009 | |||||||||
Nigeria Government International Bond |
| |||||||||||
7.14%(1) | 02/23/30 | 400,000 | 399,640 | |||||||||
7.70%(1) | 02/23/38 | 600,000 | 594,480 | |||||||||
9.25%(1) | 01/21/49 | 315,000 | 344,531 | |||||||||
|
| |||||||||||
Total Nigeria |
| |||||||||||
(Cost: $1,504,926) |
| 1,546,660 | ||||||||||
|
| |||||||||||
Oman — 0.7% | ||||||||||||
Oman Government International Bond |
| |||||||||||
5.63%(1) | 01/17/28 | 400,000 | 381,750 | |||||||||
Oman Sovereign Sukuk SAOC |
| |||||||||||
5.93%(1) | 10/31/25 | 450,000 | 458,138 | |||||||||
|
| |||||||||||
Total Oman |
| |||||||||||
(Cost: $820,438) |
| 839,888 | ||||||||||
|
| |||||||||||
Pakistan — 0.2%(Cost: $182,588) | ||||||||||||
Pakistan Government International Bond |
| |||||||||||
6.88%(2) | 12/05/27 | 200,000 | 198,732 | |||||||||
|
| |||||||||||
Panama — 1.4% | ||||||||||||
Aeropuerto Internacional de Tocumen S. A. |
| |||||||||||
6.00%(1) | 11/18/48 | 200,000 | 226,000 | |||||||||
AES Panama SRL |
| |||||||||||
6.00%(1) | 06/25/22 | 200,000 | 206,380 | |||||||||
C&W Senior Financing Designated Activity Co. |
| |||||||||||
6.88%(1) | 09/15/27 | 400,000 | 402,396 | |||||||||
7.50%(1) | 10/15/26 | 200,000 | 207,500 | |||||||||
Global Bank Corp. |
| |||||||||||
4.50%(2) | 10/20/21 | 200,000 | 203,500 | |||||||||
5.25%(1)(3) | 04/16/29 | 270,000 | 274,725 | |||||||||
|
| |||||||||||
Total Panama |
| |||||||||||
(Cost: $1,463,933) |
| 1,520,501 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Paraguay — 0.4%(Cost: $395,991) | ||||||||||||
Paraguay Government International Bond |
| |||||||||||
5.60%(2) | 03/13/48 | $ | 400,000 | $ | 429,000 | |||||||
|
| |||||||||||
Peru — 0.9% | ||||||||||||
Hunt Oil Co. of Peru LLC Sucursal Del Peru |
| |||||||||||
6.38%(1) | 06/01/28 | 200,000 | 218,999 | |||||||||
Inkia Energy, Ltd. |
| |||||||||||
5.88%(1) | 11/09/27 | 200,000 | 201,320 | |||||||||
Peru LNG SRL |
| |||||||||||
5.38%(1) | 03/22/30 | 200,000 | 210,840 | |||||||||
Petroleos del Peru S.A. |
| |||||||||||
5.63%(1) | 06/19/47 | 200,000 | 211,700 | |||||||||
Telefonica del Peru S.A. |
| |||||||||||
7.38%(1) | 04/10/27 | PEN | 475,000 | 146,281 | ||||||||
|
| |||||||||||
Total Peru |
| |||||||||||
(Cost: $940,635) |
| 989,140 | ||||||||||
|
| |||||||||||
Qatar — 1.5% | ||||||||||||
Qatar Government International Bond |
| |||||||||||
4.00%(1) | 03/14/29 | $ | 1,450,000 | 1,516,700 | ||||||||
4.82%(1) | 03/14/49 | 200,000 | 215,250 | |||||||||
|
| |||||||||||
Total Qatar |
| |||||||||||
(Cost: $1,671,755) |
| 1,731,950 | ||||||||||
|
| |||||||||||
Russia — 1.5% | ||||||||||||
Russian Federation Government Bond |
| |||||||||||
4.25%(2) | 06/23/27 | 400,000 | 403,600 | |||||||||
4.38%(1) | 03/21/29 | 400,000 | 402,843 | |||||||||
5.10%(1) | 03/28/35 | 600,000 | 622,200 | |||||||||
Russian Foreign Bond — Eurobond |
| |||||||||||
4.75%(2) | 05/27/26 | 200,000 | 207,998 | |||||||||
|
| |||||||||||
Total Russia |
| |||||||||||
(Cost: $1,569,707) |
| 1,636,641 | ||||||||||
|
| |||||||||||
Saudi Arabia — 1.6% | ||||||||||||
Saudi Arabian Oil Co. |
| |||||||||||
3.50%(1) | 04/16/29 | 200,000 | 197,080 | |||||||||
4.38%(1) | 04/16/49 | 250,000 | 244,000 | |||||||||
Saudi Government International Bond |
| |||||||||||
4.50%(2) | 10/26/46 | 1,400,000 | 1,384,709 | |||||||||
|
| |||||||||||
Total Saudi Arabia |
| |||||||||||
(Cost: $1,796,822) |
| 1,825,789 | ||||||||||
|
| |||||||||||
Senegal — 0.6% | ||||||||||||
Senegal Government International Bond |
| |||||||||||
6.25%(2) | 05/23/33 | 400,000 | 386,500 | |||||||||
6.75%(2) | 03/13/48 | 300,000 | 277,443 | |||||||||
|
| |||||||||||
Total Senegal |
| |||||||||||
(Cost: $631,843) |
| 663,943 | ||||||||||
|
|
See accompanying notes to financial statements.
25
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
South Africa — 1.6% | ||||||||||||
Eskom Holdings SOC, Ltd. |
| |||||||||||
6.75%(2) | 08/06/23 | $ | 400,000 | $ | 403,000 | |||||||
7.13%(2) | 02/11/25 | 400,000 | 405,600 | |||||||||
Petra Diamonds US Treasury PLC |
| |||||||||||
7.25%(2) | 05/01/22 | 200,000 | 195,500 | |||||||||
SASOL Financing USA LLC |
| |||||||||||
5.88% | 03/27/24 | 200,000 | 212,360 | |||||||||
6.50% | 09/27/28 | 200,000 | 219,220 | |||||||||
South Africa Government Bond |
| |||||||||||
5.88% | 06/22/30 | 325,000 | 332,702 | |||||||||
|
| |||||||||||
Total South Africa |
| |||||||||||
(Cost: $1,694,890) |
| 1,768,382 | ||||||||||
|
| |||||||||||
Sri Lanka — 1.0% | ||||||||||||
Sri Lanka Government Bond |
| |||||||||||
5.75%(1) | 04/18/23 | 500,000 | 490,450 | |||||||||
7.85%(1) | 03/14/29 | 600,000 | 616,980 | |||||||||
|
| |||||||||||
Total Sri Lanka |
| |||||||||||
(Cost: $1,080,635) |
| 1,107,430 | ||||||||||
|
| |||||||||||
Tanzania — 0.2%(Cost: $204,926) | ||||||||||||
HTA Group, Ltd. |
| |||||||||||
9.13%(2) | 03/08/22 | 200,000 | 209,448 | |||||||||
|
| |||||||||||
Tunisia — 0.2%(Cost: $197,386) | ||||||||||||
Banque Centrale de Tunisie International Bond |
| |||||||||||
6.75%(1) | 10/31/23 | EUR | 175,000 | 197,937 | ||||||||
|
| |||||||||||
Turkey — 1.9% | ||||||||||||
Petkim Petrokimya Holding AS |
| |||||||||||
5.88%(1) | 01/26/23 | $ | 200,000 | 185,080 | ||||||||
Turk Telekomunikasyon AS |
| |||||||||||
4.88%(2) | 06/19/24 | 200,000 | 179,888 | |||||||||
Turkcell Iletisim Hizmetleri AS |
| |||||||||||
5.80%(1) | 04/11/28 | 200,000 | 174,810 | |||||||||
Turkey Government International Bond |
| |||||||||||
5.75% | 03/22/24 | 200,000 | 187,751 | |||||||||
6.00% | 03/25/27 | 800,000 | 722,412 | |||||||||
6.13% | 10/24/28 | 325,000 | 292,216 | |||||||||
Turkiye Vakiflar Bankasi TAO |
| |||||||||||
6.88% (USD 5 Year Swap rate + 5.439%)(2)(4) | 02/03/25 | 200,000 | 180,000 | |||||||||
Yapi ve Kredi Bankasi AS |
| |||||||||||
8.25%(1) | 10/15/24 | 200,000 | 191,771 | |||||||||
|
| |||||||||||
Total Turkey |
| |||||||||||
(Cost: $2,177,716) |
| 2,113,928 | ||||||||||
|
| |||||||||||
Ukraine — 1.2% | ||||||||||||
Ukraine Government International Bond |
| |||||||||||
7.75%(2) | 09/01/22 | 625,000 | 614,875 | |||||||||
7.75%(2) | 09/01/23 | 425,000 | 411,400 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Ukraine (Continued) | ||||||||||||
8.99%(1) | 02/01/24 | $ | 325,000 | $ | 325,652 | |||||||
|
| |||||||||||
Total Ukraine |
| |||||||||||
(Cost: $1,346,655) |
| 1,351,927 | ||||||||||
|
| |||||||||||
Uruguay — 0.6% | ||||||||||||
Uruguay Government International Bond |
| |||||||||||
4.38% | 01/23/31 | 190,000 | 198,493 | |||||||||
4.98% | 04/20/55 | 500,000 | 517,000 | |||||||||
|
| |||||||||||
Total Uruguay |
| |||||||||||
(Cost: $673,454) |
| 715,493 | ||||||||||
|
| |||||||||||
Venezuela — 0.5% | ||||||||||||
Venezuela Government International Bond |
| |||||||||||
8.25%(2)(6) | 10/13/24 | 557,300 | 166,493 | |||||||||
9.25%(6) | 09/15/27 | 550,000 | 174,625 | |||||||||
9.25%(2)(6) | 05/07/28 | 787,000 | 233,149 | |||||||||
|
| |||||||||||
Total Venezuela |
| |||||||||||
(Cost: $599,172) |
| 574,267 | ||||||||||
|
| |||||||||||
Zambia — 0.5% | ||||||||||||
First Quantum Minerals, Ltd. |
| |||||||||||
7.50%(1) | 04/01/25 | 400,000 | 386,080 | |||||||||
Zambia Government International Bond |
| |||||||||||
8.50%(2) | 04/14/24 | 200,000 | 139,958 | |||||||||
|
| |||||||||||
Total Zambia |
| |||||||||||
(Cost: $586,701) |
| 526,038 | ||||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $43,879,961) |
| 45,102,048 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
PREFERRED STOCK — 0.6% |
| |||||||||||
South Korea — 0.3%(Cost: $314,163) | ||||||||||||
LG Household & Health Care, Ltd., 0.72% |
| 475 | 329,744 | |||||||||
|
| |||||||||||
Russia — 0.3%(Cost: $322,258) | ||||||||||||
Transneft PJSC, 4.94% |
| 120 | 311,256 | |||||||||
|
| |||||||||||
Total Preferred Stock |
| |||||||||||
(Cost: $636,421) |
| 641,000 | ||||||||||
|
| |||||||||||
COMMON STOCK — 58.3% |
| |||||||||||
Argentina — 0.4%(Cost: $291,950) | ||||||||||||
MercadoLibre, Inc.(7) | 900 | 435,726 | ||||||||||
|
| |||||||||||
Brazil — 3.1% | ||||||||||||
B3 S.A. — Brasil Bolsa Balcao | 104,700 | 913,073 | ||||||||||
Banco Bradesco S.A. (ADR) | 80,400 | 728,424 | ||||||||||
CCR S.A. | 189,000 | 559,302 | ||||||||||
Estacio Participacoes S.A. | 36,300 | 249,762 | ||||||||||
Petroleo Brasileiro S.A. (SP ADR) |
| 37,900 | 577,217 |
See accompanying notes to financial statements.
26
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
April 30, 2019 |
Issues | Shares | Value | ||||||
Brazil (Continued) | ||||||||
Vale S.A.(7) | 34,000 | $ | 434,520 | |||||
|
| |||||||
Total Brazil |
| |||||||
(Cost: $3,201,693) |
| 3,462,298 | ||||||
|
| |||||||
Chile — 0.3%(Cost: $338,222) | ||||||||
Antofagasta PLC | 27,724 | 329,488 | ||||||
|
| |||||||
China — 22.5% | ||||||||
58.Com, Inc. (ADR)(7) | 17,700 | 1,270,683 | ||||||
Alibaba Group Holding, Ltd. (SP ADR)(7) | 17,462 | 3,240,423 | ||||||
Angang Steel Co., Ltd. — Class H(7) | 426,000 | 286,618 | ||||||
Anhui Conch Cement Co., Ltd. — Class H | 55,000 | 335,684 | ||||||
Autohome, Inc. (ADR)(7) | 7,100 | 819,979 | ||||||
BYD Electronic International Co., Ltd. | 239,000 | 428,445 | ||||||
China Jinmao Holdings Group, Ltd. | 630,000 | 408,442 | ||||||
China Maple Leaf Educational Systems, Ltd. | 680,000 | 318,047 | ||||||
China National Building Material Co., Ltd. — Class H | 402,000 | 374,119 | ||||||
CIFI Holdings Group Co., Ltd. | 638,000 | 423,922 | ||||||
Cstone Pharmaceuticals(7) | 249,000 | 436,085 | ||||||
Fosun International, Ltd. | 210,500 | 326,966 | ||||||
Future Land Development Holdings, Ltd. | 366,000 | 436,441 | ||||||
Galaxy Entertainment Group, Ltd. | 185,000 | 1,385,402 | ||||||
Geely Automobile Holdings, Ltd. | 152,000 | 306,163 | ||||||
Haitong Securities Co., Ltd. — Class H | 1,024,400 | 1,321,061 | ||||||
Industrial & Commercial Bank of China, Ltd. — Class H | 629,000 | 473,072 | ||||||
Kingboard Holdings, Ltd. | 90,000 | 293,420 | ||||||
KWG Property Holding, Ltd. | 328,500 | 385,256 | ||||||
Lenovo Group, Ltd. | 426,000 | 394,732 | ||||||
Micron Technology, Inc.(7) | 21,600 | 908,496 | ||||||
New Oriental Education & Technology Group (ADR)(7) | 3,800 | 362,748 | ||||||
Pinduoduo, Inc. (ADR)(7) | 21,400 | 475,722 | ||||||
Ping An Insurance Group Co. of China, Ltd. — Class H | 122,150 | 1,478,471 | ||||||
Shanghai Industrial Holdings, Ltd. | 133,000 | 312,800 | ||||||
Shanghai Tunnel Engineering Co., Ltd. | 287,700 | 294,887 | ||||||
Shanxi Lu’an Environmental Energy Development Co., Ltd. | 259,211 | 317,951 | ||||||
Shui On Land, Ltd. | 1,298,000 | 316,252 | ||||||
Sino Biopharmaceutical, Ltd. | 509,000 | 490,021 | ||||||
Sinopec Engineering Group Co., Ltd. — Class H(7) | 328,000 | 317,160 | ||||||
Sinotruk Hong Kong, Ltd. | 172,500 | 374,441 | ||||||
Tencent Holdings, Ltd. | 29,912 | 1,474,179 | ||||||
Weibo Corp. (SP ADR)(7) | 14,600 | 1,000,100 | ||||||
Wisdom Education International Holdings Co., Ltd. | 622,000 | 365,714 | ||||||
WuXi AppTec Co., Ltd. — Class H(1)(7) | 28,900 | 355,476 | ||||||
Wuxi Biologics, Inc.(1)(7) | 60,500 | 609,491 |
Issues | Shares | Value | ||||||
China (Continued) | ||||||||
Xiamen C & D, 1Inc. | 238,112 | $ | 340,676 | |||||
Yanzhou Coal Mining Co., Ltd. — Class H | 324,000 | 345,881 | ||||||
Yuzhou Properties Co., Ltd. | 534,000 | 282,223 | ||||||
Zhejiang Expressway Co., Ltd. Class H | 280,000 | 300,304 | ||||||
Zhongsheng Group Holdings, Ltd. | 326,500 | 858,875 | ||||||
|
| |||||||
Total China |
| |||||||
(Cost: $21,554,768) |
| 25,246,828 | ||||||
|
| |||||||
Egypt — 0.9%(Cost: $920,004) | ||||||||
Commercial International Bank Egypt SAE | 220,127 | 982,744 | ||||||
|
| |||||||
France — 1.0%(Cost: $907,037) | ||||||||
Kering S.A. | 1,835 | 1,084,998 | ||||||
|
| |||||||
Greece — 1.4% | ||||||||
Alpha Bank AE (7) | 504,445 | 784,728 | ||||||
Motor Oil Hellas Corinth Refineries S.A. | 12,655 | 322,509 | ||||||
Piraeus Bank S.A.(7) | 204,140 | 415,822 | ||||||
|
| |||||||
Total Greece |
| |||||||
(Cost: $1,398,075) |
| 1,523,059 | ||||||
|
| |||||||
India — 1.7% | ||||||||
Avenue Supermarts, Ltd.(1)(7) | 30,987 | 574,712 | ||||||
Can Fin Homes, Ltd. | 132,124 | 603,685 | ||||||
Reliance Industries, Ltd. | 35,752 | 716,057 | ||||||
|
| |||||||
Total India |
| |||||||
(Cost: $1,925,606) |
| 1,894,454 | ||||||
|
| |||||||
Indonesia — 0.8%(Cost: $838,387) | ||||||||
Semen Indonesia Persero Tbk PT | 976,700 | 927,170 | ||||||
|
| |||||||
Iraq — 0.3%(Cost: $329,208) | ||||||||
Gulf Keystone Petroleum, Ltd.(7) | 97,000 | 321,620 | ||||||
|
| |||||||
Kenya — 1.2%(Cost: $1,068,654) | ||||||||
Safari.com, Ltd. | 4,605,700 | 1,303,543 | ||||||
|
| |||||||
Poland — 0.5% | ||||||||
Jastrzebska Spolka Weglowa S.A.(7) | 19,900 | 302,422 | ||||||
Orange Polska S.A.(7) | 240,814 | 310,861 | ||||||
|
| |||||||
Total Poland |
| |||||||
(Cost: $662,351) |
| 613,283 | ||||||
|
| |||||||
Russia — 2.1% | ||||||||
Lukoil PJSC (SP ADR) | 15,051 | 1,286,860 | ||||||
Sberbank of Russia | 108,170 | 378,628 | ||||||
Yandex N.V.(7) | 17,600 | 658,768 | ||||||
|
| |||||||
Total Russia |
| |||||||
(Cost: $1,844,660) |
| 2,324,256 | ||||||
|
| |||||||
South Africa — 3.9% | ||||||||
African Rainbow Minerals, Ltd. | 13,636 | 162,076 | ||||||
Barloworld, Ltd. | 35,864 | 319,656 | ||||||
Capitec Bank Holdings, Ltd. | 7,240 | 675,046 |
See accompanying notes to financial statements.
27
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Shares | Value | ||||||
South Africa (Continued) | ||||||||
Clicks Group, Ltd. | 45,289 | $ | 618,101 | |||||
FirstRand, Ltd. | 120,734 | 573,325 | ||||||
Mr Price Group, Ltd. | 20,128 | 304,378 | ||||||
Naspers, Ltd. — N Shares | 1,301 | 333,953 | ||||||
Sappi, Ltd. | 60,852 | 289,399 | ||||||
Standard Bank Group, Ltd. | 56,683 | 789,901 | ||||||
Telkom S.A .SOC, Ltd. | �� | 62,875 | 373,401 | |||||
|
| |||||||
Total South Africa |
| |||||||
(Cost: $4,071,599) |
| 4,439,236 | ||||||
|
| |||||||
South Korea — 3.8% | ||||||||
CJ Corp. | 2,937 | 300,390 | ||||||
Daelim Industrial Co., Ltd. | 3,453 | 286,512 | ||||||
Doosan Bobcat, Inc. | 11,815 | 323,977 | ||||||
Hyundai Department Store Co., Ltd | 3,625 | 315,222 | ||||||
Korean Air Lines Co., Ltd. | 11,250 | 319,504 | ||||||
Kumho Petrochemical Co., Ltd. | 3,735 | 294,083 | ||||||
Posco Daewoo Corp. | 20,165 | 316,152 | ||||||
Samsung Electronics Co., Ltd. | 33,237 | 1,306,786 | ||||||
Shinsegae Co., Ltd. | 1,651 | 481,101 | ||||||
SK Holdings Co., Ltd. | 1,343 | 295,341 | ||||||
|
| |||||||
Total South Korea |
| |||||||
(Cost: $3,956,419) |
| 4,239,068 | ||||||
|
| |||||||
Taiwan — 9.5% | ||||||||
Accton Technology Corp. | 328,000 | 1,393,349 | ||||||
Acer, Inc. | 500,000 | 339,875 | ||||||
Arcadyan Technology Corp. | 107,000 | 296,752 | ||||||
ASPEED Technology, Inc. | 16,000 | 333,189 | ||||||
Evergreen Marine Corp. Taiwan, Ltd. | 798,000 | 350,337 | ||||||
Lanner Electronics, Inc. | 251,000 | 631,871 | ||||||
Largan Precision Co., Ltd. | 5,000 | 750,612 | ||||||
Nanya Technology Corp. | 163,000 | 346,170 | ||||||
Pou Chen Corp. | 272,000 | 330,901 | ||||||
Powertech Technology, Inc.(7) | 138,000 | 344,552 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 337,000 | 2,829,462 | ||||||
Taiwan Union Technology Corp. | 291,000 | 1,062,310 | ||||||
United Microelectronics Corp. | 860,000 | 375,001 | ||||||
Win Semiconductors Corp. | 92,000 | 619,204 | ||||||
Winbond Electronics Corp. | 664,000 | 345,820 | ||||||
Zhen Ding Technology Holding, Ltd. | 106,000 | 379,232 | ||||||
|
| |||||||
Total Taiwan |
| |||||||
(Cost: $9,585,709) |
| 10,728,637 | ||||||
|
|
Issues | Shares | Value | ||||||
Turkey — 0.7% | ||||||||
Ford Otomotiv Sanayi A.S. | 38,940 | $ | 344,058 | |||||
Koc Holding A.S. | 92,122 | 250,000 | ||||||
Tupras Turkiye Petrol Rafinerileri A.S. | 11,970 | 247,467 | ||||||
|
| |||||||
Total Turkey |
| |||||||
(Cost: $959,282) |
| 841,525 | ||||||
|
| |||||||
United Arab Emirates — 1.6% | ||||||||
DAMAC Properties Dubai Co. PJSC | 881,747 | 297,021 | ||||||
Emaar Properties PJSC | 239,508 | 313,844 | ||||||
NMC Health PLC | 32,484 | 1,199,243 | ||||||
|
| |||||||
Total United Arab Emirates |
| |||||||
(Cost: $1,405,699) |
| 1,810,108 | ||||||
|
| |||||||
United States — 2.6% | ||||||||
Analog Devices, Inc. | 3,200 | 371,968 | ||||||
Applied Materials, Inc. | 16,100 | 709,527 | ||||||
MSCI, Inc. | 2,700 | 608,526 | ||||||
Teradyne, Inc. | 7,700 | 377,300 | ||||||
Xilinx, Inc. | 7,400 | 889,036 | ||||||
|
| |||||||
Total United States |
| |||||||
(Cost: $2,314,294) |
| 2,956,357 | ||||||
|
| |||||||
Total Common Stock |
| |||||||
(Cost: $57,573,617) |
| 65,464,398 | ||||||
|
| |||||||
RIGHTS — 0.0% |
| |||||||
China — 0.0% | ||||||||
Haitong Securities, Strike Price CNY 1, 06/30/2019(7) | 36,585 | — | ||||||
|
| |||||||
Total Rights |
| |||||||
(Cost: $—) |
| — | ||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 0.5% | ||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 2.37%(8) | 616,299 | 616,299 | ||||||
|
| |||||||
Total Money Market Investments |
| |||||||
(Cost: $616,299) |
| 616,299 | ||||||
|
| |||||||
PURCHASED OPTIONS(9) (0.0%) | ||||||||
(Cost: $14,504) |
| 3,889 | ||||||
|
| |||||||
Total Investments (99.6%) |
| |||||||
(Cost: $102,720,802) |
| 111,827,634 | ||||||
Excess of Other Assets over Liabilities (0.4%) |
| 473,501 | ||||||
|
| |||||||
Total Net Assets (100.0%) |
| $ | 112,301,135 | |||||
|
|
See accompanying notes to financial statements.
28
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
April 30, 2019 |
Purchased Options — OTC(9) | ||||||||||||||||||||||||||||||||||
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount (000) | Market Value | Premiums Paid Fund | Unrealized Depreciation | ||||||||||||||||||||||||||
Currency Options |
| |||||||||||||||||||||||||||||||||
USD Put / ZAR Call | Citibank N.A. | ZAR | 14 | 5/20/19 | 965 | $ | 965 | $ | 3,889 | $ | 14,504 | $ | (10,615 | ) | ||||||||||||||||||||
|
|
|
|
|
|
Forward Currency Contracts | ||||||||||||||||||||||||
Counterparty | Contracts to Deliver | Units of Currency | Settlement Date | In Exchange for U.S. Dollars | Contracts at Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
BUY(10) | ||||||||||||||||||||||||
Bank of America | COP | 1,508,350,000 | 06/25/19 | $ | 485,000 | $ | 464,918 | $ | (20,082 | ) | ||||||||||||||
Bank of America | RUB | 18,232,560 | 05/06/19 | 276,000 | 282,211 | 6,211 | ||||||||||||||||||
Bank of America | SAR | 73,915 | 05/20/19 | 19,695 | 19,708 | 13 | ||||||||||||||||||
Citibank N.A. | SAR | 457,385 | 05/20/19 | 121,904 | 121,956 | 52 | ||||||||||||||||||
Citibank N.A. | SAR | 565,755 | 04/06/20 | 150,187 | 150,718 | 531 | ||||||||||||||||||
Goldman Sachs & Co. | COP | 1,725,000,550 | 05/06/19 | 553,000 | 533,041 | (19,959 | ) | |||||||||||||||||
Goldman Sachs & Co. | RUB | 18,232,560 | 05/06/19 | 282,773 | 282,211 | (562 | ) | |||||||||||||||||
Standard Chartered Bank | IDR | 3,552,500,000 | 06/24/19 | 250,000 | 247,618 | (2,382 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 2,138,559 | $ | 2,102,381 | $ | (36,178 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
SELL(11) | ||||||||||||||||||||||||
Bank of America | RUB | 18,232,560 | 05/06/19 | $ | 282,773 | $ | 282,211 | $ | 562 | |||||||||||||||
Bank of America | SAR | 73,915 | 05/20/19 | 19,477 | 19,709 | (232 | ) | |||||||||||||||||
Barclays Capital | COP | 1,725,000,550 | 05/06/19 | 548,480 | 533,041 | 15,439 | ||||||||||||||||||
Citibank N.A. | SAR | 457,385 | 05/20/19 | �� | 120,523 | 121,956 | (1,433 | ) | ||||||||||||||||
Citibank N.A. | SAR | 565,755 | 04/06/20 | 150,000 | 150,719 | (719 | ) | |||||||||||||||||
Goldman Sachs & Co. | RUB | 18,232,560 | 05/06/19 | 272,413 | 282,210 | (9,797 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 1,393,666 | $ | 1,389,846 | $ | 3,820 | |||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
29
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Unaudited) (Continued)
Notes to the Schedule of Investments:
BRL - | Brazilian Real. |
COP - | Colombian Peso. |
EGP - | Egyptian Pound. |
EUR - | Euro Currency. |
IDR - | Indonesian Rupiah. |
KES - | Kenyan Shilling. |
PEN - | Peruvian Nuevo Sol. |
RUB - | Russian Ruble. |
SAR - | Saudi Riyal. |
TRY - | Turkish New Lira. |
ZAR - | South African Rand. |
ADR - | American Depositary Receipt. ADRs are receipts typically issued by a U.S. bank or trust company, evidencing ownership of underlying securities issued by a foreign corporation. |
OTC - | Over the Counter. |
PJSC - | Private Joint-Stock Company. |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only to qualified institutional buyers. At April 30, 2019, the value of these securities amounted to $24,563,997 or 21.9% of net assets. These securities are determined to be liquid by the Fund’s investment advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(2) | Investments issued under Regulation S of the Securities Act of 1933, as amended, may not be offered, sold, or delivered within the United States except under special exemptions. At April 30, 2019, the value of these securities amounted to $14,540,968 or 13.0% of net assets. |
(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) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2019. |
(5) | Perpetual Maturity. |
(6) | Security is currently in default due to bankruptcy or failure to make payment of principal or interest of the issuer. Income is not being accrued. |
(7) | Non-income producing security. |
(8) | Rate disclosed is the7-day net yield as of April 30, 2019. |
(9) | See options table for description of purchased options. |
(10) | Fund buys foreign currency, sells U.S. Dollar. |
(11) | Fund sells foreign currency, buys U.S. Dollar. |
See accompanying notes to financial statements.
30
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Investments by Sector (Unaudited) | April 30, 2019 |
Sector | Percentage of Net Assets | |||
Airlines | 0.5 | % | ||
Apparel | 1.3 | |||
Auto Manufacturers | 0.9 | |||
Banks | 6.4 | |||
Biotechnology | 0.4 | |||
Building Materials | 1.5 | |||
Chemicals | 1.1 | |||
Coal | 0.9 | |||
Commercial Services | 2.1 | |||
Computers | 0.6 | |||
Cosmetics/Personal Care | 0.3 | |||
Currency Options | 0.0 | * | ||
Distribution & Wholesale | 0.3 | |||
Diversified Financial Services | 3.3 | |||
Electric | 2.0 | |||
Electronics | 1.7 | |||
Energy-Alternate Sources | 0.3 | |||
Engineering & Construction | 0.7 | |||
Financial | 0.0 | |||
Food | 0.7 | |||
Foreign Government Bonds | 25.2 | |||
Forest Products & Paper | 0.4 | |||
Healthcare-Services | 1.1 | |||
Holding Companies-Diversified | 0.5 | |||
Insurance | 1.6 | |||
Internet | 8.6 | |||
Iron & Steel | 1.2 | |||
Lodging | 1.2 | |||
Machinery-Constr & Mining | 0.3 | |||
Metal Fabricate & Hardware | 0.2 | |||
Mining | 2.4 | |||
Miscellaneous Manufacturers | 0.7 | |||
Oil & Gas | 6.9 | |||
Oil & Gas Services | 0.3 | |||
Packaging & Containers | 0.2 | |||
Pharmaceuticals | 1.3 | |||
Pipelines | 0.5 | |||
Real Estate | 3.5 | |||
Retail | 2.6 | |||
Semiconductors | 8.7 | |||
Software | 0.5 | |||
Telecommunications | 5.2 | |||
Transportation | 1.0 | |||
Money Market Investments | 0.5 | |||
|
| |||
Total | 99.6 | % | ||
|
|
* | Amount rounds to less than 0.1% |
See accompanying notes to financial statements.
31
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Investments by Country (Unaudited)
Country | Percentage of Net Assets | |||
Angola | 0.8 | % | ||
Argentina | 1.1 | |||
Azerbaijan | 0.3 | |||
Bahrain | 0.9 | |||
Belarus | 0.2 | |||
Brazil | 5.7 | |||
Chile | 0.7 | |||
China | 23.2 | |||
Colombia | 1.2 | |||
Costa Rica | 1.0 | |||
Dominican Republic | 1.2 | |||
Ecuador | 1.0 | |||
Egypt | 2.5 | |||
El Salvador | 0.6 | |||
France | 1.0 | |||
Ghana | 1.1 | |||
Greece | 1.4 | |||
Honduras | 0.1 | |||
India | 2.5 | |||
Indonesia | 2.9 | |||
Iraq | 0.5 | |||
Ivory Coast | 0.5 | |||
Kazakhstan | 1.1 | |||
Kenya | 1.2 | |||
Lebanon | 1.1 | |||
Mexico | 1.6 | |||
Mongolia | 0.4 | |||
Nigeria | 1.4 | |||
Oman | 0.7 | |||
Pakistan | 0.2 | |||
Panama | 1.4 | |||
Paraguay | 0.4 | |||
Peru | 0.9 | |||
Poland | 0.5 | |||
Qatar | 1.5 | |||
Russia | 3.8 | |||
Saudi Arabia | 1.6 | |||
Senegal | 0.6 | |||
South Africa | 5.5 | |||
South Korea | 4.1 | |||
Sri Lanka | 1.0 | |||
Taiwan | 9.6 | |||
Tanzania | 0.2 | |||
Tunisia | 0.2 | |||
Turkey | 2.6 | |||
Ukraine | 1.8 | |||
United Arab Emirates | 1.6 | |||
United States | 2.6 | |||
Uruguay | 0.6 | |||
Venezuela | 0.5 | |||
Zambia | 0.5 | |||
|
| |||
Total | 99.6 | % | ||
|
|
See accompanying notes to financial statements.
32
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Fair Valuation Summary (Unaudited) | April 30, 2019 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2019 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 | $ | — | $ | 205,250 | $ | — | $ | 205,250 | ||||||||
Banks | — | 2,057,143 | — | 2,057,143 | ||||||||||||
Chemicals | — | 616,659 | — | 616,659 | ||||||||||||
Commercial Services | — | 190,860 | — | 190,860 | ||||||||||||
Diversified Financial Services | — | 204,580 | — | 204,580 | ||||||||||||
Electric | — | 2,221,716 | — | 2,221,716 | ||||||||||||
Energy-Alternate Sources | — | 396,935 | — | 396,935 | ||||||||||||
Engineering & Construction | — | 226,000 | — | 226,000 | ||||||||||||
Food | — | 200,000 | — | 200,000 | ||||||||||||
Foreign Government Bonds | — | 27,757,022 | 574,267 | 28,331,289 | ||||||||||||
Forest Products & Paper | — | 222,750 | — | 222,750 | ||||||||||||
Iron & Steel | — | 651,660 | — | 651,660 | ||||||||||||
Metal Fabricate & Hardware | — | 209,448 | — | 209,448 | ||||||||||||
Mining | — | 2,210,338 | — | 2,210,338 | ||||||||||||
Oil & Gas | — | 3,989,665 | — | 3,989,665 | ||||||||||||
Packaging & Containers | — | 200,160 | — | 200,160 | ||||||||||||
Pipelines | — | 210,840 | — | 210,840 | ||||||||||||
Real Estate | — | 814,852 | — | 814,852 | ||||||||||||
Telecommunications | — | 1,525,383 | — | 1,525,383 | ||||||||||||
Transportation | — | 416,520 | — | 416,520 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 44,527,781 | 574,267 | 45,102,048 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stock | ||||||||||||||||
Cosmetics/Personal Care | — | 329,744 | — | 329,744 | ||||||||||||
Pipelines | — | 311,256 | — | 311,256 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stock | — | 641,000 | — | 641,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Common Stock | ||||||||||||||||
Airlines | — | 319,504 | — | 319,504 | ||||||||||||
Apparel | — | 1,415,899 | — | 1,415,899 | ||||||||||||
Auto Manufacturers | — | 1,024,662 | — | 1,024,662 | ||||||||||||
Banks | 728,424 | 4,398,219 | — | 5,126,643 | ||||||||||||
Biotechnology | 436,085 | — | — | 436,085 | ||||||||||||
Building Materials | — | 1,636,973 | — | 1,636,973 | ||||||||||||
Chemicals | — | 587,503 | — | 587,503 | ||||||||||||
Coal | — | 966,255 | — | 966,255 | ||||||||||||
Commercial Services | 1,171,812 | 984,065 | — | 2,155,877 | ||||||||||||
Computers | — | 734,607 | — | 734,607 | ||||||||||||
Distribution & Wholesale | — | 316,152 | — | 316,152 | ||||||||||||
Diversified Financial Services | 1,588,120 | 1,924,747 | — | 3,512,867 | ||||||||||||
Electronics | — | 1,869,987 | — | 1,869,987 | ||||||||||||
Engineering & Construction | — | 581,399 | — | 581,399 | ||||||||||||
Food | — | 574,712 | — | 574,712 | ||||||||||||
Forest Products & Paper | 289,398 | — | — | 289,398 | ||||||||||||
Healthcare-Services | — | 1,199,243 | — | 1,199,243 | ||||||||||||
Holding Companies — Diversified | 250,000 | 300,390 | — | 550,390 |
See accompanying notes to financial statements.
33
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Fair Valuation Summary (Unaudited) (Continued) | April 30, 2019 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Insurance | $ | — | $ | 1,805,437 | $ | — | $ | 1,805,437 | ||||||||
Internet | 7,901,402 | 1,808,132 | — | 9,709,534 | ||||||||||||
Iron & Steel | 434,520 | 286,618 | — | 721,138 | ||||||||||||
Lodging | — | 1,385,402 | — | 1,385,402 | ||||||||||||
Machinery-Constr & Mining | — | 323,977 | — | 323,977 | ||||||||||||
Mining | — | 491,564 | — | 491,564 | ||||||||||||
Miscellaneous Manufacturers | — | 750,612 | — | 750,612 | ||||||||||||
Oil & Gas Services | — | 317,160 | — | 317,160 | ||||||||||||
Oil & Gas | 2,186,586 | 1,580,484 | — | 3,767,070 | ||||||||||||
Pharmaceuticals | 355,476 | 1,099,512 | — | 1,454,988 | ||||||||||||
Real Estate | — | 3,176,200 | — | 3,176,200 | ||||||||||||
Retail | 618,101 | 2,279,231 | — | 2,897,332 | ||||||||||||
Semiconductors | 3,256,327 | 6,500,185 | — | 9,756,512 | ||||||||||||
Software | 608,526 | — | — | 608,526 | ||||||||||||
Telecommunications | 1,303,543 | 3,006,234 | — | 4,309,777 | ||||||||||||
Transportation | — | 691,013 | — | 691,013 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 21,128,320 | 44,336,078 | — | 65,464,398 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights | ||||||||||||||||
Capital Markets | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 616,299 | — | — | 616,299 | ||||||||||||
Currency Options | — | 3,889 | — | 3,889 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 21,744,619 | $ | 89,508,748 | $ | 574,267 | $ | 111,827,634 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 22,808 | — | 22,808 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 21,744,619 | $ | 89,531,556 | $ | 574,267 | $ | 111,850,442 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (55,166 | ) | $ | — | $ | (55,166 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (55,166 | ) | $ | — | $ | (55,166 | ) | ||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
34
Table of Contents
TCW International Small Cap Fund
Schedule of Investments (Unaudited) | April 30, 2019 |
Issues | Shares | Value | ||||||
COMMON STOCK — 96.0% of Net Assets |
| |||||||
Australia — 4.8% | ||||||||
Altium, Ltd. | 6,681 | $ | 159,416 | |||||
Appen, Ltd. | 7,395 | 132,260 | ||||||
Charter Hall Long Wale REIT | 38,719 | 125,516 | ||||||
WiseTech Global, Ltd. | 4,647 | 73,466 | ||||||
|
| |||||||
Total Australia |
| |||||||
(Cost: $414,303) |
| 490,658 | ||||||
|
| |||||||
Belgium — 1.9% | ||||||||
Orange Belgium S.A. | 2,455 | 51,395 | ||||||
Umicore S.A. | 1,055 | 40,909 | ||||||
Warehouses De Pauw CVA | 683 | 102,416 | ||||||
|
| |||||||
Total Belgium |
| |||||||
(Cost: $185,438) |
| 194,720 | ||||||
|
| |||||||
Canada — 1.8% | ||||||||
Enerflex, Ltd. | 1,700 | 23,417 | ||||||
First Quantum Minerals, Ltd. | 4,600 | 48,387 | ||||||
Kelt Exploration, Ltd.(1) | 5,900 | 24,298 | ||||||
NuVista Energy, Ltd.(1) | 7,300 | 23,660 | ||||||
Osisko Mining, Inc.(1) | 20,200 | 41,746 | ||||||
Parkland Fuel Corp. | 800 | 24,556 | ||||||
|
| |||||||
Total Canada |
| |||||||
(Cost: $204,726) |
| 186,064 | ||||||
|
| |||||||
China — 10.3% | ||||||||
58.Com, Inc. (ADR)(1) | 1,700 | 122,043 | ||||||
Baozun, Inc. (SP ADR)(1) | 1,400 | 67,900 | ||||||
China Maple Leaf Educational Systems, Ltd. | 205,255 | 96,001 | ||||||
CIFI Holdings Group Co., Ltd. | 240,000 | 159,469 | ||||||
COFCO Meat Holdings, Ltd.(1) | 123,000 | 50,349 | ||||||
Cstone Pharmaceuticals(1) | 25,500 | 44,659 | ||||||
Haitong Securities Co., Ltd. — Class H | 40,000 | 51,584 | ||||||
Melco International Development, Ltd. | 69,000 | 169,541 | ||||||
Sichuan Swellfun Co., Ltd. | 14,800 | 110,890 | ||||||
Wisdom Education International Holdings Co., Ltd. | 94,000 | 55,269 | ||||||
Zhongsheng Group Holdings, Ltd. | 44,840 | 117,954 | ||||||
|
| |||||||
Total China |
| |||||||
(Cost: $968,202) |
| 1,045,659 | ||||||
|
| |||||||
Denmark — 0.8% | ||||||||
Ambu A/S Class B | 2,090 | 60,084 | ||||||
Genmab A/S(1) | 146 | 24,218 | ||||||
|
| |||||||
Total Denmark |
| |||||||
(Cost: $77,767) |
| 84,302 | ||||||
|
| |||||||
Egypt — 0.5%(Cost: $52,044) | ||||||||
Commercial International Bank Egypt SAE | 12,200 | 54,466 | ||||||
|
|
Issues | Shares | Value | ||||||
Finland — 2.0% | ||||||||
Cramo OYJ | 1,295 | $ | 27,212 | |||||
Konecranes OYJ | 2,655 | 110,890 | ||||||
Outokumpu OYJ | 16,265 | 62,225 | ||||||
|
| |||||||
Total Finland |
| |||||||
(Cost: $198,740) |
| 200,327 | ||||||
|
| |||||||
France — 2.6% | ||||||||
AirFrance-KLM(1) | 4,165 | 48,023 | ||||||
ALD S.A. | 1,825 | 26,808 | ||||||
Cellectis S.A. (ADR)(1) | 1,600 | 31,584 | ||||||
Innate Pharma S.A.(1) | 2,918 | 19,153 | ||||||
Trigano S.A. | 585 | 56,045 | ||||||
Worldline S.A.(1) | 1,281 | 80,673 | ||||||
|
| |||||||
Total France |
| |||||||
(Cost: $251,697) |
| 262,286 | ||||||
|
| |||||||
Germany — 4.5% | ||||||||
AIXTRON SE(1) | 5,255 | 60,793 | ||||||
InflaRx NV(1) | 800 | 36,872 | ||||||
KION Group AG | 1,896 | 130,326 | ||||||
MorphoSys AG(1) | 525 | 52,170 | ||||||
Nemetschek SE | 468 | 86,511 | ||||||
PATRIZIA Immobilien AG(1) | 2,770 | 57,730 | ||||||
XING AG | 80 | 29,721 | ||||||
|
| |||||||
Total Germany |
| |||||||
(Cost: $378,217) |
| 454,123 | ||||||
|
| |||||||
Greece — 2.3% | ||||||||
Alpha Bank AE(1) | 87,675 | 136,389 | ||||||
Eurobank Ergasias S.A.(1) | 62,074 | 51,966 | ||||||
Piraeus Bank S.A.(1) | 24,602 | 50,113 | ||||||
|
| |||||||
Total Greece |
| |||||||
(Cost: $237,285) |
| 238,468 | ||||||
|
| |||||||
Iceland — 0.5%(Cost: $45,859) | ||||||||
Ossur HF | 9,185 | 51,562 | ||||||
|
| |||||||
India — 1.2% | ||||||||
Manappuram Finance, Ltd. | 34,038 | 57,590 | ||||||
Muthoot Finance, Ltd. | 7,165 | 61,521 | ||||||
|
| |||||||
Total India |
| |||||||
(Cost: $88,809) |
| 119,111 | ||||||
|
| |||||||
Indonesia — 2.1% | ||||||||
Ace Hardware Indonesia Tbk PT | 618,800 | 71,693 | ||||||
Semen Indonesia Persero Tbk PT | 150,776 | 143,130 | ||||||
|
| |||||||
Total Indonesia |
| |||||||
(Cost: $190,969) |
| 214,823 | ||||||
|
| |||||||
Iraq — 0.8%(Cost: $79,517) | ||||||||
Gulf Keystone Petroleum, Ltd.(1) | 23,435 | 77,703 | ||||||
|
|
See accompanying notes to financial statements.
35
Table of Contents
TCW International Small Cap Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Shares | Value | ||||||
Ireland — 1.0%(Cost: $75,989) | ||||||||
Keywords Studios PLC | 4,989 | $ | 101,682 | |||||
|
| |||||||
Israel — 0.2%(Cost: $23,095) | ||||||||
Radware, Ltd.(1) | 900 | 23,481 | ||||||
|
| |||||||
Italy — 5.5% | ||||||||
Banco BPM SpA(1) | 10,845 | 25,796 | ||||||
Falck Renewables SpA | 23,691 | 84,702 | ||||||
FinecoBank Banca Fineco SpA | 8,957 | 117,886 | ||||||
Hera SpA | 15,194 | 54,043 | ||||||
Interpump Group SpA | 1,715 | 64,440 | ||||||
Moncler SpA | 4,500 | 184,866 | ||||||
Unione di Banche Italiane SpA | 8,785 | 27,404 | ||||||
|
| |||||||
Total Italy |
| |||||||
(Cost: $507,932) |
| 559,137 | ||||||
|
| |||||||
Japan — 19.3% | ||||||||
Advantest Corp. | 2,600 | 73,746 | ||||||
Anritsu Corp. | 5,300 | 92,198 | ||||||
CYBERDYNE, Inc.(1) | 8,200 | 51,684 | ||||||
Daifuku Co., Ltd. | 2,100 | 129,217 | ||||||
Digital Arts, Inc. | 600 | 51,817 | ||||||
Disco Corp. | 400 | 69,231 | ||||||
Foster Electric Co., Ltd. | 3,600 | 56,143 | ||||||
GLPJ-REIT(1) | 95 | 102,186 | ||||||
GMO Payment Gateway, Inc. | 400 | 31,902 | ||||||
Infomart Corp. | 8,100 | 117,871 | ||||||
Jafco Co., Ltd.(1) | 1,400 | 53,008 | ||||||
Kyowa Exeo Corp. | 3,800 | 103,958 | ||||||
Lasertec Corp. | 2,300 | 104,529 | ||||||
M&A Capital Partners Co., Ltd.(1) | 500 | 21,406 | ||||||
Mani, Inc. | 1,100 | 63,573 | ||||||
Medical Data Vision Co., Ltd.(1) | 5,100 | 46,416 | ||||||
Mitsubishi Logisnext Co., Ltd. | 9,900 | 111,466 | ||||||
Mitsui Mining & Smelting Co., Ltd. | 4,200 | 109,258 | ||||||
Monex Group, Inc. | 6,500 | 19,803 | ||||||
Nabtesco Corp. | 1,900 | 58,272 | ||||||
NET One Systems Co., Ltd. | 2,600 | 67,518 | ||||||
NTN Corp. | 33,400 | 110,267 | ||||||
OKUMA Corp. | 900 | 53,028 | ||||||
SCSK Corp. | 1,300 | 61,788 | ||||||
Shinko Electric Industries Co., Ltd. | 3,300 | 29,128 | ||||||
Ship Healthcare Holdings, Inc. | 1,200 | 49,378 | ||||||
Yaskawa Electric Corp. | 3,500 | 130,321 | ||||||
|
| |||||||
Total Japan |
| |||||||
(Cost: $1,691,674) |
| 1,969,112 | ||||||
|
| |||||||
Netherlands — 4.5% | ||||||||
Argenx SE(1) | 197 | 25,227 | ||||||
ASR Nederland NV | 2,434 | 108,211 | ||||||
BE Semiconductor Industries NV | 5,109 | 147,050 |
Issues | Shares | Value | ||||||
Netherlands (Continued) | ||||||||
Flow Traders | 1,829 | $ | 52,392 | |||||
IMCD Group NV | 1,605 | 129,667 | ||||||
|
| |||||||
Total Netherlands |
| |||||||
(Cost: $408,396) |
| 462,547 | ||||||
|
| |||||||
New Zealand — 0.7%(Cost: $67,295) | ||||||||
Genesis Energy, Ltd. | 36,980 | 75,361 | ||||||
|
| |||||||
Norway — 2.2% | ||||||||
DNO ASA(1) | 23,675 | 53,625 | ||||||
SpareBank 1 Nord Norge | 6,630 | 50,414 | ||||||
Tomra Systems ASA | 4,138 | 124,548 | ||||||
|
| |||||||
Total Norway |
| |||||||
(Cost: $235,414) |
| 228,587 | ||||||
|
| |||||||
Philippines — 1.7% | ||||||||
Bloomberry Resorts Corp. | 447,700 | 109,498 | ||||||
International Container Terminal Services, Inc. | 25,800 | 62,628 | ||||||
|
| |||||||
Total Philippines |
| |||||||
(Cost: $153,670) |
| 172,126 | ||||||
|
| |||||||
Portugal — 0.4%(Cost: $52,080) | ||||||||
Navigator Co. S.A. (The) | 10,420 | 46,038 | ||||||
|
| |||||||
Russia — 0.6%(Cost: $44,328) | ||||||||
Evraz PLC | 6,902 | 56,661 | ||||||
|
| |||||||
Spain — 2.1% | ||||||||
CIE Automotive S.A. | 3,650 | 101,926 | ||||||
Talgo S.A.(1) | 16,572 | 109,383 | ||||||
|
| |||||||
Total Spain |
| |||||||
(Cost: $205,093) |
| 211,309 | ||||||
|
| |||||||
Switzerland — 1.7% | ||||||||
Burckhardt Compression Holding AG | 199 | 60,065 | ||||||
OC Oerlikon Corp. AG | 3,831 | 50,065 | ||||||
VAT Group AG | 483 | 60,029 | ||||||
|
| |||||||
Total Switzerland |
| |||||||
(Cost: $151,207) |
| 170,159 | ||||||
|
| |||||||
Taiwan — 4.7% | ||||||||
Accton Technology Corp. | 35,000 | 148,681 | ||||||
ASPEED Technology, Inc. | 2,000 | 41,649 | ||||||
Lanner Electronics, Inc. | 37,000 | 93,144 | ||||||
Taiwan Union Technology Corp. | 28,000 | 102,215 | ||||||
Win Semiconductors Corp. | 14,000 | 94,227 | ||||||
|
| |||||||
Total Taiwan |
| |||||||
(Cost: $445,782) |
| 479,916 | ||||||
|
| |||||||
United Arab Emirates — 0.6%(Cost: $41,455) | ||||||||
NMC Health PLC | 1,595 | 58,884 | ||||||
|
|
See accompanying notes to financial statements.
36
Table of Contents
TCW International Small Cap Fund
April 30, 2019 |
Issues | Shares | Value | ||||||
United Kingdom — 10.3% | ||||||||
Abcam PLC | 3,436 | $ | 58,366 | |||||
Bovis Homes Group PLC | 2,115 | 30,657 | ||||||
Britvic PLC | 4,333 | 51,713 | ||||||
Dechra Pharmaceuticals PLC | 1,490 | 51,772 | ||||||
Fevertree Drinks PLC | 2,163 | 88,911 | ||||||
Greene King PLC | 14,898 | 124,736 | ||||||
Mitchells & Butlers PLC(1) | 14,585 | 48,580 | ||||||
Morgan Advanced Materials PLC | 14,649 | 53,357 | ||||||
Ocado Group PLC(1) | 1,403 | 24,970 | ||||||
Petrofac, Ltd. | 7,980 | 46,057 | ||||||
Quilter PLC | 13,340 | 25,721 | ||||||
Redrow PLC | 7,200 | 57,939 | ||||||
Renishaw PLC | 1,810 | 106,861 | ||||||
Serco Group PLC(1) | 31,250 | 50,761 | ||||||
Softcat PLC | 6,345 | 75,189 | ||||||
Telecom Plus PLC | 5,546 | 102,088 | ||||||
Weir Group PLC (The) | 2,476 | 53,801 | ||||||
|
| |||||||
Total United Kingdom |
| |||||||
(Cost: $975,319) |
| 1,051,479 | ||||||
|
| |||||||
United States — 4.4% | ||||||||
Bruker Corp. | 1,300 | 50,180 | ||||||
Burford Capital, Ltd. | 9,872 | 211,174 | ||||||
FibroGen, Inc.(1) | 1,800 | 84,114 | ||||||
Infinera Corp.(1) | 9,900 | 42,966 | ||||||
Teradyne, Inc. | 1,200 | 58,800 | ||||||
|
| |||||||
Total United States |
| |||||||
(Cost: $399,426) |
| 447,234 | ||||||
|
| |||||||
Total Common Stock |
| |||||||
(Cost: $8,851,728) |
| 9,787,985 | ||||||
|
| |||||||
PREFERRED STOCK — 1.2% |
| |||||||
Brazil — 1.2% | ||||||||
Banco ABC Brasil S.A. 5.86% | 14,180 | 69,818 | ||||||
Banco do Estado do Rio Grande do Sul S.A., Class B 8.21% | 7,900 | 48,836 | ||||||
|
| |||||||
Total Brazil |
| |||||||
(Cost: $105,386) |
| 118,654 | ||||||
|
| |||||||
Total Preferred Stock |
| |||||||
(Cost: $105,386) |
| 118,654 | ||||||
|
|
Issues | Shares | Value | ||||||
RIGHTS — 0.0% |
| |||||||
China — 0.0% | ||||||||
Haitong Securities, Strike Price CNY 1, 06/30/2019(1) | 1,428 | $ | — | |||||
|
| |||||||
Total Rights |
| |||||||
(Cost: $0) |
| — | ||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 3.0% | ||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class 2.37%(2) | 306,436 | 306,436 | ||||||
|
| |||||||
Total Money Market Investments |
| |||||||
(Cost: $306,436) |
| 306,436 | ||||||
|
| |||||||
Total Investments (100.2%) |
| |||||||
(Cost: $9,263,550) |
| 10,213,075 | ||||||
Liabilities in Excess of Other Assets (-0.2%) | (19,034) | |||||||
|
| |||||||
Total Net Assets (100.0%) |
| $ | 10,194,041 | |||||
|
|
Notes to the Schedule of Investments:
ADR - | American Depositary Receipt. ADRs are receipts typically issued by a U.S. bank or trust company, evidencing ownership of underlying securities issued by a foreign corporation. |
SP ADR - | Sponsored American Depositary Receipt. ADRs are receipts, typically issued by a U.S. bank or trust company, evidencing ownership of underlying securities issued by a foreign corporation. Sponsored ADRs are ADRs issued with the cooperation of the foreign corporation. |
(1) | Non-income producing security. |
(2) | Rate disclosed is the7-day net yield as of April 30, 2019. |
See accompanying notes to financial statements.
37
Table of Contents
TCW International Small Cap Fund
Investments by Sector (Unaudited)
Sector | Percentage of Net Assets | |||
Airlines | 0.5 | % | ||
Auto Components | 1.0 | |||
Automobiles | 0.5 | |||
Banks | 5.7 | |||
Beverages | 2.5 | |||
Biotechnology | 3.2 | |||
Capital Markets | 4.3 | |||
Chemicals | 0.4 | |||
Commercial Services & Supplies | 1.7 | |||
Communications Equipment | 3.0 | |||
Construction & Engineering | 1.0 | |||
Construction Materials | 1.4 | |||
Consumer Finance | 1.2 | |||
Diversified Consumer Services | 1.5 | |||
Electric Utilities | 0.7 | |||
Electronic Equipment, Instruments & Components | 4.2 | |||
Energy Equipment & Services | 0.7 | |||
Equity Real Estate | 2.2 | |||
Food Products | 0.5 | |||
Health Care Equipment & Supplies | 2.2 | |||
Health Care Providers & Services | 1.1 | |||
Health Care Technology | 0.5 | |||
Hotels, Restaurants & Leisure | 4.5 | |||
Household Durables | 1.4 | |||
Independent Power and Renewable Electricity Producers | 0.8 | |||
Insurance | 1.1 | |||
Interactive Media & Services | 3.3 | |||
Internet & Direct Marketing Retail | 0.2 | |||
IT Services | 5.4 | |||
Leisure Products | 0.5 | |||
Life Sciences Tools & Services | 1.0 | |||
Machinery | 11.3 | |||
Metals & Mining | 3.1 | |||
Multi-Utilities | 1.5 | |||
Oil, Gas & Consumable Fuels | 2.0 | |||
Paper & Forest Products | 0.5 | |||
Pharmaceuticals | 0.5 | |||
Real Estate | 0.6 | |||
Real Estate Management & Development | 1.6 | |||
REIT | 1.0 | |||
Road & Rail | 0.3 | |||
Semiconductors & Semiconductor Equipment | 6.7 | |||
Software | 3.6 | |||
Specialty Retail | 1.9 | |||
Textiles, Apparel & Luxury Goods | 1.8 | |||
Trading Companies & Distributors | 1.5 | |||
Transportation Infrastructure | 0.6 | |||
Wireless Telecommunication Services | 0.5 | |||
Money Market Investments | 3.0 | |||
|
| |||
Total | 100.2 | % | ||
|
|
See accompanying notes to financial statements.
38
Table of Contents
TCW International Small Cap Fund
Fair Valuation Summary (Unaudited) | April 30, 2019 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2019 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 | $ | — | $ | 48,023 | $ | — | $ | 48,023 | ||||||||
Auto Components | — | 101,926 | — | 101,926 | ||||||||||||
Banks | — | 514,435 | — | 514,435 | ||||||||||||
Beverages | — | 251,514 | — | 251,514 | ||||||||||||
Biotechnology | 279,813 | 44,379 | — | 324,192 | ||||||||||||
Capital Markets | 52,392 | 382,695 | — | 435,087 | ||||||||||||
Chemicals | — | 40,909 | — | 40,909 | ||||||||||||
Commercial Services & Supplies | 50,761 | 124,548 | — | 175,309 | ||||||||||||
Communications Equipment | 66,447 | 241,825 | — | 308,272 | ||||||||||||
Construction & Engineering | — | 103,958 | — | 103,958 | ||||||||||||
Construction Materials | — | 143,130 | — | 143,130 | ||||||||||||
Consumer Finance | — | 119,111 | — | 119,111 | ||||||||||||
Diversified Consumer Services | — | 151,270 | — | 151,270 | ||||||||||||
Electric Utilities | — | 75,361 | — | 75,361 | ||||||||||||
Electronic Equipment, Instruments & Components | — | 431,595 | — | 431,595 | ||||||||||||
Energy Equipment & Services | 23,417 | 46,057 | — | 69,474 | ||||||||||||
Equity Real Estate | 102,416 | 125,516 | — | 227,932 | ||||||||||||
Food Products | — | 50,349 | — | 50,349 | ||||||||||||
Health Care Equipment & Supplies | — | 226,903 | — | 226,903 | ||||||||||||
Health Care Providers & Services | — | 108,263 | — | 108,263 | ||||||||||||
Health Care Technology | — | 46,416 | — | 46,416 | ||||||||||||
Hotels, Restaurants & Leisure | 48,580 | 403,775 | — | 452,355 | ||||||||||||
Household Durables | — | 144,739 | — | 144,739 | ||||||||||||
IT Services | — | 551,013 | — | 551,013 | ||||||||||||
Independent Power and Renewable Electricity Producers | — | 84,702 | — | 84,702 | ||||||||||||
Insurance | — | 108,212 | — | 108,212 | ||||||||||||
Interactive Media & Services | 219,664 | 117,870 | — | 337,534 | ||||||||||||
Internet & Direct Marketing Retail | — | 24,970 | — | 24,970 | ||||||||||||
Leisure Products | — | 56,045 | — | 56,045 | ||||||||||||
Life Sciences Tools & Services | 50,180 | 52,170 | — | 102,350 | ||||||||||||
Machinery | 53,358 | 1,101,249 | — | 1,154,607 | ||||||||||||
Metals & Mining | 90,132 | 228,144 | — | 318,276 | ||||||||||||
Multi-Utilities | 102,088 | 54,044 | — | 156,132 | ||||||||||||
Oil, Gas & Consumable Fuels | 72,514 | 131,328 | — | 203,842 | ||||||||||||
Paper & Forest Products | — | 46,038 | — | 46,038 | ||||||||||||
Pharmaceuticals | 51,772 | — | — | 51,772 | ||||||||||||
REIT | 102,186 | — | — | 102,186 | ||||||||||||
Real Estate Management & Development | — | 159,469 | — | 159,469 | ||||||||||||
Real Estate | — | 57,730 | — | 57,730 | ||||||||||||
Road & Rail | — | 26,808 | — | 26,808 | ||||||||||||
Semiconductors & Semiconductor Equipment | 58,800 | 620,352 | — | 679,152 | ||||||||||||
Software | — | 371,209 | — | 371,209 | ||||||||||||
Specialty Retail | — | 189,647 | — | 189,647 | ||||||||||||
Textiles, Apparel & Luxury Goods | — | 184,866 | — | 184,866 | ||||||||||||
Trading Companies & Distributors | 27,212 | 129,667 | — | 156,879 | ||||||||||||
Transportation Infrastructure | 62,628 | — | — | 62,628 | ||||||||||||
Wireless Telecommunication Services | 51,395 | — | — | 51,395 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 1,565,755 | 8,222,230 | — | 9,787,985 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
39
Table of Contents
TCW International Small Cap Fund
Fair Valuation Summary (Unaudited) (Continued) | April 30, 2019 |
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 | ||||||||||||||||
Automobiles | $ | 48,836 | $ | — | $ | — | $ | 48,836 | ||||||||
Banks | 69,818 | — | — | 69,818 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stock | 118,654 | — | — | 118,654 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights | ||||||||||||||||
Capital Markets | — | — | — | — | ||||||||||||
Money Market Investments | 306,436 | — | — | 306,436 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,990,845 | $ | 8,222,230 | $ | — | $ | 10,213,075 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
40
Table of Contents
TCW Funds, Inc.
Statements of Assets and Liabilities (Unaudited) | April 30, 2019 |
TCW Developing Markets Equity Fund | TCW Emerging Markets Income Fund | TCW Emerging Markets Local Currency Income Fund | TCW Emerging Markets Multi-Asset Opportunities Fund | TCW International Small Cap Fund | ||||||||||||||||
Dollar Amounts in Thousands (Except Per Share Amounts) | ||||||||||||||||||||
ASSETS |
| |||||||||||||||||||
Investments, at Value(1) | $ | 5,614 | $ | 5,597,799 | $ | 212,278 | $ | 111,828 | $ | 10,214 | ||||||||||
Foreign Currency, at Value(2) | — | (3) | — | (3) | 285 | — | (3) | 1 | ||||||||||||
Cash | — | 1,841 | — | — | — | |||||||||||||||
Receivable for Securities Sold | 45 | 67,413 | 2,703 | 838 | 120 | |||||||||||||||
Receivable for Fund Shares Sold | — | 39,026 | 670 | 84 | — | |||||||||||||||
Interest and Dividends Receivable | 2 | 67,298 | 4,189 | 636 | 35 | |||||||||||||||
Foreign Tax Reclaims Receivable | — | (3) | — | — | 3 | 7 | ||||||||||||||
Receivable from Investment Advisor | 24 | 29 | 77 | 35 | 21 | |||||||||||||||
Unrealized Appreciation on Open Forward Foreign Currency Contracts | — | 2,186 | 650 | 23 | — | |||||||||||||||
Cash Collateral Held for Brokers | — | 6,530 | 870 | — | — | |||||||||||||||
Prepaid Expenses | 10 | 72 | 39 | 31 | 15 | |||||||||||||||
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|
|
|
|
|
|
|
|
| |||||||||||
Total Assets | 5,695 | 5,782,194 | 221,761 | 113,478 | 10,413 | |||||||||||||||
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|
|
|
|
|
|
|
|
| |||||||||||
LIABILITIES |
| |||||||||||||||||||
Distributions Payable | — | 9,475 | — | — | — | |||||||||||||||
Payable for Securities Purchased | — | 163,534 | 2,429 | 721 | 129 | |||||||||||||||
Payable for Fund Shares Redeemed | — | 9,281 | 681 | 99 | — | |||||||||||||||
Accrued Capital Gain Withholding Taxes | — | — | 34 | — | — | |||||||||||||||
Accrued Directors’ Fees and Expenses | 10 | 10 | 10 | 10 | 10 | |||||||||||||||
Accrued Management Fees | 4 | 3,656 | 143 | 90 | 7 | |||||||||||||||
Accrued Distribution Fees | — | (3) | 74 | 9 | 12 | 1 | ||||||||||||||
Collateral Pledged by Brokers | — | 1,700 | — | — | — | |||||||||||||||
Unrealized Depreciation on Open Forward Foreign Currency Contracts | — | 5,771 | 1,566 | 55 | — | |||||||||||||||
Other Accrued Expenses | 53 | 1,553 | 323 | 190 | 72 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Liabilities | 67 | 195,054 | 5,195 | 1,177 | 219 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS | $ | 5,628 | $ | 5,587,140 | $ | 216,566 | $ | 112,301 | $ | 10,194 | ||||||||||
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
41
Table of Contents
TCW Funds, Inc.
Statements of Assets and Liabilities (Unaudited) (Continued) | April 30, 2019 |
TCW Developing Markets Equity Fund | TCW Emerging Markets Income Fund | TCW Emerging Markets Local Currency Income Fund | TCW Emerging Markets Multi-Asset Opportunities Fund | TCW International Small Cap Fund | ||||||||||||||||
Dollar Amounts in Thousands (Except Per Share Amounts) | ||||||||||||||||||||
NET ASSETS CONSIST OF: |
| |||||||||||||||||||
Paid-in Capital | $ | 5,558 | $ | 6,251,009 | $ | 255,560 | $ | 111,873 | $ | 11,592 | ||||||||||
Accumulated Earnings (Loss) | 70 | (663,869 | ) | (38,994 | ) | 428 | (1,398 | ) | ||||||||||||
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|
|
|
|
|
| |||||||||||
NET ASSETS | $ | 5,628 | $ | 5,587,140 | $ | 216,566 | $ | 112,301 | $ | 10,194 | ||||||||||
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|
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|
|
|
| |||||||||||
NET ASSETS ATTRIBUTABLE TO: |
| |||||||||||||||||||
I Class Share | $ | 4,058 | $ | 5,252,419 | $ | 182,404 | $ | 99,463 | $ | 7,073 | ||||||||||
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|
| |||||||||||
N Class Share | $ | 1,570 | $ | 334,721 | $ | 34,162 | $ | 12,838 | $ | 3,121 | ||||||||||
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|
|
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|
|
|
| |||||||||||
CAPITAL SHARES OUTSTANDING:(4) |
| |||||||||||||||||||
I Class Share | 401,265 | 643,855,149 | 21,395,093 | 8,960,294 | 722,695 | |||||||||||||||
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|
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|
|
|
| |||||||||||
N Class Share | 155,348 | 31,863,440 | 4,012,415 | 1,162,314 | 318,811 | |||||||||||||||
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|
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|
| |||||||||||
NET ASSET VALUE PER SHARE:(5) |
| |||||||||||||||||||
I Class Share | $ | 10.11 | $ | 8.16 | $ | 8.53 | $ | 11.10 | $ | 9.79 | ||||||||||
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|
| |||||||||||
N Class Share | $ | 10.11 | $ | 10.50 | $ | 8.51 | $ | 11.05 | $ | 9.79 | ||||||||||
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|
|
(1) | The identified cost for the TCW Developing Markets Equity Fund, the TCW Emerging Markets Income Fund, the TCW Emerging Markets Local Currency Income Fund, the TCW Emerging Markets Multi-Asset Opportunities Fund and the TCW International Small Cap Fund at April 30, 2019 was $4,904, $5,459,229, $213,467, $102,721 and $9,264, respectively. |
(2) | The identified cost for the TCW Developing Markets Equity Fund, the TCW Emerging Markets Income Fund, the TCW Emerging Markets Local Currency Income Fund, the TCW Emerging Markets Multi-Asset Opportunities Fund and the TCW International Small Cap Fund at April 30, 2019 was $0, $0, $284, $0 and $1, respectively. |
(3) | Amount rounds to less than $1. |
(4) | The number of authorized shares, with a par value of $0.001 per share is 4,000,000,000 for each of the I Class and N Class shares. |
(5) | Represents offering price and redemption price per share. |
See accompanying notes to financial statements.
42
Table of Contents
TCW Funds, Inc.
Statements of Operations (Unaudited) | Six Months Ended April 30, 2019 |
TCW Developing Markets Equity Fund | TCW Emerging Markets Income Fund | TCW Emerging Markets Local Currency Income Fund | TCW Emerging Markets Multi-Asset Opportunities Fund | TCW International Small Cap Fund | ||||||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||||||
INVESTMENT INCOME |
| |||||||||||||||||||
Income: |
| |||||||||||||||||||
Dividends | $ | 30 | (1) | $ | — | $ | — | $ | 315 | (1) | $ | 115 | (1) | |||||||
Interest | — | 169,550 | (2) | 11,235 | (2) | 1,789 | (2) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | 30 | 169,550 | 11,235 | 2,104 | 115 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Expenses: |
| |||||||||||||||||||
Management Fees | 21 | 19,247 | 1,092 | 518 | 38 | |||||||||||||||
Accounting Services Fees | — | (3) | 172 | 5 | 2 | 1 | ||||||||||||||
Administration Fees | 4 | 87 | 6 | 6 | 5 | |||||||||||||||
Transfer Agent Fees: |
| |||||||||||||||||||
I Class | 3 | 1,140 | 67 | 8 | 9 | |||||||||||||||
N Class | 3 | 149 | 27 | 42 | 3 | |||||||||||||||
Custodian Fees | 25 | 260 | 192 | 99 | 26 | |||||||||||||||
Professional Fees | 13 | 63 | 22 | 26 | 24 | |||||||||||||||
Directors’ Fees and Expenses | 21 | 21 | 21 | 21 | 21 | |||||||||||||||
Registration Fees: |
| |||||||||||||||||||
I Class | 10 | 76 | 21 | 11 | 14 | |||||||||||||||
N Class | 10 | 22 | 20 | 14 | 14 | |||||||||||||||
Distribution Fees: |
| |||||||||||||||||||
N Class | 2 | 414 | 54 | 85 | 4 | |||||||||||||||
Shareholder Reporting Expense | 1 | 7 | 2 | 2 | 1 | |||||||||||||||
Other | 19 | 338 | 30 | 14 | 10 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | 132 | 21,996 | 1,559 | 848 | 170 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||||||||||
I Class | 64 | — | 136 | 58 | 71 | |||||||||||||||
N Class | 34 | 147 | 106 | 136 | 40 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Expenses | 34 | 21,849 | 1,317 | 654 | 59 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Investment Income (Loss) | (4 | ) | 147,701 | 9,918 | 1,450 | 56 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||||||||||
Net Realized (Loss) on: |
| |||||||||||||||||||
Investments | (68 | ) | (2,032 | ) | (9,178 | ) (4) | (1,384 | ) | (754 | ) | ||||||||||
Foreign Currency | (6 | ) | (163 | ) | (73 | ) | (66 | ) | (12 | ) | ||||||||||
Foreign Currency Forward Contracts | — | (4,890 | ) | (1,174 | ) | (55 | ) | 4 | ||||||||||||
Options Written | — | — | 97 | — | — | |||||||||||||||
Change in Unrealized Appreciation (Depreciation) on: |
| |||||||||||||||||||
Investments | 501 | 257,872 | 18,616 | (5) | 9,031 | 923 | ||||||||||||||
Foreign Currency | — | 7 | 57 | (4 | ) | 1 | ||||||||||||||
Foreign Currency Forward Contracts | — | 2,878 | 1,379 | 49 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Realized and Unrealized Gain (Loss) on Investments and Foreign Currency Transactions | 427 | 253,672 | 9,724 | 7,571 | 162 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 423 | $ | 401,373 | $ | 19,642 | $ | 9,021 | $ | 218 | ||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Net of foreign taxes withheld of $4, $40 and $11 for the TCW Developing Markets Equity Fund, the TCW Emerging Markets Multi-Asset Opportunities Fund and the TCW International Small Cap Fund, respectively. |
(2) | Net of foreign taxes withheld of $314, $332 and $3 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 $24 for the TCW Emerging Markets Local Currency Income Fund. |
(5) | Net of capital gain withholding taxes of $34 for the TCW Emerging Markets Local Currency Income Fund. |
See accompanying notes to financial statements.
43
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Developing Markets Equity Fund | TCW Emerging Markets Income Fund | |||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS |
| |||||||||||||||
Net Investment Income (Loss) | $ | (4 | ) | $ | 32 | $ | 147,701 | $ | 207,167 | |||||||
Net Realized Gain (Loss) on Investments, Swap Contracts, Options Written and Foreign Currency Transactions | (74 | ) | 206 | (7,085 | ) | (201,928 | ) | |||||||||
Change in Unrealized Appreciation (Depreciation) on Investments, Swap Contracts, Options Written and Foreign Currency Transactions | 501 | (1,201 | ) | 260,757 | (207,956 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | 423 | (963 | ) | 401,373 | (202,717 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributions to Shareholders | (22 | ) | (32 | ) | (143,361 | ) | (172,717 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS |
| |||||||||||||||
I Class | 18 | 28 | 644,890 | 1,660,755 | ||||||||||||
N Class | (9 | ) | 30 | (23,878 | ) | (127,753 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Net Capital Shares Transactions | 9 | 58 | 621,012 | 1,533,002 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | 410 | (937 | ) | 879,024 | 1,157,568 | |||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | 5,218 | 6,155 | 4,708,116 | 3,550,548 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 5,628 | $ | 5,218 | $ | 5,587,140 | $ | 4,708,116 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
44
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Emerging Markets Local Currency Income Fund | TCW Emerging Markets Multi-Asset Opportunities Fund | |||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS |
| |||||||||||||||
Net Investment Income | $ | 9,918 | $ | 17,882 | $ | 1,450 | $ | 2,339 | ||||||||
Net Realized Loss on Investments, Swap Contracts, Options Written and Foreign Currency Transactions | (10,328 | ) | (20,967 | ) | (1,505 | ) | (4,647 | ) | ||||||||
Change in Unrealized Appreciation (Depreciation) on Investments, Swap Contracts, Options Written and Foreign Currency Transactions | 20,052 | (23,416 | ) | 9,076 | (10,379 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | 19,642 | (26,501 | ) | 9,021 | (12,687 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributions to Shareholders | (4,591 | ) | (6,699 | ) | (1,629 | ) | (2,016 | ) | ||||||||
Return of Capital | — | (9,233 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (4,591 | ) | (15,932 | ) | (1,629 | ) | (2,016 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS |
| |||||||||||||||
I Class | (95,138 | ) | 161,521 | 54,149 | 6,781 | |||||||||||
N Class | (15,765 | ) | 20,455 | (67,255 | ) | 43,832 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | (110,903 | ) | 181,976 | (13,106 | ) | 50,613 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | (95,852 | ) | 139,543 | (5,714 | ) | 35,910 | ||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | 312,418 | 172,875 | 118,015 | 82,105 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 216,566 | $ | 312,418 | $ | 112,301 | $ | 118,015 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
45
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW International Small Cap Fund | ||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | |||||||
Dollar Amounts in Thousands | ||||||||
OPERATIONS |
| |||||||
Net Investment Income | $ | 56 | $ | 28 | ||||
Net Realized Gain (Loss) on Investments and Foreign Currency Transactions | (762 | ) | 350 | |||||
Change in Unrealized Appreciation (Depreciation) on Investments and Foreign Currency Transactions | 924 | (1,340 | ) | |||||
|
|
|
| |||||
Increase (Decrease) in Net Assets Resulting from Operations | 218 | (962 | ) | |||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||
Distributions to Shareholders | (41 | ) | — | |||||
|
|
|
| |||||
NET CAPITAL SHARE TRANSACTIONS |
| |||||||
I Class | 348 | 916 | ||||||
N Class | (126 | ) | (98 | ) | ||||
|
|
|
| |||||
Increase in Net Assets Resulting from Net Capital Shares Transactions | 222 | 818 | ||||||
|
|
|
| |||||
Increase (Decrease) in Net Assets | 399 | (144 | ) | |||||
NET ASSETS |
| |||||||
Beginning of Period | 9,795 | 9,939 | ||||||
|
|
|
| |||||
End of Period | $ | 10,194 | $ | 9,795 | ||||
|
|
|
|
See accompanying notes to financial statements.
46
Table of Contents
TCW Funds, Inc.
April 30, 2019 |
Note 1 — Organization
TCW Funds, Inc., a Maryland corporation (the “Company”), is anopen-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”), that currently offers 19no-load mutual funds (each series, a “Fund” and collectively, the “Funds”). TCW Investment Management Company LLC (the “Advisor”) is the investment advisor to and an affiliate of the Funds and is registered under the Investment Advisers Act of 1940, as amended. Each Fund has its own investment objective and strategies. The following is a brief description of the investment objectives and principal investment strategies for the Funds that are covered in this report:
TCW Fund | Investment Objectives and Principal Investment Strategies | |
Diversified Fixed Income Fund | ||
TCW Emerging Markets Income Fund | Seeks high total return from current income and capital appreciation by investing at least 80% of the value of its net assets 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 through investment in debt securities denominated in the local currencies of various emerging market countries; invests at least 80% of the value of its net assets 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 Funds | ||
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 domiciled outside the United States or whose primary business operations are outside the United States. | |
TCW Developing Markets Equity Fund | Seeks long-term capital appreciation by investing at least 80% of the value of its net assets in equity securities issued by companies and financial institutions domiciled or with primary business operations in, or with the majority of their net assets in or revenues or net income deriving from, developing market countries. | |
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. |
47
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 1 — Organization (Continued)
All Funds offer two classes of shares: I Class and N Class. The two classes of a Fund are substantially the same except that the N Class shares are subject to a distribution fee (see Note 6).
Note 2 — Significant Accounting Policies
The following is a summary of significant accounting policies, which are in conformity with accounting principles generally accepted in the United States of America (“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 tradedover-the-counter (“OTC”) for which market quotations are readily available, including short-term securities, are valued with prices furnished by independent pricing services or by broker dealers.
The Company has adopted, after the approval by the Company’s Board of Directors (the “Board” and each member thereof a “Director”), a fair valuation methodology for foreign equity securities (exclusive of certain Latin American and Canadian equity securities). This methodology is designed to address the effect of movements in the U.S. market on the securities traded on foreign exchanges that have been closed for a period of time due to time zones differences. The utilization of the fair value model may result in the adjustment of prices taking into account fluctuations in the U.S. market. The fair value model is utilized each trading day and not dependent on certain thresholds or triggers.
Securities for which market quotations are not readily available, including in circumstances under which it is determined by the Advisor that prices received are not reflective of their market values, are valued by the Advisor’s Pricing Committee in accordance with the guidelines established by the Board’s Valuation Committee and under the general oversight of the Board.
Fair value is defined as the price that a Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market for the investment. In accordance with the authoritative guidance on fair value measurements and disclosures GAAP, the Funds disclose investments in 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 in pricing the asset or liability developed based on the best information available in the circumstances.
48
Table of Contents
TCW Funds, Inc.
April 30, 2019 |
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.
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 innon-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.
49
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
Foreign currency contracts. The fair value of foreign currency contracts is derived from indices, reference rates, and other inputs or a combination of these factors. To the extent that these factors can be observed, foreign currency contracts are categorized in Level 2 of the fair value hierarchy.
Money market funds. Money market funds areopen-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 rates, credit spreads, currency exchange rates and volatility measurements forin-the-money,at-the-money, andout-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 innon-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 April 30, 2019 is listed after the Schedule of Investments for each Fund.
The following table shows transfers between Level 1 and Level 2 of the fair value hierarchy:
Fund | Transfer out of Level 1* and Transfer into Level 2 | Transfer out of Level 2* and Transfer into Level 1 | ||||||
TCW International Small Cap Fund | $ | 55,764 | $ | 117,101 | ||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 339,569 | 1,541,811 | ||||||
TCW Developing Markets Equity Fund | 30,949 | 156,683 |
* | The Funds recognized transfers between the Levels as of the beginning of the period. |
The transfers between Level 1 and Level 2 of the fair value hierarchy during the period ended April 30, 2019 were due to changes in valuation to/from the exchange closing price from/to the fair value price.
50
Table of Contents
TCW Funds, Inc.
April 30, 2019 |
Note 2 — Significant Accounting Policies (Continued)
Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value:
TCW Emerging Markets Income Fund | TCW Emerging Markets Multi-Asset Opportunities Fund | |||||||
Balance as of October 31, 2018 | $ | — | $ | — | ||||
Accrued Discounts (Premiums) | — | — | ||||||
Realized Gain (Loss) | — | — | ||||||
Change in Unrealized Appreciation | 7,203,553 | — | ||||||
Purchases | — | 88,452 | ||||||
Sales | 7,784,800 | — | ||||||
Transfers in to Level 3(1) | 39,226,522 | 485,815 | ||||||
Transfers out of Level 3(1) | — | — | ||||||
|
|
|
| |||||
Balance as of April 30, 2019 | $ | 54,214,875 | $ | 574,267 | ||||
|
|
|
| |||||
Change in Unrealized Appreciation from Investments Still Held at April 30, 2019 | $ | 7,203,553 | $ | 88,452 | ||||
|
|
|
|
(1) | The Funds recognize transfers in and out at the beginning of the period. |
Significant unobservable valuations inputs for Level 3 investments as of April 30, 2019 are as follows:
Description | Fair Value at 10/31/2018 | Valuation Techniques* | Unobservable Input | Price or Price Range | Average Weighted Price | |||||||
TCW Emerging Markets Income Fund | ||||||||||||
Government Issues | $ | 54,214,875 | Third-party Vendor | Vendor Prices | $29.625–31.750 | $30.448 | ||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | ||||||||||||
Government Issues | $ | 574,267 | Third-party Vendor | Vendor Prices | $29.625–31.750 | $30.316 |
Security Transactions and Related Investment Income: Security transactions are recorded as of the trade date. Dividend income is recorded on theex-dividend date. Interest income is recognized on an accrual basis. Realized gains and losses on investments are recorded on the basis of specific identification.
Allocation of Operating Activity for Multiple Classes: Investment income, common expenses and realized and unrealized gains and losses are allocated among the share classes of the Funds based on the relative net assets of each class. Distribution fees, which are directly attributable to a class of shares, are charged to the operations of that class. All other expenses are charged to each Fund or class as incurred on a specific identification basis. Differences in class specific fees and expenses will result in differences in net investment income, and in turn differences in dividends paid by each class.
Dividends and Distributions: Dividends and distributions to shareholders are recorded on theex-dividend date. The TCW Emerging Markets Income Fund and the TCW Emerging Markets Local Currency Income Fund declare and pay, or reinvest, dividends from net investment income monthly. The other International Funds declare and pay, or reinvest, dividends from net investment income annually. Capital gains realized by a fund will be distributed at least annually.
Income and capital gain distributions are determined in accordance with income tax regulations which may differ from GAAP. These differences are primarily due to differing treatments for foreign currency transactions, derivative transactions, market discount and premium, losses deferred due to wash sales, excise tax regulations and employing equalization in determining amounts to be distributed to Fund shareholders. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications betweenpaid-in capital, undistributed net investment income (loss), and/or undistributed
51
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
accumulated realized gain (loss). Undistributed net investment income or loss may include temporary book and tax basis differences which will reverse in a subsequent period. Any taxable income or capital gain remaining at fiscal year end is distributed in the following fiscal year.
Use of Estimates: The preparation of the accompanying financial statements requires management to make estimates and assumptions that affect the reported amount of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from these estimates.
Foreign Currency Translation: The books and records of each Fund are maintained in U.S. dollars as follows: (1) the foreign currency denominated securities and other assets and liabilities stated in foreign currencies are translated using the daily spot rate; and (2) purchases, sales, income and expenses are translated at the rate of exchange prevailing on the respective dates of such transactions. The resultant exchange gains and losses are included in net realized or net unrealized gain (loss) in the Statements of Operations. Pursuant to U.S. federal income tax regulations, certain foreign exchange gains and losses included in realized and unrealized gains and losses are included in, or are a reduction of, ordinary income for federal income tax purposes.
Foreign Taxes: The Funds may be subject to withholding taxes on income and capital gains imposed by certain countries in which they invest. The withholding tax on income is netted against the income accrued or received. Any reclaimable taxes are recorded as income. The withholding tax on realized or unrealized gain is recorded as a liability.
Derivative Instruments: Derivatives are financial instruments whose values are based on the values of one or more indicators, such as a security, asset, currency, interest rate, or index. Derivative transactions can create investment leverage and may be highly volatile. A derivative contract may result in a mark to market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. It is possible that a derivative transaction will result in a loss greater than the principal amount invested. The Funds may not be able to close out a derivative transaction at a favorable time or price.
For the period ended April 30, 2019, the following Funds had derivatives and transactions in derivatives, grouped in the following risk categories (amounts in thousands except Notional Amounts or Number of Contracts):
TCW Emerging Markets Income Fund
Credit Risk | Commodity Risk | Foreign Currency Risk | Interest Rate Risk | Equity Risk | Total | |||||||||||||||||||
Statement of Asset and Liabilities | ||||||||||||||||||||||||
Asset Derivatives |
| |||||||||||||||||||||||
Investments(1) | $ | — | $ | — | $ | 447 | $ | — | $ | — | $ | 447 | ||||||||||||
Forward Contracts | — | — | 2,186 | — | — | 2,186 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Value | $ | — | $ | — | $ | 2,633 | $ | — | $ | — | $ | 2,633 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liability Derivatives |
| |||||||||||||||||||||||
Forward Contracts | $ | — | — | $ | (5,771 | ) | $ | — | $ | — | $ | (5,771 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Value | $ | — | $ | — | $ | (5,771 | ) | $ | — | $ | — | $ | (5,771 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
52
Table of Contents
TCW Funds, Inc.
April 30, 2019 |
Note 2 — Significant Accounting Policies (Continued)
TCW Emerging Markets Income Fund (Continued)
Credit Risk | Commodity Risk | Foreign Currency Risk | Interest Rate Risk | Equity Risk | Total | |||||||||||||||||||
Statement of Operations: |
| |||||||||||||||||||||||
Realized Gain (Loss) |
| |||||||||||||||||||||||
Forward Contracts | $ | — | $ | — | $ | (4,890 | ) | $ | — | $ | — | $ | (4,890 | ) | ||||||||||
Investments(2) | — | — | (664 | ) | — | — | (664 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Realized Gain (Loss) | $ | — | $ | — | $ | (5,554 | ) | $ | — | $ | — | $ | (5,554 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Appreciation (Depreciation) |
| |||||||||||||||||||||||
Forward Contracts | $ | — | — | $ | 2,878 | $ | — | $ | — | $ | 2,878 | |||||||||||||
Investments(3) | — | — | (131 | ) | — | — | (131 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Change in Appreciation (Depreciation) | $ | — | $ | — | $ | 2,747 | $ | — | $ | — | $ | 2,747 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Number of Contracts or Notional Amounts(4) |
| |||||||||||||||||||||||
Forward Currency Contracts | $ — | $ — | $261,438,689 | $ — | $ — | $261,438,689 | ||||||||||||||||||
Options Purchased | $ — | $ — | $98,226,000 | $ — | $ — | $98,226,000 |
TCW Emerging Markets Local Currency Income Fund
Credit Risk | Commodity Risk | Foreign Currency Risk | Interest Rate Risk | Equity Risk | Total | |||||||||||||||||||
Statement of Asset and Liabilities | ||||||||||||||||||||||||
Asset Derivatives |
| |||||||||||||||||||||||
Investments(1) | $ | — | $ | — | $ | 18 | $ | — | $ | — | $ | 18 | ||||||||||||
Forward Contracts | — | — | 650 | — | — | 650 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Value | $ | — | $ | — | $ | 668 | $ | — | $ | — | $ | 668 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liability Derivatives |
| |||||||||||||||||||||||
Forward Contracts | $ | — | $ | — | $ | (1,566 | ) | $ | — | $ | — | $ | (1,566 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Value | $ | — | $ | — | $ | (1,566 | ) | $ | — | $ | — | $ | (1,566 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Statement of Operations: |
| |||||||||||||||||||||||
Realized Gain (Loss) |
| |||||||||||||||||||||||
Forward Contracts | $ | — | $ | — | $ | (1,174 | ) | $ | — | $ | — | $ | (1,174 | ) | ||||||||||
Investments(2) | — | — | (317 | ) | — | — | (317 | ) | ||||||||||||||||
Options Written | — | — | 97 | — | — | 97 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Realized Gain (Loss) | $ | — | $ | — | $ | (1,394 | ) | $ | — | $ | — | $ | (1,394 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Appreciation (Depreciation) |
| |||||||||||||||||||||||
Forward Contracts | $ | — | $ | — | $ | 1,379 | $ | — | $ | — | $ | 1,379 | ||||||||||||
Investments(3) | — | — | 62 | — | — | 62 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Change in Appreciation (Depreciation) | $ | — | $ | — | $ | 1,441 | $ | — | $ | — | $ | 1,441 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Number of Contracts or Notional Amounts(4) |
| |||||||||||||||||||||||
Forward Currency Contracts | $ — | $ — | $123,498,237 | $ — | $ — | $123,498,237 | ||||||||||||||||||
Options Purchased | $ — | $ — | $8,569,898 | $ — | $ — | $8,569,898 | ||||||||||||||||||
Options Written | $ — | $ — | $7,582,847 | $ — | $ — | $7,582,847 |
53
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
TCW Emerging Markets Multi-Asset Opportunities Fund
Credit Risk | Commodity Risk | Foreign Currency Risk | Interest Rate Risk | Equity Risk | Total | |||||||||||||||||||
Statement of Asset and Liabilities |
| |||||||||||||||||||||||
Asset Derivatives |
| |||||||||||||||||||||||
Investments(1) | $ | — | $ | — | $ | 4 | $ | — | $ | — | $ | 4 | ||||||||||||
Forward Contracts | — | — | 23 | — | — | 23 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Value | $ | — | $ | — | $ | 27 | $ | — | $ | — | $ | 27 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liability Derivatives |
| |||||||||||||||||||||||
Forward Contracts | — | — | (55 | ) | — | — | (55 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Value | $ | — | $ | — | $ | (55 | ) | $ | — | $ | — | $ | (55 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Statement of Operations: |
| |||||||||||||||||||||||
Realized Gain (Loss) |
| |||||||||||||||||||||||
Forward Contracts | $ | — | $ | — | $ | (55 | ) | $ | — | $ | — | $ | (55 | ) | ||||||||||
Investments(2) | — | — | (5 | ) | — | — | (5 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Realized Gain (Loss) | $ | — | $ | — | $ | (60 | ) | $ | — | $ | — | $ | (60 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Appreciation (Depreciation) |
| |||||||||||||||||||||||
Forward Contracts | $ | — | $ | — | $ | 49 | $ | — | $ | — | $ | 49 | ||||||||||||
Investments(3) | — | — | (3 | ) | — | — | (3 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Change in Appreciation (Depreciation) | $ | — | $ | — | $ | 46 | $ | — | $ | — | $ | 46 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Number of Contracts or Notional Amounts(4) |
| |||||||||||||||||||||||
Forward Currency Contracts | $ — | $ — | $2,591,422 | $ — | $ — | $2,591,422 | ||||||||||||||||||
Options Purchased | $ — | $ — | $830,000 | $ — | $ — | $830,000 |
(1) | Represents purchased options, at value. |
(2) | Represents realized gain (loss) for purchased options. |
(3) | Represents change in unrealized appreciation (depreciation) for purchased options during the period. |
(4) | Amount disclosed represents average number of contracts or notional amounts, which are representative of the volume traded for the period ended April 30, 2019. |
Counterparty Credit Risk: Derivative contracts may be exposed to counterparty risk. Losses can occur if the counterparty does not perform under the contract.
A Fund’s 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 Fund.
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.
54
Table of Contents
TCW Funds, Inc.
April 30, 2019 |
Note 2 — Significant Accounting Policies (Continued)
For OTC derivatives, the Funds mitigate their counterparty risk by entering into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with each counterparty. An ISDA Master Agreement is a bilateral agreement between the Funds and a counterparty that governs OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, 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 counterpartynon-performance. The Funds attempt to mitigate counterparty risk by entering into agreements only with counterparties that Advisor believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities. The Funds have implemented the disclosure requirements pursuant to FASB ASUNo. 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.
55
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
The following table presents the Funds’ OTC derivative assets and liabilities by counterparty net of amounts available for offset under ISDA Master Agreement and net of the related collateral received by the Funds as of April 30, 2019 (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 | $ | 646 | $ | (2,331 | ) | $ | (1,685 | ) | $ | 1,685 | (2) | $ | — | |||||||
Barclays Capital | 1,467 | — | 1,467 | (1,467 | ) (2) | — | ||||||||||||||
Citibank N.A. | 73 | (293 | ) | (220 | ) | — | (220 | ) | ||||||||||||
Goldman Sachs & Co. | 447 | (2,882 | ) | (2,435 | ) | 2,435 | (2) | — | ||||||||||||
Standard Chartered Bank | — | (265 | ) | (265 | ) | 265 | (2) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 2,633 | $ | (5,771 | ) | $ | (3,138 | ) | $ | 2,918 | $ | (220 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
(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, N.A. | $ | 88 | $ | (584 | ) | $ | (496 | ) | $ | 496 | (2) | $ | — | |||||||
Barclays Bank PLC | 107 | (159 | ) | (52 | ) | — | (52 | ) | ||||||||||||
BNP Paribas S.A. | 173 | (614 | ) | (441 | ) | 350 | (2) | (91 | ) | |||||||||||
Citibank N.A. | 156 | — | 156 | — | 156 | |||||||||||||||
Goldman Sachs & Co. | 144 | (209 | ) | (65 | ) | — | (65 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 668 | $ | (1,566 | ) | $ | (898 | ) | $ | 846 | $ | (52 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
(2) | Amount does not include excess collateral pledged or received. |
TCW Emerging Markets Multi-Asset Opportunities Fund
Counterparty | Gross Assets Subject to Master Agreements | Gross Liabilities Subject to Master Agreements | Net Assets (Liabilities) Subject to Master Agreements | Collateral Pledged (Received) | Net Amount (1) | |||||||||||||||
Bank of America | $ | 7 | $ | (20 | ) | $ | (13 | ) | $ | — | $ | (13 | ) | |||||||
Barclays Capital | 15 | — | 15 | — | 15 | |||||||||||||||
Citibank N.A. | 5 | (2 | ) | 3 | — | 3 | ||||||||||||||
Goldman Sachs & Co. | — | (31 | ) | (31 | ) | — | (31 | ) | ||||||||||||
Standard Chartered Bank | — | (2 | ) | (2 | ) | — | (2 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 27 | $ | (55 | ) | $ | (28 | ) | $ | — | $ | (28 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
Note 3 — Portfolio Investments
When-Issued, Delayed-Delivery, and Forward Commitment Transactions: The Funds may enter into when-issued, delayed-delivery, or forward commitment transactions in order to lock in the purchase price of the underlying security or to adjust the interest rate exposure of each Fund’s existing portfolio. In when issued, delayed-delivery, or forward commitment transactions, a Fund commits to purchase securities, with
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April 30, 2019 |
Note 3 — Portfolio Investments (Continued)
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 values of the subject securities will fluctuate with market conditions. In addition, because the Fund is not required to pay for when-issued, delayed-delivery, or forward commitment securities until the delivery date, they may result in a form of leverage to the extent the Fund does not set aside liquid assets to cover the commitment. To guard against this deemed leverage, the Fund monitors the obligations under these transactions on a daily basis and ensures that the Fund has sufficient liquid assets to cover them.
Repurchase Agreements: The Funds may enter into repurchase agreements, under the terms of Master Repurchase Agreement (MRA). The MRA permits a Fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from each Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of a MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, 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. The Funds had no repurchase agreements outstanding as of April 30, 2019.
Participation Notes: The Funds may invest in participation notes of equity-linked instruments (collectively, participation notes), through which a counterparty provides exposure to common stock, in the form of an unsecured interest, in markets where direct investment by a Fund is not possible. Participation notes provide the economic benefit of common stock ownership to a Fund, while legal ownership and voting rights are retained by the counterparty. Although participation notes are usually structured with a defined maturity or termination date, early redemption may be possible. Risks associated with participation notes include possible failure of the counterparty to perform in accordance with the terms of the agreement, inability to transfer or liquidate the notes, potential delays or an inability to redeem before maturity under certain market conditions, and limited legal recourse against the issuer of the underlying common stock. None of the Funds held participation notes as of April 30, 2019.
Security Lending: The Funds may lend their securities to qualified brokers. The loans must be collateralized at all times primarily with cash although the Funds can accept money market instruments or U.S. government securities with a market value at least equal to the market value of the securities on loan. As with any extensions of credit, the Funds may bear the risk of delay in recovery or even loss of rights in the collateral if the borrowers of the securities fail financially. The Funds earn additional income for lending their securities by investing the cash collateral in short-term investments. The Funds did not lend any securities during the period ended April 30, 2019.
Derivatives:
Forward Foreign Currency Contracts: The Funds enter into forward foreign currency contracts as a hedge against fluctuations in foreign exchange rates. Forward foreign currency contracts aremarked-to market
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Notes to Financial Statements (Unaudited) (Continued)
Note 3 — Portfolio Investments (Continued)
daily and the change in market value is recorded by each Fund as unrealized gains or losses in the Statement of Assets and Liabilities. When a contract is closed or delivery is taken, a Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of the foreign currency relative to the U.S. dollar. Outstanding foreign currency forward contracts at April 30, 2019 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. There are no futures contracts outstanding at April 30, 2019.
Options: The Funds purchase and sell put and call options on a security or an index of securities to enhance investment performance or to protect against changes in market prices. The Funds may also enter into currency options to hedge against or to take advantage of currency fluctuations.
Purchasing foreign currency options gives a Fund the right, but not the obligation to buy or sell specified amounts of currency at a rate of exchange that may be exercised by a certain date. These currency options may be used as a short or long hedge against possible variations in foreign exchange rates or to gain exposure to foreign currencies.
When a Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the underlying security does not rise (in the case of a call) or fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. Premiums paid for purchasing options that expired are treated as realized losses.
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April 30, 2019 |
Note 3 — Portfolio Investments (Continued)
Options purchased or sold by a Fund may be traded on a securities or options exchange. Such options typically have minimal exposure to counterparty risk. However, an exchange or market may at times find it necessary to impose restrictions on particular types of options transactions, such as opening transactions. If an underlying security ceases to meet qualifications imposed by an exchange or the Options Clearing Corporation, new series of options on that security will no longer be opened to replace the expiring series, and opening transactions in existing series may be prohibited.
OTC options are options not traded on exchanges or backed by clearinghouses. Rather, they are entered into directly between a Fund and the counterparty to the option. In the case of an OTC option purchased by a Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result a Fund may be required to remain obligated on an unfavorable OTC option until its expiration. During the period ended April 30, 2019, the TCW Emerging Markets Income Fund, TCW Emerging Markets Local Currency Income Fund, and TCW Emerging Markets Multi-Asset Opportunities Fund entered into options to hedge the currency exposure of the Funds.
Swap Agreements. The Funds may enter into swap agreements. Swap agreements are typicallytwo-party contracts entered into primarily by institutional investors. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments, which may be adjusted for an interest factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount” (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or in a “basket” of securities representing a particular index).
In a total return swap, one party typically agrees to pay to the other a short-term interest rate in return for a payment at one or more times in the future based on the increase in the value of an underlying security or other asset, or index of securities or assets; if the underlying security, asset, or index declines in value, the party that pays the short-term interest rate must also pay to its counterparty a payment based on the amount of the decline. A Fund may take either side of such a swap, and so may take a long or short position in the underlying security, asset, or index. A Fund may enter into a total return swap to hedge against an exposure in its portfolio — such as interest rate risk (including to adjust the duration or credit quality of a Fund’s bond portfolio), equity risk, or credit risk — or generally to put cash to work efficiently in the markets in anticipation of, or as a replacement for, cash investments. A Fund may also enter into a total return swap to gain exposure to securities or markets in which it might not be able to invest directly (inso-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. 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
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 3 — Portfolio Investments (Continued)
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 benon-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. For the period ended April 30, 2019, none of the Funds had credit default swaps.
Note 4 — Risk Considerations
Market Risk: As the Funds’ investments will fluctuate with market conditions, so will the value of your investment in the Funds. You could lose money on your investment in the Funds or the Funds could underperform other investments.
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TCW Funds, Inc.
April 30, 2019 |
Note 4 — Risk Considerations (Continued)
Liquidity Risk: The Funds’ investments in illiquid securities may reduce the returns of the Funds because they may not be able to sell the illiquid securities at an advantageous time or price. Investments in high yield securities, foreign securities, derivatives or other securities with substantial market and/or credit risk tend to have the greatest exposure to liquidity risk. Certain investments in private placements and Rule 144A securities may be considered illiquid investments. The Funds may invest in private placements and Rule 144A securities.
Interest Rate Risk: The values of the Funds’ investments fluctuate in response to movements in interest rates. If rates rise, the values of debt securities generally fall. The longer the average duration of a Fund’s investment portfolio, the greater the change in value.
Derivatives Risk: Use of derivatives, which at times is an important part of the Funds’ investment strategy, involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Investments in derivatives could cause the Funds to lose more than the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances and there can be no assurance that the Funds will achieve their objective through the use of the derivatives.
Credit Risk: The values of any of the Funds’ investments may also decline in response to events affecting the issuer or its credit rating. The lower rated debt securities in which a Fund may invest are considered speculative and are subject to greater volatility and risk of loss than investment-grade securities, particularly in deteriorating economic conditions.
Counterparty Risk: The Funds may be exposed to counterparty risk, or the risk that an entity with which the Funds have unsettled or open transactions may not fulfill its obligations.
Foreign Currency Risk: The Funds may be exposed to the risk that the value of the Funds’ investments denominated in foreign currencies will decline in value because the foreign currency has declined in value relative to the U.S. dollar.
Foreign Investing Risk: The Funds may be exposed to the risk that the Funds share prices will fluctuate with market conditions, currency exchange rates and the economic and political climates in countries where the Funds invest.
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 5 — Federal Income Taxes
It is the policy of each Fund to comply with the requirements under Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its net taxable income, including any net realized gains on investments, to its shareholders. Therefore, no federal income tax provision is required.
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 5 — Federal Income Taxes (Continued)
At April 30, 2019, 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 | $ | 795 | $ | (124 | ) | $ | 671 | $ | 4,943 | |||||||
TCW Emerging Markets Income Fund | 170,876 | (32,059 | ) | 138,817 | 5,458,535 | |||||||||||
TCW Emerging Markets Local Currency Income Fund | 4,950 | (10,078 | ) | (5,128 | ) | 217,389 | ||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 10,124 | (1,750 | ) | 8,374 | 103,450 | |||||||||||
TCW International Small Cap Fund | 1,059 | (147 | ) | 912 | 9,302 |
At October 31, 2018, 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 | $ | 12 | $ | — | $ | 12 | ||||||
TCW Emerging Markets Income Fund | 22,330 | — | 22,330 | |||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 1,095 | — | 1,095 | |||||||||
TCW International Small Cap Fund | 22 | — | 22 |
During the year ended October 31, 2018, the tax character of distributions paid was as follows (amounts in thousands):
Ordinary Income | Long-Term Capital Gain | Return of Capital Gain | Total Distributions | |||||||||||||
TCW Developing Markets Equity Fund | $ | 32 | $ | — | $ | — | $ | 32 | ||||||||
TCW Emerging Markets Income Fund | 172,717 | — | — | 172,717 | ||||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 6,699 | — | 9,233 | 15,932 | ||||||||||||
TCW International Small Cap Fund | 2,016 | — | — | 2,016 |
At October 31, 2018, 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 | $ | 505 | $ | — | $ | 505 | ||||||
TCW Emerging Markets Income Fund | 470,310 | 318,732 | 789,042 | |||||||||
TCW Emerging Markets Local Currency Income Fund | 18,097 | 8,985 | 27,082 | |||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 7,259 | — | 7,259 | |||||||||
TCW International Small Cap Fund | 1,593 | — | 1,593 |
The Funds did not have any unrecognized tax benefits at April 30, 2019, nor were there any increases or decreases in unrecognized tax benefits for the six months ended April 30, 2019. The Funds are subject to examination by the U.S. federal and state tax authorities for returns filed for the prior three and four fiscal years, respectively.
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April 30, 2019 |
Note 6 — Fund Management Fees and Other Expenses
The Funds pay to the Advisor, as compensation for services rendered, facilities furnished and expenses borne by it, the following annual management fees as a percentage of daily net assets:
TCW Developing Markets Equity Fund | 0.80 | % | ||
TCW Emerging Markets Income Fund | 0.75 | % | ||
TCW Emerging Markets Local Currency Income Fund | 0.75 | % | ||
TCW Emerging Markets Multi-Asset Opportunities Fund | 0.90 | % (1) | ||
TCW International Small Cap Fund | 0.75 | % |
(1) | From November 1, 2018 through December 31, 2018 the management fee was 0.95%. |
The Advisor limits the operating expenses of the Funds not to exceed the following expense ratios relative to the Funds’ average daily net assets: The expense ratios were effective January 1, 2019.
TCW Developing Markets Equity Fund | ||||
I Class | 1.25 | % (1) | ||
N Class | 1.25 | % (1) | ||
TCW Emerging Markets Income Fund | ||||
I Class | 1.05 | % (2) | ||
N Class | 1.05 | % (2) | ||
TCW Emerging Markets Local Currency Income Fund | ||||
I Class | 0.85 | % (1) | ||
N Class | 0.90 | % (1) | ||
TCW Emerging Markets Multi-Asset Opportunities Fund | ||||
I Class | 1.00 | % (1) | ||
N Class | 1.20 | % (1) | ||
TCW International Small Cap Fund | ||||
I Class | 1.00 | % (1) | ||
N Class | 1.20 | % (1) |
(1) | These limitations are based on an agreement between the Advisor and Company. |
(2) | Limitation based on average expense ratio as reported by Lipper, Inc., which is subject to change on a monthly basis. This ratio was in effect as of April 30, 2019. These limitations are voluntary and terminable in a six month’s notice. |
These ratios were in effect from November 1, 2018 through December 31, 2018.
TCW Emerging Markets Local Currency Income Fund | ||||
I Class | 0.99 | % | ||
N Class | 0.99 | % | ||
TCW Emerging Markets Multi-Asset Opportunities Fund | ||||
I Class | 1.23 | % | ||
N Class | 1.23 | % | ||
TCW International Small Cap Fund | ||||
I Class | 1.44 | % | ||
N Class | 1.44 | % |
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 aNon-Qualified Deferred Compensation Plan. Deferred compensation is included within directors’ fees and expenses in the Statements of Assets and Liabilities.
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 7 — Distribution Plan
TCW Funds Distributors LLC (“Distributor”), an affiliate of the Advisor and the Funds, serves as the nonexclusive distributor of each class of the Funds’ shares. The Funds have a distribution plan pursuant to Rule12b-1 under the 1940 Act with respect to the N Class shares of each Fund. Under the terms of the plan, each Fund compensates the Distributor at a rate equal to 0.25% of the average daily net assets of the Fund attributable to its N Class shares for distribution and related services.
Note 8 — Purchases and Sales of Securities
Investment transactions (excluding short-term investments) for the period ended April 30, 2019, 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 | $ | 6,682 | $ | 6,080 | $ | — | $ | — | ||||||||
TCW Emerging Markets Income Fund | 4,020,285 | 3,417,897 | — | — | ||||||||||||
TCW Emerging Markets Local Currency Income Fund | 137,575 | 227,568 | — | — | ||||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 116,405 | 121,454 | — | — | ||||||||||||
TCW International Small Cap Fund | 14,221 | 13,134 | — | — |
Note 9 — Capital Share Transactions
Transactions in each Fund’s shares were as follows:
TCW Developing Markets Equity Fund | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 228 | $ | 2 | 396 | $ | 5 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,763 | 16 | 1,988 | 23 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 1,991 | $ | 18 | 2,384 | $ | 28 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 11 | $ | — | (1) | 30,914 | $ | 371 | |||||||||
Shares Issued upon Reinvestment of Dividends | 690 | 6 | 772 | 9 | ||||||||||||
Shares Redeemed | (1,645 | ) | (15 | ) | (29,554 | ) | (350 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (944 | ) | $ | (9 | ) | 2,132 | $ | 30 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(1) Amount rounds to less than $1. |
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TCW Funds, Inc.
April 30, 2019 |
Note 9 — Capital Share Transactions (Continued)
TCW Emerging Markets Income Fund | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 198,252,306 | $ | 1,561,023 | 325,798,179 | �� | $ | 2,630,542 | |||||||||
Shares Issued upon Reinvestment of Dividends | 10,992,199 | 87,160 | 14,774,392 | 122,504 | ||||||||||||
Shares Redeemed | (127,232,732 | ) | (1,003,293 | ) | (134,516,022 | ) | (1,092,291 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 82,011,773 | $ | 644,890 | 206,056,549 | $ | 1,660,755 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 4,477,414 | $ | 45,903 | 10,601,963 | $ | 111,621 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 924,410 | 9,424 | 1,769,493 | 18,963 | ||||||||||||
Shares Redeemed | (7,789,506 | ) | (79,205 | ) | (24,566,407 | ) | (258,337 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (2,387,682 | ) | $ | (23,878 | ) | (12,194,951 | ) | $ | (127,753 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
TCW Emerging Markets Local Currency Income Fund | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 5,411,879 | $ | 46,251 | 24,640,615 | $ | 223,944 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 419,536 | 3,579 | 1,421,479 | 13,366 | ||||||||||||
Shares Redeemed | (16,969,975 | ) | (144,968 | ) | (8,375,628 | ) | (75,789 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (11,138,560 | ) | $ | (95,138 | ) | 17,686,466 | $ | 161,521 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 801,344 | $ | 6,850 | 5,406,607 | $ | 48,629 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 71,740 | 611 | 271,444 | 2,539 | ||||||||||||
Shares Redeemed | (2,724,503 | ) | (23,226 | ) | (3,560,164 | ) | (30,713 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (1,851,419 | ) | $ | (15,765 | ) | 2,117,887 | $ | 20,455 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 5,274,042 | $ | 59,202 | 721,682 | $ | 8,402 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 58,600 | 589 | 80,386 | 954 | ||||||||||||
Shares Redeemed | (541,519 | ) | (5,642 | ) | (224,954 | ) | (2,575 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 4,791,123 | $ | 54,149 | 577,114 | $ | 6,781 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 763,813 | $ | 7,936 | 4,763,034 | $ | 54,831 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 102,937 | 1,032 | 89,753 | 1,061 | ||||||||||||
Shares Redeemed | (6,916,967 | ) | (76,223 | ) | (1,076,732 | ) | (12,060 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (6,050,217 | ) | $ | (67,255 | ) | 3,776,055 | $ | 43,832 | ||||||||
|
|
|
|
|
|
|
|
65
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 9 — Capital Share Transactions (Continued)
TCW International Small Cap Fund | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 117,558 | $ | 1,106 | 132,392 | $ | 1,478 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 3,297 | 28 | — | — | ||||||||||||
Shares Redeemed | (84,146 | ) | (786 | ) | (50,186 | ) | (562 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 36,709 | $ | 348 | 82,206 | $ | 916 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 2,078 | $ | 20 | 42,646 | $ | 488 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,364 | 12 | — | — | ||||||||||||
Shares Redeemed | (16,735 | ) | (158 | ) | (51,416 | ) | (586 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (13,293 | ) | $ | (126 | ) | (8,770 | ) | $ | (98 | ) | ||||||
|
|
|
|
|
|
|
|
Note 10 — Affiliate Ownership
As of April 30, 2019, affiliates of the Funds and Advisor owned 99.41% and 73.86% of the net assets of TCW Developing Markets Equity Fund and TCW International Small Cap Fund, respectively.
Note 11 — Restricted Securities
The Funds are permitted to invest in securities that have legal or contractual restrictions on resale. These securities may be sold privately, but are required to be registered before being sold to the public (exemption rules apply). Private placement securities are generally considered to be restricted except for those securities traded between qualified institutional investors under the provisions of Rule 144A of the Securities Act of 1933, as amended (the “Securities Act”). Disposal of these securities may involve time consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. There were no restricted securities held by the Funds as of April 30, 2019.
Note 12 — Committed Line Of Credit
The Company has entered into a $100,000,000 committed revolving line of credit agreement renewed annually with the State Street Bank and Trust Company (the “Bank”) for temporary borrowing purposes. The interest rate on borrowing is the higher of the Federal Funds rate or the overnight LIBOR rate, plus 1.25%. There were no borrowings from the line of credit as of or during the period ended April 30, 2019. The Funds pay the Bank a commitment fee equal to 0.25% per annum on the daily unused portion of the committed line amount. The commitment fees incurred by the Funds are presented in the Statements of Operations. The commitment fees are allocated to each applicable portfolio in proportion to its relative average daily net assets and the interest expenses are charged directly to the applicable portfolio.
Note 13 — Indemnifications
Under the Company’s organizational documents, its Officers and Directors may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Company. In addition, the Company entered into an agreement with each of the Directors which provides that the Company will indemnify and hold harmless each Director against any expenses actually and reasonably incurred by such Director in any proceeding arising out of or in connection with the Director’s services to the Company, to the fullest extent permitted by the Company’s Articles of Incorporation andBy-Laws, the Maryland General Corporation Law, the Securities Act, and the 1940 Act, each as now or hereinafter in force. Additionally, in
66
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TCW Funds, Inc.
April 30, 2019 |
Note 13 — Indemnifications (Continued)
the normal course of business, the Company enters into agreements with service providers that may contain indemnification clauses. The Company’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Company that have not yet occurred. However, based on experience, the Company expects the risk of loss to be remote. The Company has not accrued any liability in connection with such indemnification.
Note 14 — New Accounting Pronouncement
In August 2018, the FASB released Accounting Standards Update (ASU)2018-13, which changes the fair value measurement disclosure requirements of Topic 820. The amendments in this ASU are the result of a broader disclosure project called FASB Concept Statement, Conceptual Framework for Financial Reporting — Chapter 8: Notes to Financial Statements. The objective and primary focus of the project are to improve the effectiveness of disclosures in the notes to the financial statements by facilitating clear communication of the information required by GAAP that is most important to users of the financial statements. The ASU is effective for all entities for fiscal years beginning after December 15, 2019, including interim periods therein. Early adoption is permitted for any eliminated or modified disclosures upon issuance of the ASU. Management is currently evaluating the impact of the ASU to the financial statements.
67
Table of Contents
TCW Developing Markets Equity Fund
Financial Highlights — I Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, | June 30, 2015 (Commencement of Operations) through October 31, 2015 | ||||||||||||||||||
2018 | 2017 | 2016 | ||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 9.39 | $ | 11.17 | $ | 9.10 | $ | 8.62 | $ | 10.00 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (Loss)(1) | (0.01 | ) | 0.06 | 0.07 | 0.10 | 0.01 | ||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.77 | (1.78 | ) | 2.09 | 0.38 | (1.39 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.76 | (1.72 | ) | 2.16 | 0.48 | (1.38 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.04 | ) | (0.06 | ) | (0.09 | ) | (0.00 | ) (2) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Period | $ | 10.11 | $ | 9.39 | $ | 11.17 | $ | 9.10 | $ | 8.62 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 8.14 | % (4) | (15.51 | )% | 23.96 | % | 5.63 | % | (13.80 | )% (3) | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 4,058 | $ | 3,750 | $ | 4,433 | $ | 3,577 | $ | 3,392 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 4.58 | % (5) | 3.45 | % | 3.94 | % | 3.56 | % | 7.09 | % (5) | ||||||||||
After Expense Reimbursement | 1.25 | % (5) | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % (5) | ||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | (0.13 | )% (5) | 0.49 | % | 0.77 | % | 1.15 | % | 0.30 | % (5) | ||||||||||
Portfolio Turnover Rate | 116.29 | % (4) | 163.33 | % | 194.58 | % | 154.70 | % | 54.34 | % (3) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Amount rounds to less than $0.01 per share. |
(3) | For the period June 30, 2015 (Commencement of Operations) through October 31, 2015 and is not indicative of a full year’s operating results. |
(4) | For the six months ended April 30, 2019 and is not indicative of a full year’s operating results. |
(5) | Annualized. |
See accompanying notes to financial statements.
68
Table of Contents
TCW Developing Markets Equity Fund
Financial Highlights — N Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, | June 30, 2015 (Commencement of Operations) through October 31, 2015 | ||||||||||||||||||
2018 | 2017 | 2016 | ||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 9.39 | $ | 11.17 | $ | 9.10 | $ | 8.62 | $ | 10.00 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (Loss) (1) | (0.01 | ) | 0.06 | 0.07 | 0.10 | 0.01 | ||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.77 | (1.78 | ) | 2.09 | 0.38 | (1.39 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.76 | (1.72 | ) | 2.16 | 0.48 | (1.38 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.04 | ) | (0.06 | ) | (0.09 | ) | (0.00 | ) (2) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Period | $ | 10.11 | $ | 9.39 | $ | 11.17 | $ | 9.10 | $ | 8.62 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 8.14 | % (4) | (15.51 | )% | 23.96 | % | 5.63 | % | (13.80 | )% (3) | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 1,570 | $ | 1,468 | $ | 1,722 | $ | 1,364 | $ | 1,297 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 5.84 | % (5) | 4.51 | % | 5.08 | % | 4.80 | % | 8.39 | % (5) | ||||||||||
After Expense Reimbursement | 1.25 | % (5) | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % (5) | ||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | (0.13 | )% (5) | 0.49 | % | 0.77 | % | 1.15 | % | 0.29 | % (5) | ||||||||||
Portfolio Turnover Rate | 116.29 | % (4) | 163.33 | % | 194.58 | % | 154.70 | % | 54.34 | % (3) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Amount rounds to less than $0.01 per share. |
(3) | For the period June 30, 2015 (Commencement of Operations) through October 31, 2015 and is not indicative of a full year’s operating results. |
(4) | For the six months ended April 30, 2019 and is not indicative of a full year’s operating results. |
(5) | Annualized. |
See accompanying notes to financial statements.
69
Table of Contents
TCW Emerging Markets Income Fund
Financial Highlights — I Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 7.77 | $ | 8.54 | $ | 8.34 | $ | 7.67 | $ | 8.57 | $ | 8.53 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income | 0.23 | 0.43 | 0.55 | 0.55 | 0.38 | 0.47 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.38 | (0.83 | ) | 0.09 | 0.52 | (0.87 | ) | (0.01 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.61 | (0.40 | ) | 0.64 | 1.07 | (0.49 | ) | 0.46 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.22 | ) | (0.37 | ) | (0.44 | ) | (0.40 | ) | (0.39 | ) | (0.42 | ) | ||||||||||||
Distributions from Return of Capital | — | — | — | — | (0.02 | ) | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.22 | ) | (0.37 | ) | (0.44 | ) | (0.40 | ) | (0.41 | ) | (0.42 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 8.16 | $ | 7.77 | $ | 8.54 | $ | 8.34 | $ | 7.67 | $ | 8.57 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 7.96 | % | (4.85 | )% | 7.95 | % | 14.29 | % | (5.75 | )% | 5.52 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 5,252,419 | $ | 4,365,456 | $ | 3,039,671 | $ | 2,574,798 | $ | 2,733,679 | $ | 4,602,207 | ||||||||||||
Ratio of Expenses to Average Net Assets | 0.84 | % | 0.86 | % | 0.87 | % | 0.87 | % | 0.88 | % | 0.85 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 5.77 | % | 5.33 | % | 6.56 | % | 6.95 | % | 4.79 | % | 5.44 | % | ||||||||||||
Portfolio Turnover Rate | 69.81 | % | 149.50 | % | 212.16 | % | 214.73 | % | 172.93 | % | 165.55 | % |
See accompanying notes to financial statements.
70
Table of Contents
TCW Emerging Markets Income Fund
Financial Highlights — N Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 10.00 | $ | 11.00 | $ | 10.75 | $ | 9.89 | $ | 11.05 | $ | 11.01 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income | 0.28 | 0.53 | 0.68 | 0.68 | 0.46 | 0.57 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.49 | (1.08 | ) | 0.12 | 0.67 | (1.11 | ) | (0.02 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.77 | (0.55 | ) | 0.80 | 1.35 | (0.65 | ) | 0.55 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.27 | ) | (0.45 | ) | (0.55 | ) | (0.49 | ) | (0.48 | ) | (0.51 | ) | ||||||||||||
Distributions from Return of Capital | — | — | — | — | (0.03 | ) | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.27 | ) | (0.45 | ) | (0.55 | ) | (0.49 | ) | (0.51 | ) | (0.51 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 10.50 | $ | 10.00 | $ | 11.00 | $ | 10.75 | $ | 9.89 | $ | 11.05 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 7.81 | % | (5.16 | )% | 7.67 | % | 13.98 | % | (5.96 | )% | 5.11 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 334,721 | $ | 342,660 | $ | 510,877 | $ | 534,151 | $ | 521,413 | $ | 782,384 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.15 | % | 1.16 | % | 1.15 | % | 1.15 | % | 1.16 | % | 1.13 | % | ||||||||||||
After Expense Reimbursement | 1.06 | % | 1.10 | % | 1.13 | % | N/A | N/A | N/A | |||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 5.53 | % | 5.03 | % | 6.30 | % | 6.71 | % | 4.50 | % | 5.21 | % | ||||||||||||
Portfolio Turnover Rate | 69.81 | % | 149.50 | % | 212.16 | % | 214.73 | % | 172.93 | % | 165.55 | % |
See accompanying notes to financial statements.
71
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Financial Highlights — I Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 8.14 | $ | 9.30 | $ | 9.13 | $ | 8.18 | $ | 9.69 | $ | 10.14 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income | 0.29 | 0.53 | 0.64 | 0.52 | 0.46 | 0.55 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.22 | (1.19 | ) | (0.06 | ) | 0.43 | (1.94 | ) | (0.88 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.51 | (0.66 | ) | 0.58 | 0.95 | (1.48 | ) | (0.33 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.12 | ) | (0.23 | ) | (0.41 | ) | — | — | — | |||||||||||||||
Distributions from Return of Capital | — | (0.27 | ) | — | — | (0.03 | ) | (0.12 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.12 | ) | (0.50 | ) | (0.41 | ) | — | (0.03 | ) | (0.12 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 8.53 | $ | 8.14 | $ | 9.30 | $ | 9.13 | $ | 8.18 | $ | 9.69 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 6.28 | % | (7.74 | )% | 6.33 | % | 11.61 | % | (15.35 | )% | (3.29 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 182,404 | $ | 264,754 | $ | 138,068 | $ | 97,650 | $ | 102,034 | $ | 178,828 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.01 | % | 0.95 | % | 1.03 | % | 1.00 | % | 1.00 | % | 0.95 | % | ||||||||||||
After Expense Reimbursement | 0.90 | % | N/A | 0.99 | % | 0.99 | % | 0.99 | % | N/A | ||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 6.84 | % | 5.90 | % | 6.83 | % | 6.12 | % | 5.20 | % | 5.61 | % | ||||||||||||
Portfolio Turnover Rate | 53.42 | % | 185.72 | % | 137.44 | % | 209.07 | % | 250.10 | % | 223.55 | % |
See accompanying notes to financial statements.
72
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Financial Highlights — N Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 8.13 | $ | 9.29 | $ | 9.12 | $ | 8.17 | $ | 9.69 | $ | 10.13 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income | 0.28 | 0.51 | 0.64 | 0.48 | 0.46 | 0.58 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.22 | (1.17 | ) | (0.06 | ) | 0.47 | (1.95 | ) | (0.91 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.50 | (0.66 | ) | 0.58 | 0.95 | (1.49 | ) | (0.33 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.12 | ) | (0.23 | ) | (0.41 | ) | — | — | — | |||||||||||||||
Distributions from Return of Capital | — | (0.27 | ) | 0.00 | — | (0.03 | ) | (0.11 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.12 | ) | (0.50 | ) | (0.41 | ) | — | (0.03 | ) | (0.11 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 8.51 | $ | 8.13 | $ | 9.29 | $ | 9.12 | $ | 8.17 | $ | 9.69 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 6.16 | % | (7.75 | )% | 6.33 | % | 11.63 | % | (15.37 | )% | (3.37 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 34,162 | $ | 47,664 | $ | 34,807 | $ | 15,325 | $ | 153,270 | $ | 55,028 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.42 | % | 1.32 | % | 1.35 | % | 1.31 | % | 1.25 | % | 1.24 | % | ||||||||||||
After Expense Reimbursement | 0.93 | % | 0.99 | % | 0.99 | % | 0.99 | % | 0.99 | % | 0.99 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 6.68 | % | 5.78 | % | 6.88 | % | 6.05 | % | 5.29 | % | 5.87 | % | ||||||||||||
Portfolio Turnover Rate | 53.42 | % | 185.72 | % | 137.44 | % | 209.07 | % | 250.10 | % | 223.55 | % |
See accompanying notes to financial statements.
73
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Financial Highlights — I Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, | November 16, 2006 (Commencement of Operations) through October 31, 2015 | ||||||||||||||||||
2018 | 2017 | 2016 | ||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 10.39 | $ | 11.70 | $ | 10.39 | $ | 9.63 | $ | 10.97 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||
Net Investment Income (1) | 0.14 | 0.25 | 0.31 | 0.35 | 0.24 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.72 | (1.30 | ) | 1.38 | 0.65 | (1.38 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.86 | (1.05 | ) | 1.69 | 1.00 | (1.14 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: |
| |||||||||||||||||||
Distributions from Net Investment Income | (0.15 | ) | (0.26 | ) | (0.38 | ) | (0.24 | ) | (0.20 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Period | $ | 11.10 | $ | 10.39 | $ | 11.70 | $ | 10.39 | $ | 9.63 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 8.45 | % (2) | (9.23 | )% | 17.05 | % | 10.75 | % | (10.53 | )% | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 99,463 | $ | 43,338 | $ | 42,041 | $ | 37,173 | $ | 39,739 | ||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||
Before Expense Reimbursement | 1.33 | % (3) | 1.34 | % | 1.54 | % | 1.57 | % | 1.47 | % | ||||||||||
After Expense Reimbursement | 1.07 | % (3) | 1.23 | % | 1.23 | % | 1.23 | % | 1.23 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.74 | % (3) | 2.13 | % | 2.95 | % | 3.74 | % | 2.31 | % | ||||||||||
Portfolio Turnover Rate | 104.79 | % (2) | 160.85 | % | 197.48 | % | 227.75 | % | 145.86 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2019 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
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Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Financial Highlights — N Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, | November 16, 2006 (Commencement of Operations) through October 31, 2015 | ||||||||||||||||||
2018 | 2017 | 2016 | ||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 10.35 | $ | 11.66 | $ | 10.35 | $ | 9.59 | $ | 10.92 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||
Net Investment Income (1) | 0.13 | 0.26 | 0.32 | 0.36 | 0.24 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.72 | (1.31 | ) | 1.37 | 0.64 | (1.37 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.85 | (1.05 | ) | 1.69 | 1.00 | (1.13 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: |
| |||||||||||||||||||
Distributions from Net Investment Income | (0.15 | ) | (0.26 | ) | (0.38 | ) | (0.24 | ) | (0.20 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Period | $ | 11.05 | $ | 10.35 | $ | 11.66 | $ | 10.35 | $ | 9.59 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 8.29 | % (2) | (9.26 | )% | 17.10 | % | 10.78 | % | (10.50 | )% | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 12,838 | $ | 74,677 | $ | 40,064 | $ | 5,088 | $ | 4,107 | ||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||
Before Expense Reimbursement | 1.61 | % (3) | 1.67 | % | 1.96 | % | 2.15 | % | 2.15 | % | ||||||||||
After Expense Reimbursement | 1.21 | % (3) | 1.23 | % | 1.23 | % | 1.23 | % | 1.23 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.46 | % (3) | 2.25 | % | 2.95 | % | 3.79 | % | 2.38 | % | ||||||||||
Portfolio Turnover Rate | 104.79 | % (2) | 160.85 | % | 197.48 | % | 227.75 | % | 145.86 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2019 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
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Table of Contents
TCW International Small Cap Fund
Financial Highlights — I Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 9.62 | $ | 10.52 | $ | 8.17 | $ | 8.57 | $ | 8.72 | $ | 8.92 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (1) | 0.05 | 0.03 | 0.04 | 0.02 | 0.01 | 0.01 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.16 | (0.93 | ) | 2.34 | (0.05 | ) | (0.11 | ) | (0.13 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.21 | (0.90 | ) | 2.38 | (0.03 | ) | (0.10 | ) | (0.12 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.04 | ) | — | (0.03 | ) | (0.37 | ) | (0.05 | ) | (0.08 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 9.79 | $ | 9.62 | $ | 10.52 | $ | 8.17 | $ | 8.57 | $ | 8.72 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 2.29 | % (2) | (8.65 | )% | 29.21 | % | (0.49 | )% | (1.07 | )% | (1.39 | )% | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 7,073 | $ | 6,598 | $ | 6,350 | $ | 5,684 | $ | 7,274 | $ | 19,786 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 3.14 | % (3) | 2.71 | % | 2.89 | % | 2.40 | % | 1.67 | % | 1.37 | % | ||||||||||||
After Expense Reimbursement | 1.12 | % (3) | 1.42 | % | 1.43 | % | 1.44 | % | 1.44 | % | N/A | |||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.16 | % (3) | 0.26 | % | 0.41 | % | 0.29 | % | 0.17 | % | 0.12 | % | ||||||||||||
Portfolio Turnover Rate | 134.72 | % (2) | 213.01 | % | 232.19 | % | 128.62 | % | 243.88 | % | 259.88 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2019 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
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Table of Contents
TCW International Small Cap Fund
Financial Highlights — N Class
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 9.63 | $ | 10.53 | $ | 8.17 | $ | 8.58 | $ | 8.72 | $ | 8.92 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (1) | 0.05 | 0.02 | 0.04 | 0.03 | 0.03 | 0.00 | (2) | |||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.15 | (0.92 | ) | 2.35 | (0.07 | ) | (0.12 | ) | (0.13 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.20 | (0.90 | ) | 2.39 | (0.04 | ) | (0.09 | ) | (0.13 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.04 | ) | — | (0.03 | ) | (0.37 | ) | (0.05 | ) | (0.07 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 9.79 | $ | 9.63 | $ | 10.53 | $ | 8.17 | $ | 8.58 | $ | 8.72 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 2.19 | % (3) | (8.64 | )% | 29.34 | % | (0.60 | )% | (1.03 | )% | (1.52 | )% | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 3,121 | $ | 3,197 | $ | 3,589 | $ | 3,143 | $ | 3,440 | $ | 9,437 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 3.89 | % (4) | 3.26 | % | 3.48 | % | 2.88 | % | 2.09 | % | 1.75 | % | ||||||||||||
After Expense Reimbursement | 1.26 | % (4) | 1.42 | % | 1.43 | % | 1.44 | % | 1.44 | % | 1.44 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.03 | % (4) | 0.22 | % | 0.41 | % | 0.33 | % | 0.40 | % | 0.04 | % | ||||||||||||
Portfolio Turnover Rate | 134.72 | % (3) | 213.01 | % | 232.19 | % | 128.62 | % | 243.88 | % | 259.88 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Amount rounds to less than $0.01 per share. |
(3) | For the six months ended April 30, 2019 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
77
Table of Contents
TCW Funds, Inc.
Shareholder Expenses (Unaudited)
As a shareholder of a Fund, you incur ongoing operational costs of the Fund, including management fees and other fund expenses. The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in a Fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from November 1, 2018 to April 30, 2019 (181 days).
Actual Expenses The first line under each Fund in the table below provides information about the actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your Fund under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes The second line under each Fund in the table below provides information about the hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account value and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
TCW Funds, Inc. | Beginning Account Value November 1, 2018 | Ending Account Value April 30, 2019 | Annualized Expense Ratio | Expenses Paid During Period (November 1, 2018 to April 30, 2019) | ||||||||||||
TCW Developing Markets Equity Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,081.40 | 1.25 | % | $ | 6.45 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.60 | 1.25 | % | 6.26 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,081.40 | 1.25 | % | $ | 6.45 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.60 | 1.25 | % | 6.26 | |||||||||||
TCW Emerging Markets Income Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,079.60 | 0.84 | % | $ | 4.33 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.63 | 0.84 | % | 4.21 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,078.10 | 1.06 | % | $ | 5.46 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.54 | 1.06 | % | 5.31 | |||||||||||
TCW Emerging Markets Local Currency Income Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,062.80 | 0.90 | % | $ | 4.60 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.33 | 0.90 | % | 4.51 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,061.60 | 0.93 | % | $ | 4.75 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.18 | 0.93 | % | 4.66 |
78
Table of Contents
TCW Funds, Inc.
TCW Funds, Inc. | Beginning Account Value November 1, 2018 | Ending Account Value April 30, 2019 | Annualized Expense Ratio | Expenses Paid During Period (November 1, 2018 to April 30, 2019) | ||||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,084.50 | 1.07 | % | $ | 5.53 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.49 | 1.07 | % | 5.36 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,082.90 | 1.21 | % | $ | 6.25 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.79 | 1.21 | % | 6.06 | |||||||||||
TCW International Small Cap Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,022.90 | 1.12 | % | $ | 5.62 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.24 | 1.12 | % | 5.61 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,021.90 | 1.26 | % | $ | 6.32 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.55 | 1.26 | % | 6.31 |
79
Table of Contents
TCW Funds, Inc.
Proxy Voting Guidelines
The policies and procedures that the Company uses to determine how to vote proxies are available without charge. The Board has delegated the Company’s proxy voting authority to the Advisor.
Disclosure of Proxy Voting Guidelines
The proxy voting guidelines of the Advisor are available:
1. | By calling800-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 FormN-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 calling800-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 FormN-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 FormN-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 FormN-Q.
80
Table of Contents
TCW Funds, Inc.
865 South Figueroa Street
Los Angeles, California 90017
800 FUND TCW
(800 386 3829)
www.TCW.com
INVESTMENT ADVISOR
TCW Investment Management Company LLC
865 South Figueroa Street
Los Angeles, California 90017
TRANSFER AGENT
U.S. Bancorp Fund Services, LLC
615 E. Michigan Street
Milwaukee, Wisconsin 53202
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
555 West 5th Street
Los Angeles, California 90013
CUSTODIAN & ADMINISTRATOR
State Street Bank & Trust Company
One Lincoln Street
Boston, Massachusetts 02111
DISTRIBUTOR
TCW Funds Distributors LLC
865 South Figueroa Street
Los Angeles, California 90017
DIRECTORS
Patrick C. Haden
Director and Chairman of the Board
Samuel P. Bell
Director
David S. DeVito
Director
Peter McMillan
Director
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 andAnti-Money Laundering Officer
Patrick W. Dennis
Vice President and Assistant Secretary
Lisa Eisen
Tax Officer
Eric W. Chan
Assistant Treasurer
TCW FAMILY OF FUNDS
EQUITY FUNDS
TCW Artificial Intelligence Equity Fund
TCW Global Real Estate Fund
TCW New America Premier Equities Fund
TCW Relative Value Dividend Appreciation Fund
TCW Relative Value Large Cap Fund
TCW Relative Value Mid Cap Fund
TCW Select Equities Fund
ASSET ALLOCATION FUND
TCW Conservative Allocation Fund
FIXED INCOME FUNDS
TCW Core Fixed Income Fund
TCW Enhanced Commodity Strategy Fund
TCW Global Bond Fund
TCW High Yield Bond Fund
TCW Short Term Bond Fund
TCW Total Return Bond Fund
INTERNATIONAL FUNDS
TCW Developing Markets Equity Fund
TCW Emerging Markets Income Fund
TCW Emerging Markets Local Currency Income Fund
TCW Emerging Markets Multi-Asset Opportunities Fund
TCW International Small Cap Fund
FUNDsarINT0419
Table of Contents
Item 2. | Code of Ethics. | |
Not required for this filing. | ||
Item 3. | Audit Committee Financial Expert. | |
Not required for this filing. | ||
Item 4. | Principal Accountant Fees and Services. | |
Not required for this filing. | ||
Item 5. | Audit Committee of Listed Registrants. | |
Not applicable. | ||
Item 6. | Investments. | |
(a) | The Schedule of Investments is included as part of the Report to Shareholders filed under Item 1 of this FormN-CSR. | |
(b) | Not applicable. | |
Item 7. | Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies. | |
Not applicable. | ||
Item 8. | Portfolio Managers ofClosed-End Management Investment Companies. | |
Not applicable. | ||
Item 9. | Purchases of Equity Securities byClosed-End Management Investment Company and Affiliated Purchasers. | |
Not applicable. | ||
Item 10. | Submission of Matters to a Vote of Security Holders. | |
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Directors. | ||
Item 11. | Controls and Procedures. | |
(a) | The Chief Executive Officer and Principal Financial and Accounting Officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule30a-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 |
3
Table of Contents
within 90 days of the filing date of this report, based on their evaluation of these controls and procedures required by Rule30a-3(b) under the 1940 Act and15d-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 Rule30a-3(d) under the 1940 Act) that occurred during the 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 forClosed-End Management Investment Companies. | |
Not applicable. | ||
Item 13. | Exhibits. | |
(a)(1) | EX-99.CODE — Not required for this filing. | |
(a)(2) | EX-99.CERT — The certifications required by Rule30a-2(a) of the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 (“Sarbanes-Oxley Act”) are filed herewith. | |
(a)(3) | Not applicable. | |
(a)(4) | Not applicable. | |
(b) | EX-99.906CERT — The certifications required by Rule30a-2(b) of the 1940 Act and Section 906 of the Sarbanes-Oxley Act are filed herewith. |
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Table of Contents
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | TCW Funds, Inc. | |||||
By (Signature and Title)
| /s/ David S. DeVito | |||||
David S. DeVito | ||||||
President and Chief Executive Officer | ||||||
Date | June 28, 2019 |
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By (Signature and Title)
| /s/ David S. DeVito | |||||
David S. DeVito | ||||||
President and Chief Executive Officer | ||||||
Date | June 28, 2019 | |||||
By (Signature and Title)
| /s/ Richard M. Villa | |||||
Richard M. Villa | ||||||
Treasurer and Principal Financial and Accounting Officer | ||||||
Date | June 28, 2019 |
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