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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-07170
TCW Funds, Inc.
(Exact name of registrant as specified in charter)
865 South Figueroa Street, Suite 1800, Los Angeles, CA 90017
(Address of principal executive offices)
Patrick W. Dennis, Esq.
Vice President and Assistant Secretary
865 South Figueroa Street, Suite 1800
Los Angeles, CA 90017
(Name and address of agent for service)
Registrant’s telephone number, including area code: (213) 244-0000
Date of fiscal year end: October 31
Date of reporting period: October 31, 2020
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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 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.
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The Letter to Shareholders and/or Management Discussions contained in this Annual Report are the opinions of each Fund’s portfolio managers and are not the opinions of TCW Funds, Inc. or its Board of Directors. Various matters discussed in the Letter to Shareholders and/or Management Discussions constitute forward-looking statements within the meaning of the federal securities laws. Actual results and the timing of certain events could differ materially from those projected or contemplated by these forward-looking statements due to a number of factors, including general economic conditions, overall availability of securities for investment by a Fund, the level of volatility in the securities markets and in the share price of a Fund, and other risk factors discussed in the SEC filings of TCW Funds, Inc. The data presented in the Letter to Shareholders and/or Management Discussions represents past performance and cannot be used to predict future results. |
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To Our Valued Shareholders |
David S. DeVito President, Chief Executive Officer and Director |
I am pleased to present the 2020 annual report for the TCW Funds, Inc. covering the 12-month period ended October 31, 2020. I would like to express our appreciation for your continued investment in the TCW Funds as well as to welcome new shareholders to our fund family. As of October 31, 2020, the TCW Funds held total net assets of approximately $17.6 billion.
This report contains information and portfolio management discussions of our Equity Funds and the TCW Conservative Allocation Fund.
The U.S. Stock Market
U.S. stocks advanced 9.7% (S&P 500 Total Return Index) during the one-year period ending 10/31/20, as the U.S. Federal Reserve’s vast quantitative easing and asset purchases, coupled with massive fiscal stimulus, provided robust support to risk assets including stocks despite the sharp contraction in the U.S. economy resulting from the Coronavirus pandemic. The equity market began the period making successive record highs fueled by a strong economy, a healthy labor market and solid corporate earnings. However, that supportive environment for equities quickly gave way to one of the most severe plunges on record from mid-February to late-March, as the morphing of the Covid-19 crisis into a global pandemic brought the world’s economy to a virtual halt. In the course of just over a month, stocks lost approximately 34% of their value, as the prospect of massive unemployment and a historic contraction of the U.S. economy led to a broad-based flight to safety. Only a series of announcements by the U.S. Fed — including a return to a zero interest rate policy coupled with aggressive asset purchases including municipal and junk bonds — was able to arrest the stock market’s decline. In addition, several financial stimulus bills were quickly passed by congress and signed into law by President Trump, whereby financial support was provided to individuals (extended and enhanced unemployment benefits), and businesses
(Paycheck Protection Program), as well as to hospitals and vaccine research. With respect to the equity market, the dramatic spike in unemployment, coupled with the collapse in demand for tourism, travel, and leisure businesses, among others, led to a bifurcation in sector performance, with many growth stocks benefitting from the shift to work-from-home (WFH), while more economically sensitive stocks such as energy and industrials, underperformed the broader market. While a concerted effort by many states to reopen their respective economies helped fuel a stunning recovery in equity market prices to a record high, renewed outbreaks forced some states to backtrack and impose modified lockdowns. Even so, stocks remained resilient as a series of hopeful vaccine trials fueled expectations that an effective vaccine might be developed by year-end for commercialization in early 2021.
Looking Ahead
Looking forward, the unprecedented economic dislocations resulting from the Covid-19 pandemic are likely to be severe and lasting given the magnitude of the labor market distress and the heavy reliance upon government support of asset prices. While these programs have forestalled even greater unemployment, business failures, and housing evictions, the true impact is likely to be felt over many quarters and even years, which will serve as a headwind to an eventual recovery in economic growth. The resilience of the stock market has been impressive in light of the damage to the economy, as investors are likely discounting a 5-6% rebound in U.S. GDP growth in 2021, following an estimated 3-4% contraction this year (Credit Suisse estimates, 10/30/20). Such a rebound would bode well for stocks, with the potential for a 24% rebound in corporate earnings per share (EPS) next year, following an expected 18% contraction in 2020 (Credit Suisse estimates, 11/2/20). A likely divided government (Biden presidency with Republican Senate) could provide a positive backdrop for
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Letter to Shareholders (Continued) |
the equity market as the prospects for radical changes in tax and regulatory policy remain limited and, yet, there may be the basis for further fiscal stimulus and an infrastructure spending bill. We do note that stock market valuations appear elevated, with the consensus forward P/E ratio presently at around 21, which is markedly above its 14.4 average of the past five decades. Nonetheless, the anticipated widespread administration of a Covid-19 vaccine could potentially serve as an important catalyst for equity prices. So while the near-term outlook remains challenged by the recent surge in Covid-19 cases, we believe that the medium-to-long term prospects for stocks possessing strong fundamentals remain compelling, and we generally maintain a preference for U.S. stocks relative to those in the other major developed markets because of more resilient relative economic growth prospects.
These are challenging times for all of us, both in our personal and professional lives, and on behalf of everyone at TCW, I wish you and your loved ones good health and safety. We truly value our relationship with you and thank you for making the TCW Funds part of your long-term investment plan. If you have any questions or require further information, I invite you to visit our website at www.tcw.com, or call our shareholder services department at 800-386-3829.
I look forward to further correspondence with you through our semi-annual report next year.
Sincerely,
David S. DeVito
President, Chief Executive Officer and Director
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TCW Artificial Intelligence Equity Fund
For the year ended October 31, 2020, the TCW Artificial Intelligence Equity Fund (the “Fund”) returned +44.2% while the Russell 3000 Growth Index returned +28.2% over the same period.
Throughout the reporting period, we saw that massive fiscal and monetary policy response helped cushion the blow from the decidedly grim macroeconomic data stemming from the Covid-19 pandemic. The equity market’s initial worry that the Fed’s dramatic expansion of its balance sheet could only do so much to support risk assets was addressed by Fed Chair Powell’s mid-May statement that the Fed was “not out of ammunition by a long shot…there’s really no limit to what we can do.” At the same time, the House passed yet another fiscal stimulus bill which, even when narrowed down from its $3 trillion total via negotiations with the Senate, could potentially provide over $1 trillion of additional support to the economy.
The U.S. equity market was able to shake off the widely anticipated 33% plunge in Q2 GDP, which represented the sharpest quarterly decline on record. Instead, investors were focused on the early signs of recovery shown in many of June’s macroeconomic indicators, including industrial production (largest monthly gain in June since 1959), factory output (biggest gain since 1946), retail sales (biggest gain since data series began in 1992), and a surge in exports (largest monthly gain on record). These indicators culminated in October’s reported Q3 GDP growth rate of 33.1%. After several consecutive monthly gains including successive record highs, the equity market in September suffered a “risk-off” episode led by a sell-off in tech stocks, which prompted a nearly 12% correction in the Nasdaq Composite Index during the first three weeks of the month. A resurgence in Covid-19 cases in the U.S. and Europe, coupled with the inability of Congress to reach a Cares Act Phase IV stimulus bill, stoked concerns that the economic recovery might falter as enhanced unemployment benefit funding dried up.
Most recently, the labor market showed further signs of healing, as the unemployment rate for September edged lower to 7.9%, while initial and continuing unemployment claims data improved. In fact, over the five-month period from May through September, the U.S. economy recovered just over half of the jobs lost in March and April. Despite the encouraging macro news, equity market investors appeared to be unnerved by the dramatic increase in Covid-19 cases — including that of President Trump himself — with much of Europe announcing new lockdowns and the U.S. posting a record number of daily new cases (89k at month end). Even though the number of deaths has not spiked in similar fashion, the pandemic’s surge is likely to delay further reopening of the U.S. economy. At the same time, extended unemployment benefits made possible by earlier rounds of fiscal stimulus have largely run out, and various states’ supplemental benefits are generally unable to fill in the income shortfalls faced by the still elevated number of unemployed workers, which bodes poorly for the continued recovery of the fragile economy.
Looking forward, uncertainty associated with the outcome of the control of the U.S. Senate will dictate the degree to which infrastructure spending and increased fiscal stimulus might benefit equities. At the same time, the resurgence in Covid-19 cases complicates the economy reopening process, but timely distribution of an effective vaccine would certainly boost economic growth prospects. In focusing on stock fundamentals, we are heartened by 3Q earnings results, which have generally come in stronger than expected with EPS declining approximately 11% (72% of S&P companies having reported) rather than by the 15-20% anticipated by some strategists just several months ago. We think that Credit Suisse’s forecast for a 24% rebound in corporate EPS next year seems reasonable, assuming that the US economy continues its gradual recovery. Yet, we are also cognizant that equity market valuations remain elevated, with stocks trading at around 21 times forward earnings.
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TCW Artificial Intelligence Equity Fund
Management Discussions (Continued)
Our two biggest stock contributors during the year were Trade Desk Inc. and NVIDIA Corp., both of which are on the forefront of artificial intelligence technology. Trade Desk is the leading non-Google demand side platform that helps brands and agencies better target and leverage digital advertising through its software. Trade Desk uses artificial intelligence through its platform called Koa, which has the ability to scan nine million impression opportunities every second, delivering analytical insights to clients.
Trade Desk’s stock showed strength as concerns about ad spending pullback began to moderate and investor appreciation for Trade Desk’s longer term business model, powered by Connected TV and data-driven ad buying, came back into focus. Management’s commentary on recent earnings calls have been encouraging. While results were predictably soft, Trade Desk noted that they have been seeing consistent improvement in customer spend since the mid-April trough, saw breakeven by mid-June, and continuing recovery into July. We continue to believe that Trade Desk is the most direct winner from the impending shift of $240 billion of linear TV advertising to streaming platforms.
NVIDIA Corp. creates graphics processing units (GPUs) for machine learning, data centers, gaming, and high-end computing hardware to support analytics and predictive software. NVIDIA is a preferred GPU supplier to companies at the forefront in the AI space such as Google, Microsoft, Facebook, and Amazon, all of which are buying NVIDIA chips as they build out their data center infrastructures.
NVIDIA reported strong earnings reports throughout the reporting period. In its Q4 results, NVIDIA posted strong data center revenue growth, with data center revenues up 43%, nearly twice the growth rate expected by analysts. After shares were initially pressured following the company’s outlook reduction in response to the coronavirus, NVIDIA shares began to rebound during the middle of March as the company pointed out positive developments occurring in China and increased demand in the important gaming industry. An investor call with NVIDIA revealed that the company was seeing improvements in the supply chain and normalization of capacity levels through the end of March. Furthermore, with more and more of the population needing to allocate leisure time away from outdoors, restaurants, shopping, and other social settings due to the coronavirus, gaming has been a large time share winner. Console sales and gaming PC sales saw a boost, which drives demand within NVIDIA’s gaming segment.
In its July quarterly earnings report, gaming revenues grew an impressive 26% year-on-year and commentary on the segment was bullish, with CEO Jensen stating that the second half of the year “may very well be one of the best gaming seasons ever.” During the period, NVIDIA also agreed to acquire ARM, a semiconductor designer that is currently owned by SoftBank Group. NVIDIA currently uses ARM’s products in the automotive market, mostly for autonomous driving subsystems. We believe this acquisition will be financially beneficial (95% gross margins for ARM whereas NVIDIA is in the mid-60% range). This provides NVIDIA the opportunity to expand its reach more substantially beyond data centers and into edge devices. NVIDIA’s monopoly in AI training and potentially ARM for inference, tied together with their CUDA platform, can be a powerful combination that would set them up nicely for the next five to 10 years.
Our biggest detractor in the period was IDEXX Laboratories Inc. IDEXX reported mixed fourth quarter results during the end of January, which resulted in share price weakness. While there were still some positive developments in new catalyst placements, which accelerated in the quarter, results still exhibited softer than expected gross margins and recurring revenues. While we continue to like the long-term story of the company, we decided to sell out of the position in order to consolidate our health care exposure around other investments.
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TCW Artificial Intelligence Equity Fund
Management Discussions (Continued)
We believe AI will be the foundational technology of the information age. The leap from computing built on the foundation of humans telling computers how to act, to computing built on the foundation of computers learning how to act, has significant implications for every industry.
In our view, there are many structural drivers that are accelerating the need for AI. These include:
• | Trend in demographics towards an aging global population |
• | Need for greater energy efficiency |
• | Drive for greater urbanization as demand for convenience increases |
• | Efforts to increase human capital productivity |
The broad applicability of AI also leads us to believe that it is a paradigm-shifting technology for the global economy and a driver behind improving productivity. AI very well could end the period of stagnant productivity growth in the U.S. We believe that AI technology driven improvements to productivity could, similar to the 1990’s, drive corporations to invest in more capital and labor intensive projects, accelerating growth, improving profitability, and expanding equity valuations. We believe the trend towards AI-enhanced products is accelerating and we highlight recent developments as evidence:
• | Kansas City Southern Deploys New AI Platform. Kansas City Southern, a large rail company, has rolled out a cloud-based artificial intelligence platform called CloudMoyo, which focuses on optimizing railroad operations, improving revenue and asset management, enhancing safety, and more efficiently managing maintenance schedules. The platform leverages Microsoft Azure to harness the power of machine learning and AI. Kansas City Southern Deploys CloudMoyo Artificial Intelligence Platform. Freight Waves. November 21, 2019 (https://www.freightwaves.com/news/kansas-city-southern-deploys-cloudmoyo-artificial-intelligence-platform) |
• | AI Being Used to Fight Coronavirus. Next generation technologies are being implemented to fight the novel coronavirus (COVID-19) outbreak in China. These technologies include artificial intelligence, advanced analytics software, and drones to make deliveries to hospitals. AI is being used to identify disease outbreaks and forecast the nature of their spread. BlueDot, a Canadian AI company, uses machine learning to detect outbreaks before Chinese authorities do by using multiple data sources such as news outlets, social media platforms, and government documents. Emerging Technologies Proving Value in Chinese Coronavirus Fight. Imaging Technology News. February 28, 2020 (https://www.itnonline.com/article/emerging-technologies-proving-value-chinese-coronavirus-fight) |
• | Amazon Purchases Zoox. Amazon announced the purchase of Zoox, a self-driving company that was founded in 2014 and has focused on purpose-built autonomous driving technology. They look to integrate their technology into zero-emission vehicles used for on-demand mobility in complex environments, such as San Francisco. Amazon will work with the company to develop autonomous ride-hailing vehicles from the ground up. Sebastian Blanco. Amazon Buys Autonomous Tech Company Zoox, and Elon Musk is Amused. Car and Driver. June 29, 2020 (https://www.caranddriver.com/news/a33001491/amazon-buys-zoox-autonomous-company/) |
• | Spotify Founder Pledges $1.2B to Moonshot Startups. The founder and CEO of Spotify, Daniel Ek, announced that he would invest $1.2 billion of his personal wealth into “moonshot projects” over the course of ten years. His investments will be focused on startups in Europe that focus on next generation technologies involved in machine learning, biotechnology, materials sciences, and energy. Ek has previously been known to invest in deep technology, such as when he invested €3 million into HJN Sverige, an artificial intelligence company within the health technology industry. Mike Butcher. TechCrunch. Spotify CEO Daniel Ek Pledges $1Bn of his Wealth to Back Deeptech Startups from Europe. September 24, 2020 (https://techcrunch.com/2020/09/24/spotify-ceo-daniel-ek-pledges-1bn-of-his-wealth-to-back-deeptech-startups-from-europe/) |
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TCW Artificial Intelligence Equity Fund
Management Discussions (Continued)
We continuously survey the artificial intelligence investment landscape by drawing upon our deep technical knowledge and fundamental research efforts. Our research effort seeks the most attractive opportunities in the AI ecosystem. We appreciate your confidence in and support of the TCW Artificial Intelligence Equity Fund.
Annualized Total Return as of October 31, 2020(1) | ||||||||||||
1 Yr Return | 3 Yr Return | Inception to Date | ||||||||||
TCW Artificial Intelligence Equity Fund | ||||||||||||
Class I (Inception: 09/01/2017) | 44.17 | % | 19.84 | % | 21.05 | % | ||||||
Class N (Inception: 09/01/2017) | 43.97 | % | 19.75 | % | 20.97 | % | ||||||
Russell 3000 Growth Index | 28.20 | % | 18.01 | % | 18.92 | % |
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distribution or on the redemption of fund shares. |
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TCW Conservative Allocation Fund
Management Discussions
For the year ended October 31, 2020, the TCW Conservative Allocation Fund (the “Fund”) posted a gain of 8.19% for the I Class and 7.85% for the N Class shares. The performance of the Fund’s classes varies because of differing expenses. The Fund’s blended benchmark of 40% S&P 500 Index and 60% Bloomberg Barclay Capital U.S. Aggregate Bond Index returned 8.25% over the same time period.
The Fund posted positive returns over the past year with a positive contribution coming from U.S. equities. The strongest returns came from TCW Select Equities Fund (13% allocation and 35% return) and TCW New America Premier Equities Fund (16% allocation and 12% return); both funds were up over 12% over the past year, outpacing the S&P 500 Index return of 9.7%. At the asset allocation level, the decision to overweight large cap growth and underweight large cap value U.S. equities helped relative performance. Within Fixed Income, the strongest returns came from the MetWest Total Return Bond Fund (15% allocation and 7% return) and TCW Total Return Bond Fund (13% allocation and 7% return). Both funds outperformed the Bloomberg Barclays U.S. Aggregate Bond Index return of 6.2%.
As of the end of October, the allocation for the Fund was 42% equities and 58% fixed income. This gives the fund a slight overweight to equities and underweight to fixed income to its blended index. The baseline allocation is 40% Equities and 60% Fixed Income. Over the past 12 months, the Fund has increased the allocation to equities, specifically Large Growth Funds. Within Equities, the allocations to both TCW New America Premier and TCW Select Equities Funds have been increased, while reducing the allocation to TCW Relative Value Large Cap Fund. In Fixed Income, small positions were initiated in both TCW Emerging Markets Bond and MetWest High Yield Bond Funds during the year.
The past year has been marked by volatility and uncertainty as the major themes for both equity and fixed income asset classes. The year started off strong as the economy and earnings continued to show strong growth. Then the world was turned upside down in March as the global pandemic hit the world, resulting in unprecedented shutdown of many economies around the world. Uncertainty on how this was going to play out was the main driving force and pushed investors to safety, where they could find it. U.S. Treasury yields dropped to historic lows as the Federal Reserve stepped in by flooding the market with liquidity. Equity markets tanked around the world, as a shutdown in the economy had investors worried about what all this means and depth of damage this could cause. There was a strong rebound from the lows in March on hope that we had the virus under control and that we were going to quickly find a vaccine and get back to normal. The strong rally from March pushed many of the equity indexes into the positive for the year along with fixed income indexes. As we approached October, once again a renewed surge in Covid-19 cases both in the U.S. and in Europe, the inability of the White House and Congress to reach an agreement on further fiscal stimulus, and uncertainty surrounding the outcome of the U.S. presidential election weighed on markets. Concerns over the impact of renewed shutdown measures overshadowed what was generally more positive macroeconomic data, including a 7.4% jump in 3Q GDP and continued strength in the housing market with record high homebuilder confidence driven by low mortgage rates and tight inventory. Notably however, the pace of labor market recovery in the U.S. continued to moderate and is a potential headwind to growth. Global indices were under substantial pressure during the month as partial national shutdowns were announced in France and Germany while further restrictions across Europe seemed increasingly likely in the face of mounting Covid-19 cases. Commodities were also impacted, highlighted by a roughly 11% drop in WTI oil given global demand concerns. Against this backdrop, U.S. equities experienced a second consecutive month of declines. Meanwhile, U.S. Treasury rates rose across the curve,
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TCW Conservative Allocation Fund
Management Discussions (Continued)
with the 10-Year yield. Corporate credit was remarkably resilient in the face of rising COVID fears and equity volatility, tightening by 10 bps as the search for yielding assets remained the prevailing driver of spread performance.
Looking forward we are cautiously opportunistic with both equities and fixed income, although uncertainty associated with the outcome of the U.S. presidential election is likely to weigh on markets depending upon the length of delay in determining the winner. A Biden victory and a split congress could lead to further upside for stocks in the form of more stimulus and a vaccine in 2021. The resurgence in Covid-19 cases complicates the economy reopening process, but development of an effective vaccine would certainly boost economic growth prospects over the next 12 months, especially in the U.S. Focusing on stock fundamentals, we are heartened by 3Q earnings results, which have generally come in stronger than expected with EPS declining approximately 11% (72% of S&P companies having reported) rather than by the 15-20% anticipated by some strategists just several months ago. Within Fixed Income, our allocation remained defensive as we continued overweight shorter duration and higher quality. Specifically the fund remains overweight both high grade corporate and agency MBS bonds.
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TCW Conservative Allocation Fund
Management Discussions (Continued)
Annualized Total Return as of October 31, 2020(1) | ||||||||||||||||||||
1 Yr Return | 3 Yr Return | 5 Yr Return | 10 Yr Return | Inception to Date | ||||||||||||||||
TCW Conservative Allocation Fund | ||||||||||||||||||||
Class I (Inception: 11/16/2006) | 8.19 | % | 6.13 | % | 5.27 | % | 5.81 | % | 5.43 | % | ||||||||||
Class N (Inception: 11/16/2006) | 7.85 | % | 5.79 | % | 4.86 | % | 5.42 | % | 5.15 | % | ||||||||||
40% S&P 500 Index/60% Bloomberg Barclays U.S. Aggregate Bond Index | 8.25 | % | 7.60 | % | 7.36 | % | 7.49 | % | 6.38 | % |
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distribution or on the redemption of fund shares. |
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TCW Global Real Estate Fund
Management Discussions
For the year ended October 31, 2020, the TCW Global Real Estate Fund (the “Fund”) generated returns of 1.15% and 0.94% on its I Class and N Class shares, respectively. The performance of the Fund’s classes varies because of differing expenses. The Fund’s benchmark, the S&P Global REIT Index, had a negative return of (22.02)% over the same period.
On an attribution basis, the Fund’s outperformance relative to its benchmark during the period was predominantly driven by sector allocation and stock selection. From a relative standpoint, the Fund’s largest sector overweight was in Real Estate Operating Companies (average weight of 5.43% and up 31.68% for the Fund vs. average weight of 0.00% for the index), which benefitted performance. The Fund’s largest sector underweight was in Retail REITs (average weight of 3.49% and down 47.87% for the Fund vs. average weight of 16.46% and down 44.08% for the index), which helped performance. From a stock selection perspective, positive contributors included Extended Stay America (STAY) and Front Yard Residential(RESI). Conversely, notable detractors from performance included Ready Capital (RC) and Hudson Pacific (HPP).
U.S. stocks advanced 9.70% for the 12 months ending in October 2020 (S&P 500 Total Return Index). The results were quite stunning given the unprecedented turmoil experienced by the U.S. economy stemming from the COVID-19 pandemic, uncertainty surrounding the U.S. election, elevated levels of debt, historic levels of unemployment, and near record market valuations. At the time of this writing, we are edging closer to the end of the year and markets feel exuberant as investors look forward to the reopening of the economy driven by the prospects of highly effective vaccines. U.S. macroeconomic data continued to be quite positive, with a 7.4% jump in 3Q GDP (quarter-on-quarter) largely offsetting the prior quarter’s 9.0% decline. In addition, the labor market showed further signs of healing, as the unemployment rate moved lower to just under 8%, while initial and continuing unemployment claims data are largely improving. In fact, over the five-month period from May through September, the U.S. economy recovered just over half of the jobs lost in March and April.
Global REIT indices, by contrast, underperformed the broader markets (as measured by the MSCI World Index) by 20.13% through October 31, 2020. In order to understand the dramatic variance between equities and real estate, it is important to consider a few factors. First, a larger portion of the real estate market was impacted by the pandemic. The office space, for example, declined materially in valuation as corporations and individuals changed their behaviors in ways that may become more permanent in nature. There is debate around how disrupted the office sector will be as we recover, and, accordingly, valuations have embedded a larger spread to compensate for this uncertainty. Other sectors, like retail, may also be impaired as online platforms continue to take share. As consumption patterns changed, trends that were in place before the pandemic seem to have dramatically accelerated. Second, the broader markets were not only less impacted, but many key constituents actually benefitted from the pandemic. The largest holdings within the MSCI World Index, for example, are companies like Apple, Microsoft, Amazon, Facebook, and Alphabet. Arguably, these behemoths have become even more valuable in a post-Covid world as they continue to gain share in their respective industries and provide significant value to their consumers. Many of these companies increased in price by 20% to nearly 50% year to date. Third, as a consequence of the pandemic, a massive amount of stimulus has been provided by governments and central banks. This monetary and fiscal largesse has artificially suppressed yields to accommodate a recovery. While low yields should be supportive for both real estate and equities alike, capital has clearly preferred areas perceived as more resilient, safe and stable (such as technology and consumer staples) over real estate.
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TCW Global Real Estate Fund
Management Discussions (Continued)
Our strategy for navigating the current environment remains largely unchanged. We source most of our holdings from two separate pools. The first is in underappreciated, undervalued companies that could benefit from a change in sentiment. The issues facing these businesses are typically transitory and the discount is largely unfounded when viewed on a longer time horizon. The second set is in the quality franchises which exhibit high barriers to entry and sustainably generate strong cash flows. These companies generally also have an ability to invest capital at high rates of return and typically will compound capital at a pace that exceeds that of their peers. While in prior years the portfolio was more heavily weighted towards the second set of high quality companies, we have found more compelling opportunities this year in the first group of value companies. In last year’s letter we mentioned that we would not be taking risks by owning lower-quality businesses at lower valuations because we believed that risk was not appropriately priced at the time. This year, as we navigated through the year, we cycled out of some of our more fully valued “quality” holdings into more misunderstood value names at very deep discounts. We believe the disruption caused by the pandemic remains pronounced and that the dispersion in company valuations is still very high. This creates a great opportunity for active stock selection.
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TCW Global Real Estate Fund
Management Discussions (Continued)
Annualized Total Return as of October 31, 2020(1) | ||||||||||||||||
1 Yr Return | 3 Yr Return | 5 Yr Return | Inception to Date | |||||||||||||
TCW Global Real Estate Fund | ||||||||||||||||
Class I (Inception: 12/01/2014) | 1.15 | % | 5.38 | % | 5.30 | % | 4.35 | % | ||||||||
Class N (Inception: 12/01/2014) | 0.94 | % | 5.23 | % | 5.23 | % | 4.27 | % | ||||||||
S&P Global REIT Index | (22.02 | )% | (0.79 | )% | 1.58 | % | 1.66 | % |
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distribution or on the redemption of fund shares. |
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TCW New America Premier Equities Fund
Management Discussions
For the fiscal year that ended October 31, 2020, the TCW New America Premier Equities Fund (the “Fund”) returned 12.31% and 12.02% on the I Class and N Class shares. The Fund’s benchmark, the Russell 1000 Index, returned 10.87% over the same period.
The Fund’s performance benefited from investments in Microsoft Corp., Danaher Corp., and The Trade Desk Inc. The Fund’s performance was negatively impacted by investments in Motorola Solutions Inc., TransDigm Group Inc. and Fiserv, Inc.
As we have indicated in the past we eschew a reliance on macroeconomic forecasts and projections of the future direction of markets — our view is that these factors are unknowable. We therefore focus on what we think is knowable. We believe that a careful assessment of investment opportunities at the security level will provide us, in some cases, with a high probability view of the future free cash flows of a business. Risk-adjusted cash flow steam is a key determinant of the future returns of an investment and therefore a key determinant of the portfolio’s future returns. We believe that we have made good decisions in this respect and that the portfolio of companies is built to weather most market environments.
Investment Philosophy
The Fund seeks to outperform the broad U.S. indices in both rising and falling markets with less risk and volatility. We seek to accomplish this objective by investing in a concentrated portfolio of businesses that carefully manage their environmental and social resources and that employ best in class corporate governance practices. We invest in businesses that have high barriers to entry, are stable, generate substantial free cash flow and are managed by prudent leaders.
Risk control: Our primary objective, as stewards of your capital, is to control risk while seeking attractive returns. We control risk in a unique manner; initially we apply our proprietary ESG quantitative framework to identify better managed businesses that have lower quantifiable and unquantifiable risks. Subsequently we hone our efforts on those businesses that we believe operate in stable industries with attractive industry structures, businesses that produce products that are critical to their customers, and businesses that we believe are led by proven, appropriately incentivized leaders. We endeavor to further control valuation risk by purchasing securities at attractive prices relative to the current free cash flow generation of the businesses. We believe that businesses that fit our profile produce fairly stable cash flow streams and are less prone to macroeconomic fluctuations, competitive pressures and valuation risks.
Consistency: It is also our objective to deliver a consistently positive outcome. We would view outsized outperformance in one year and poor performance in the subsequent year as a poor outcome for our clients. Our bottoms up investment process is focused on selecting undervalued businesses that we believe should perform well in most market environments and hold up well in negative periods. We believe consistency in approach and consistency in outcome gives us the best chance of minimizing a left tail outcome in any given year. It is our view that if we can consistently deliver above average risk-adjusted performance over a long period of time the outcome likely would be outperformance relative to our peers over the full period. That is our goal.
Environmental, Social, Governance Analysis: Traditional fundamental analysis does not capture risks associated with managing environmental resources nor does it assess the performance of businesses from the perspective of resource efficiency. Traditional analysis does not typically assess the risks associated with
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a heterogeneous workforce nor does it assess the competence, quality and engagement level of the Board of Directors. Our investment framework not only pays close attention to these issues, we quantify, score, and rank companies and exclude businesses based on these risk factors.
While those risks are not quantified through traditional financial analysis, we have found a significant correlation between companies that manage their resources prudently and businesses that sport strong financial metrics. Businesses that meet our rigorous ESG performance requirements typically have higher free cash flow yields, higher total yields, higher margins and lower levels of financial leverage.
Focus on Dominant, Predictable Businesses with High Barriers to Entry: In the long run the investment performance of a portfolio is inextricably linked to the underlying performance of the earnings and cash flows of the businesses comprising the portfolio. We believe one of the greatest risks in investing is valuing a business based on an erroneous view of the future free cash flows of the business. Such a circumstance results in an investor typically overpaying for a business and therefore generating a poor return on the investment.
In fast growing businesses or in industries that are undergoing rapid changes it is extraordinarily difficult and often dangerous to make an investment in a business when the long-term cash generation potential of the enterprise has a wide spectrum of outcomes. We seek to avoid companies and industries that are undergoing rapid changes.
What we do seek, however, are stable businesses that have dominant market positions, and whose long-term cash flows we believe can be predicted reasonably well. The qualitative characteristics that we seek, including attractive industry structures, pricing power and dominant market positions, make us confident in our forecast of the future cash flows of the businesses and therefore provide greater confidence that our valuation of the business is reasonably accurate.
The famed value investor Benjamin Graham once said, “In the short run, the market is a voting machine but in the long run, it is a weighing machine.” Our view is that the market weighs cash flows and in order to consistently purchase a security for less than what it is worth, one should have high confidence in the future free cash flows of a business.
Thank you for joining us as fellow shareholders in the TCW New America Premier Equities Fund. We will continue to work hard to justify your confidence in us.
��
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TCW New America Premier Equities Fund
Management Discussions (Continued)
Annualized Total Return as of October 31, 2020(1) | ||||||||||||
1 Yr Return | 3 Yr Return | Inception to Date | ||||||||||
TCW New America Premier Equities Fund | ||||||||||||
Class I (Inception: 02/01/2016) | 12.31 | % | 16.35 | % | 20.74 | % | ||||||
Class N (Inception: 02/01/2016) | 12.02 | % | 16.19 | % | 20.63 | % | ||||||
Russell 1000 Index | 10.87 | % | 10.63 | % | 14.11 | % |
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distribution or on the redemption of fund shares. |
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TCW Relative Value Dividend Appreciation Fund
Management Discussions
For the year ended October 31, 2020, the TCW Relative Value Dividend Appreciation Fund (the “Fund”) posted a return of -8.71% and -8.88% on its I Class and N Class shares, respectively. The performance of the Fund’s classes varies because of differing expenses. The Fund’s benchmark, the Russell 1000 Value Index, returned -7.57% over the same period.
Market Outlook
Former Vice President Joe Biden has been duly elected the 46th president of the U.S. There will be legal challenges but thus far all are without merit. The base case is for the House to hold its Democratic majority and the Senate to remain in the hands of the Republicans. Counting an overwhelming number of absentee ballots continues and finalized numbers may be weeks away. Neither of the Georgia Senate candidates received 50% of the votes. As such, the special election occurs in January. Should both seats be won by Democratic candidates, the chamber will be evenly split 50-50 with the deciding vote (in the event of a tie) going to Vice President-elect Kamala Harris.
The U.S. economy is showing marked signs of improvement. Approximately one-half of the 22 million jobs lost in March and April have been regained. Initial jobless claims are at the lowest level of crisis and have stabilized in the 700,000-800,000 range. The unemployment rate dropped one full percentage point over the last month and now rests at 6.9% at October 31, down from its cycle peak of nearly 15% at April 30. Personal income rose 0.9% month-over-month in September as employers raised wages. Housing data are strong, auto sales (after falling precipitously in April) have surged to a 16+ million seasonally adjusted annual rate, and manufacturing has rebounded noticeably after contracting in the second quarter. The ISM Manufacturing Purchasing Managers Index (PMI) and ISM Manufacturing PMI Business New Orders levels spiked noticeably higher in October while the Chicago PMI topped expectations. There was a big upward revision to 2Q20 productivity (a much underappreciated metric) to a 10.1% quarter over quarter annual rate and to 2.8% year over year rate versus preliminary figures of 7.3% and 2.2%, respectively. Per Nancy Lazar of Cornerstone Macro, “Productivity gains boost profit margins ... and is a key driver for potential GDP growth.” The economy did indeed rebound strongly in the third quarter (emerging from recession), and estimates call for 2-4% growth in 4Q and 3-4% in 2021. With most S&P 500 companies having reported, nearly 80% have beaten estimates and guidance has been good enough for analysts to maintain double-digit growth in 2021 dominated by a cyclical resurgence. Finally, consumer confidence is strengthening with both the Conference Board and University of Michigan indices on the upswing.
The global economy still faces near-term headwinds. Rising COVID-19 cases in Germany, France, Belgium, and the UK have forced second lockdowns in those countries while U.S. daily cases have topped 100,000. However, on November 9, pharmaceutical companies Pfizer and BioNTech working in concert announced that their vaccine candidate trials have proved more than 90% effective. The two stated they could produce enough doses to vaccinate 650 million people by the end of 2021. Then on November 16, Moderna announced its vaccine candidate showed 94.5% effectiveness in its Phase 3 clinical trial. Other companies still show promise including Johnson & Johnson, Sanofi, and Novavax.
Global monetary and fiscal stimulus to fight COVID-19 has been stupendous. The combination of the two stimuli from the onset through November could ultimately equal $27 trillion and constitute nearly one-third of global GDP. In its last meeting before the election, the Federal Reserve Board in October held firm to prior communiques of a new long-term policy of keeping interest rates near zero for the foreseeable future (“at least three years”) until the U.S. returns to maximum employment and 2% inflation. Its current
16
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TCW Relative Value Dividend Appreciation Fund
Management Discussions (Continued)
guidance about purchases is entirely open-ended on the upside and limited on the downside (in its commitment to buy “at least at the current pace to sustain smooth market functioning and help foster accommodative financial conditions”). While Fed Chair Powell has been adamant that the economy needs more fiscal support, a mega stimulus bill is unlikely under a split Congress.
Mr. Biden will have the “power of the pulpit,” better international and trade relations, a coordinated health care effort, and the staffing of essential government agencies and national laboratories that have been ignored or worse. The Democratic win will almost certainly come with increased regulation but under a “moderate” banner. While taxes are unlikely to be raised, there will be less fiscal stimulus. As President, Mr. Biden can rejoin the Paris Climate Accord but will need to use executive action to up environmental standards. Big tech and others face a rocky road over the next few years with some companies (such as Facebook, Google, and Amazon), facing increased scrutiny for anti-trust issues. Health care stocks in general have languished over the last few months but it is difficult to see an environment where good, accessible healthcare is not deemed essential.
Value was on the cusp of outperforming in 2020 until the COVID-19 lid got put on top of the change in factors. The current dynamics of 1) extreme two standard deviation valuation disparities between growth and value, 2) the beginning of a new economic cycle post the current recession, 3) the most concentrated Russell 1000 Growth Index ever and one of the most concentrated S&P 500 Indices, and 4) the unprecedented fiscal and monetary stimulus all should help drive value’s outperformance. Since 1948, based on the S&P 500, Democratic presidents have overseen 75% better returns, on average, versus their Republican counterparts.
The portfolio remains attractively valued and poised for growth. While some exuberance has been tempered, the Relative Value Dividend Appreciation Fund two-year annualized projected consensus EPS growth rate of nearly 15% (as of October 31) is in line with the S&P 500 and Russell 1000 Value indices, yet its valuations are significantly less than both. The relative valuations and mid-teens growth potential underscore the “Search for Value Poised for Growth” Relative Value investment philosophy. We believe the seeds of great opportunity are being sown today and thank you for your continued confidence in our time-tested disciplined philosophy, process, and team.
Fund Review
Over the course of the one-year period ending October 31, 2020, the Fund’s top ten holdings by average weight outperformed the portfolio and its benchmark index returning -2.1%, on average, led by UPS, Maxim Integrated Products, and AES. The Fund’s Materials names were the best performers, returning 26.5% and outperforming the group gain of 8.8% led in large part to Freeport-McMoRan and secondarily Corteva and DuPont. AES highlighted in Utilities where the portfolio’s names bested their peers 10.1% versus -0.6%, while Lennar, Target, and Whirlpool led to the outperformance in Consumer Discretionary with the names in the sector gaining 8.9% versus the group’s modest rise of 0.7%. The portfolio also benefited from stock selection in Information Technology and Consumer Staples led by Maxim Integrated Products and ConAgra. On the downside, the portfolio’s Health Care holdings were the biggest detractors, returning 0.3% lagging the group move of 10.5% due largely to Johnson & Johnson and to a lesser extent AbbVie and Novartis. AT&T was largely responsible for the underperformance in Communication Services where the portfolio’s stocks returned -15.7%, trailing their peers’ decline of -3.6%. AIG, Citigroup, and Zions Bancorporation were the biggest laggards in Financials with the portfolio’s holdings underperforming
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Management Discussions (Continued)
-22.9% versus -17.9%. AIG was completely sold during the one-year period. With respect to sector weightings, the portfolio benefited due largely to the overweight in Information Technology and underweight in Real Estate. The overweight in Energy detracted.
Annualized Total Return as of October 31, 2020(1) | ||||||||||||||||||||||||
1 Yr Return | 3 Yr Return | 5 Yr Return | 10 Yr Return | Inception to Date | Inception Index | |||||||||||||||||||
TCW Relative Value Dividend Appreciation Fund | ||||||||||||||||||||||||
Class I (Inception: 11/01/2004) | (8.71 | )% | (0.59 | )% | 3.53 | % | 8.43 | % | 5.90 | % | 6.77 | % | ||||||||||||
Class N (Inception: 09/19/1986) | (8.88 | )% | (0.81 | )% | 3.31 | % | 8.15 | % | 8.33 | % | 9.58 | % | ||||||||||||
Russell 1000 Value Index | (7.57 | )% | 1.94 | % | 5.82 | % | 9.48 | % |
6.77
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distribution or on the redemption of fund shares. |
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TCW Relative Value Large Cap Fund
Management Discussions
For the year ended October 31, 2020, the TCW Relative Value Large Cap Fund (the “Fund”) posted a return of -7.02% and -7.17% on its I Class and N Class shares, respectively. The performance of the Fund’s classes varies because of differing expenses. The Fund’s benchmark, the Russell 1000 Value Index, returned -7.57% over the same period.
Market Outlook
Former Vice President Joe Biden has been duly elected the 46th president of the U.S. There will be legal challenges but thus far all are without merit. The base case is for the House to hold its Democratic majority and the Senate to remain in the hands of the Republicans. Counting an overwhelming number of absentee ballots continues and finalized numbers may be weeks away. Neither of the Georgia Senate candidates received 50% of the votes. As such, the special election occurs in January. Should both seats be won by Democratic candidates, the chamber will be evenly split 50-50 with the deciding vote (in the event of a tie) going to Vice President-elect Kamala Harris.
The U.S. economy is showing marked signs of improvement. Approximately one-half of the 22 million jobs lost in March and April have been regained. Initial jobless claims are at the lowest level of crisis and have stabilized in the 700,000-800,000 range. The unemployment rate dropped one full percentage point over the last month and now rests at 6.9% at October 31, down from its cycle peak of nearly 15% at April 30. Personal income rose 0.9% month-over-month in September as employers raised wages. Housing data are strong, auto sales (after falling precipitously in April) have surged to a 16+ million seasonally adjusted annual rate, and manufacturing has rebounded noticeably after contracting in the second quarter. The ISM Manufacturing Purchasing Managers Index (PMI) and ISM Manufacturing PMI Business New Orders levels spiked noticeably higher in October while the Chicago PMI topped expectations. There was a big upward revision to 2Q20 productivity (a much underappreciated metric) to a 10.1% quarter over quarter annual rate and to 2.8% year over year rate versus preliminary figures of 7.3% and 2.2%, respectively. Per Nancy Lazar of Cornerstone Macro, “Productivity gains boost profit margins ... and is a key driver for potential GDP growth.” The economy did indeed rebound strongly in the third quarter (emerging from recession), and estimates call for 2-4% growth in 4Q and 3-4% in 2021. With most S&P 500 companies having reported, nearly 80% have beaten estimates and guidance has been good enough for analysts to maintain double-digit growth in 2021 dominated by a cyclical resurgence. Finally, consumer confidence is strengthening with both the Conference Board and University of Michigan indices on the upswing.
The global economy still faces near-term headwinds. Rising COVID-19 cases in Germany, France, Belgium, and the UK have forced second lockdowns in those countries while U.S. daily cases have topped 100,000. However, on November 9, pharmaceutical companies Pfizer and BioNTech working in concert announced that their vaccine candidate trials have proved more than 90% effective. The two stated they could produce enough doses to vaccinate 650 million people by the end of 2021. Then on November 16, Moderna announced its vaccine candidate showed 94.5% effectiveness in its Phase 3 clinical trial. Other companies still show promise including Johnson & Johnson, Sanofi, and Novavax.
Global monetary and fiscal stimulus to fight COVID-19 has been stupendous. The combination of the two stimuli from the onset through November could ultimately equal $27 trillion and constitute nearly one-third of global GDP. In its last meeting before the election, the Federal Reserve Board in October held firm to prior communiques of a new long-term policy of keeping interest rates near zero for the foreseeable future (“at least three years”) until the U.S. returns to maximum employment and 2% inflation. Its current
19
Table of Contents
TCW Relative Value Large Cap Fund
Management Discussions (Continued)
guidance about purchases is entirely open-ended on the upside and limited on the downside (in its commitment to buy “at least at the current pace to sustain smooth market functioning and help foster accommodative financial conditions”). While Fed Chair Powell has been adamant that the economy needs more fiscal support, a mega stimulus bill is unlikely under a split Congress.
Mr. Biden will have the “power of the pulpit,” better international and trade relations, a coordinated health care effort, and the staffing of essential government agencies and national laboratories that have been ignored or worse. The Democratic win will almost certainly come with increased regulation but under a “moderate” banner. While taxes are unlikely to be raised, there will be less fiscal stimulus. As President, Mr. Biden can rejoin the Paris Climate Accord but will need to use executive action to up environmental standards. Big tech and others face a rocky road over the next few years with some companies (such as Facebook, Google, and Amazon), facing increased scrutiny for anti-trust issues. Health care stocks in general have languished over the last few months but it is difficult to see an environment where good, accessible healthcare is not deemed essential.
Value was on the cusp of outperforming in 2020 until the COVID-19 lid got put on top of the change in factors. The current dynamics of 1) extreme two standard deviation valuation disparities between growth and value, 2) the beginning of a new economic cycle post the current recession, 3) the most concentrated Russell 1000 Growth Index ever and one of the most concentrated S&P 500 Indices, and 4) the unprecedented fiscal and monetary stimulus all should help drive value’s outperformance. Since 1948, based on the S&P 500, Democratic presidents have overseen 75% better returns, on average, versus their Republican counterparts.
The portfolio remains attractively valued and poised for growth. While some exuberance has been tempered, the Relative Value Large Cap Fund two-year annualized projected consensus EPS growth rate of nearly 20% (as of October 31) is 25%+ higher than both the S&P 500 and Russell 1000 Value indices. There is a lot of earnings power in the portfolio which is starting to be recognized, although it is never a straight line. This higher growth potential versus the value benchmark while simultaneously trading at a material discount to benchmark indices underscores the “Search for Value Poised for Growth” Relative Value investment philosophy. We believe the seeds of great opportunity are being sown today and thank you for your continued confidence in our time-tested disciplined philosophy, process, and team.
Fund Review
Over the course of the one-year period ending October 31, 2020, the Fund’s top ten holdings by average weight outperformed the portfolio and its benchmark index returning 0.5%, on average, led by Molina Healthcare, Lennar, and AES. The Fund’s Materials names were the best relative performers returning 36.3% versus the group gain of 8.8%, led in large part to Freeport-McMoRan and secondarily Corteva and DuPont. ConAgra’s strong gain led to the outperformance in Consumer Staples where the portfolio’s names in the sector bested their peers 13.7% versus 3.9%. The portfolio also benefited from stock selection in Information Technology with solid returns from Broadcom, Flex, and ON Semiconductor while AES highlighted in Utilities. One additional notable contributor was UPS in Industrials. On the downside, the portfolio’s Communication Services stocks were the biggest detractors returning -14.6%, lagging the group decline of -3.6% due to Discovery and AT&T. General Electric, Textron, and Terex were largely responsible for the underperformance in Industrials where its names returned -7.9% versus their peers’ loss of -2.4%. To a lesser extent, the portfolio’s Financials and Consumer Discretionary names detracted with AIG,
20
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TCW Relative Value Large Cap Fund
Management Discussions (Continued)
Citigroup, Bed Bath & Beyond, and Dana the most notable laggards. Terex, AIG, Bed Bath & Beyond, and Dana were each completely sold during the one-year period. With respect to sector weightings, the portfolio benefited noticeably due to the overweight in Information Technology and underweights in Financials and Real Estate. The underweight in Consumer Staples detracted.
Annualized Total Return as of October 31, 2020(1) | ||||||||||||||||||||||||
1 Yr Return | 3 Yr Return | 5 Yr Return | 10 Yr Return | Inception to Date | Inception Index | |||||||||||||||||||
TCW Relative Value Large Cap Fund | ||||||||||||||||||||||||
Class I (Inception: 01/02/2004) | (7.02 | )% | (1.56 | )% | 3.54 | % | 8.29 | % | 6.22 | % | 6.87 | % | ||||||||||||
Class N (Inception: 01/02/1998) | (7.17 | )% | (1.76 | )% | 3.33 | % | 8.05 | % | 5.51 | % | 6.50 | % | ||||||||||||
Russell 1000 Value Index | (7.57 | )% | 1.94 | % | 5.82 | % | 9.48 | % |
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distribution or on the redemption of fund shares. |
21
Table of Contents
TCW Relative Value Mid Cap Fund
Management Discussions
For the year ended October 31, 2020, the TCW Relative Value Mid Cap Fund (the “Fund”) posted a return of -8.07% and -8.18% on its I Class and N Class shares, respectively. The performance of the Fund’s classes varies because of differing expenses. The Fund’s benchmark, the Russell Midcap Value Index, returned -6.94% over the same period.
Market Outlook
Former Vice President Joe Biden has been duly elected the 46th president of the U.S. There will be legal challenges but thus far all are without merit. The base case is for the House to hold its Democratic majority and the Senate to remain in the hands of the Republicans. Counting an overwhelming number of absentee ballots continues and finalized numbers may be weeks away. Neither of the Georgia Senate candidates received 50% of the votes. As such, the special election occurs in January. Should both seats be won by Democratic candidates, the chamber will be evenly split 50-50 with the deciding vote (in the event of a tie) going to Vice President-elect Kamala Harris.
The U.S. economy is showing marked signs of improvement. Approximately one-half of the 22 million jobs lost in March and April have been regained. Initial jobless claims are at the lowest level of crisis and have stabilized in the 700,000-800,000 range. The unemployment rate dropped one full percentage point over the last month and now rests at 6.9% at October 31, down from its cycle peak of nearly 15% at April 30. Personal income rose 0.9% month-over-month in September as employers raised wages. Housing data are strong, auto sales (after falling precipitously in April) have surged to a 16+ million seasonally adjusted annual rate, and manufacturing has rebounded noticeably after contracting in the second quarter. The ISM Manufacturing Purchasing Managers Index (PMI) and ISM Manufacturing PMI Business New Orders levels spiked noticeably higher in October while the Chicago PMI topped expectations. There was a big upward revision to 2Q20 productivity (a much underappreciated metric) to a 10.1% quarter over quarter annual rate and to 2.8% year over year rate versus preliminary figures of 7.3% and 2.2%, respectively. Per Nancy Lazar of Cornerstone Macro, “Productivity gains boost profit margins ... and is a key driver for potential GDP growth.” The economy did indeed rebound strongly in the third quarter (emerging from recession), and estimates call for 2-4% growth in 4Q and 3-4% in 2021. With most S&P 500 companies having reported, nearly 80% have beaten estimates and guidance has been good enough for analysts to maintain double-digit growth in 2021 dominated by a cyclical resurgence. Finally, consumer confidence is strengthening with both the Conference Board and University of Michigan indices on the upswing.
The global economy still faces near-term headwinds. Rising COVID-19 cases in Germany, France, Belgium, and the UK have forced second lockdowns in those countries while U.S. daily cases have topped 100,000. However, on November 9, pharmaceutical companies Pfizer and BioNTech working in concert announced that their vaccine candidate trials have proved more than 90% effective. The two stated they could produce enough doses to vaccinate 650 million people by the end of 2021. Then on November 16, Moderna announced its vaccine candidate showed 94.5% effectiveness in its Phase 3 clinical trial. Other companies still show promise including Johnson & Johnson, Sanofi, and Novavax.
Global monetary and fiscal stimulus to fight COVID-19 has been stupendous. The combination of the two stimuli from the onset through November could ultimately equal $27 trillion and constitute nearly one-third of global GDP. In its last meeting before the election, the Federal Reserve Board in October held firm to prior communiques of a new long-term policy of keeping interest rates near zero for the foreseeable future (“at least three years”) until the U.S. returns to maximum employment and 2% inflation. Its current
22
Table of Contents
TCW Relative Value Mid Cap Fund
Management Discussions (Continued)
guidance about purchases is entirely open-ended on the upside and limited on the downside (in its commitment to buy “at least at the current pace to sustain smooth market functioning and help foster accommodative financial conditions”). While Fed Chair Powell has been adamant that the economy needs more fiscal support, a mega stimulus bill is unlikely under a split Congress.
Mr. Biden will have the “power of the pulpit,” better international and trade relations, a coordinated health care effort, and the staffing of essential government agencies and national laboratories that have been ignored or worse. The Democratic win will almost certainly come with increased regulation but under a “moderate” banner. While taxes are unlikely to be raised, there will be less fiscal stimulus. As President, Mr. Biden can rejoin the Paris Climate Accord but will need to use executive action to up environmental standards. Big tech and others face a rocky road over the next few years with some companies (such as Facebook, Google, and Amazon), facing increased scrutiny for anti-trust issues. Health care stocks in general have languished over the last few months but it is difficult to see an environment where good, accessible healthcare is not deemed essential.
Value was on the cusp of outperforming in 2020 until the COVID-19 lid got put on top of the change in factors. The current dynamics of 1) extreme two standard deviation valuation disparities between growth and value, 2) the beginning of a new economic cycle post the current recession, 3) the most concentrated Russell Midcap Growth Index since the end of 2000, and 4) the unprecedented fiscal and monetary stimulus all should help drive value’s outperformance. Since 1948, based on the S&P 500, Democratic presidents have overseen 75% better returns, on average, versus their Republican counterparts.
The portfolio remains attractively valued and poised for growth. While some exuberance has been tempered, the Relative Value Mid Cap Fund two-year annualized projected consensus EPS growth rate of 22.5% (as of October 31) is over 80% higher than the Russell Midcap Value Index. There is a lot of earnings power in the portfolio which is starting to be recognized, although it is never a straight line. This higher growth potential versus the value benchmark while simultaneously trading at a material discount to the benchmark underscores the “Search for Value Poised for Growth” Relative Value investment philosophy. We believe the seeds of great opportunity are being sown today and thank you for your continued confidence in our time-tested disciplined philosophy, process, and team.
Fund Review
Over the course of the one-year period ending October 31, 2020, the Fund’s top ten holdings by average weight outperformed the portfolio and its benchmark index returning 6.0%, on average, led by Molina Healthcare, Maxim Integrated Products, Flex, and Lennar. The Fund’s Utilities names were the best relative performers returning 10.4% versus the group decline of -5.8% led by AES. ConAgra and Hain Celestial led to the outperformance in Consumer Staples where the portfolio’s names in the sector bested their peers 17.3% versus 3.3%. The portfolio also benefited from stock selection in Information Technology with solid returns from Maxim Integrated Products, Nuance Communications, and Flex while Freeport-McMoRan and Corteva highlighted in Materials. On the downside, the portfolio’s Industrials were the biggest detractors returning -17.0% lagging the group’s slight gain of 1.1% due largely to Kirby and Manitowoc. Assured Guaranty and secondarily KeyCorp and Synovus Financial were responsible for the underperformance in Financials where the portfolio’s names returned -21.8% versus -15.9%. The portfolio’s Communication Services and Energy stocks also detracted due mostly to Discovery and Newpark
23
Table of Contents
TCW Relative Value Mid Cap Fund
Management Discussions (Continued)
Resources. With respect to sector weightings, the portfolio benefited noticeably due to the underweights in Real Estate and Energy and overweights in Information Technology and Health Care. The underweight in Consumer Staples and overweight in Consumer Discretionary detracted.
Annualized Total Return as of October 31, 2020(1) | ||||||||||||||||||||||||
1 Yr Return | 3 Yr Return | 5 Yr Return | 10 Yr Return | Inception to Date | Inception Index | |||||||||||||||||||
TCW Relative Value Mid Cap Fund | ||||||||||||||||||||||||
Class I (Inception: 11/01/1996) | (8.07 | )% | (3.92 | )% | 3.67 | % | 7.37 | % | 8.89 | %2 | 9.47 | % | ||||||||||||
Class N (Inception: 11/01/2000) | (8.18 | )% | (4.02 | )% | 3.52 | % | 7.14 | % | 6.44 | % | 8.69 | % | ||||||||||||
Russell Midcap Value Index | (6.94 | )% | 0.86 | % | 5.32 | % | 9.40 | % |
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distribution or on the redemption of fund shares. |
(2) | Performance data includes the performance of the predecessor entity for periods before the Fund’s registration became effective. The predecessor entity was not registered under the 1940 Act and, therefore, was not subject to certain investment restrictions that are imposed by the 1940 Act. If the predecessor entity had been registered under the 1940 Act, the predecessor entity’s performance may have been lower. |
24
Table of Contents
TCW Select Equities Fund
Management Discussions
For the year ended October 31, 2020, the TCW Select Equities Fund (the “Fund”) returned +34.59% and +34.26% on its I Class and N Class shares, respectively. The performance of the Fund’s classes varies because of differing expenses. The Fund’s benchmark, Russell 1000 Growth Index, returned +29.22% over the same period.
Thanks to improving economic data and a dearth of inflation, the market continued its ascent in Fiscal 2020, with the S&P 500 finishing calendar year 2019 +31.5%. Everything abruptly changed in 1Q20, however, as economic activity seized globally due to the ongoing COVID-19 pandemic. The S&P 500 dropped 20% in 1Q20, marking the quickest retreat to a bear market in history and formally ended the longest bull market on record. The monetary policy response by the Federal Reserve was swift and aggressive. Interest rates were effectively cut to zero, additional rounds of Quantitative Easing were announced and the Fed’s balance sheet ballooned to $7 trillion. Congress passed a $2.1 trillion fiscal stimulus package and the S&P 500 bottomed on March 23, 2020. With hopes of a “V-shaped” economic recovery, the stock market recovered and matched its previous all-time high by August. Given increasing COVID-19 case counts, investor focus now turns to the severity of a potential phase two economic shutdown and how soon a vaccine will be available.
Net of expenses, the Fund outperformed for the year primarily as a result of positive security selection results. Our biggest stock contributors relative to the benchmark came from the information technology sector. Shares of ServiceNow, Inc. (NOW) moved higher amid stronger digital transformation trends. We believe the pandemic has caused many enterprises to accelerate cloud adoption and workflow automation and NOW is a key beneficiary of this secular trend. We remain positive on NOW given our belief the current share price understates the long-term earnings power and competitive position of a strong platform company gaining market share in a growing end market. Shares of The Trade Desk, Inc. (TTD) rallied due to a series of solid earnings reports, increasing investor optimism around improving programmatic advertising spending trends, as well as the accelerated transition toward digital advertising that has occurred during the pandemic. We remain constructive on shares given our belief the company’s cloud-based, programmatic advertising buying technology is best in class (enabling better ROI advertising campaigns) and TTD is well positioned to continue to take share of advertising spend across digital media.
Our biggest stock detractors during the year came from the financials and healthcare sectors. Shares of Chubb Limited (CB) moved lower as a result of a particularly challenging property and casualty insurance market. In addition to the myriad catastrophe losses over the past year, the industry has come under pressure as some states in the U.S. began exploring bills requiring insurance companies to pay for business interruptions despite explicit exclusions of coverage for virus-driven interruptions in the policies they underwrote. We have placed CB shares under review. Shares of Boston Scientific Corporation (BSX) declined as many non-urgent medical procedures utilizing BSX’s devices were delayed as a result of the ongoing pandemic. While we recognize the near-term risk to BSX’s revenue and earnings, we believe the pandemic will simply shift the procedures to later periods and sales will be recaptured in later quarters. We remain positive on BSX shares.
25
Table of Contents
TCW Select Equities Fund
Management Discussions (Continued)
Annualized Total Return as of October 31, 2020(1) | ||||||||||||||||||||||||
1 Yr Return | 3 Yr Return | 5 Yr Return | 10 Yr Return | Inception to Date | Inception Index | |||||||||||||||||||
TCW Select Equities Fund | ||||||||||||||||||||||||
Class I (Inception: 07/01/1991) | 34.59 | % | 21.71 | % | 16.21 | % | 15.60 | % | 11.17 | %2 | 10.35 | % | ||||||||||||
Class N (Inception: 03/01/1999) | 34.26 | % | 21.45 | % | 15.95 | % | 15.30 | % | 8.04 | % | 7.01 | % | ||||||||||||
Russell 1000 Growth Index | 29.22 | % | 18.77 | % | 17.32 | % | 16.31 | % |
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distribution or on the redemption of fund shares. |
(2) | Performance data includes the performance of the predecessor entity for periods before the Fund’s registration became effective. The predecessor entity was not registered under the 1940 Act and, therefore, was not subject to certain investment restrictions that are imposed by the 1940 Act. If the predecessor entity had been registered under the 1940 Act, the predecessor entity’s performance may have been lower. |
26
Table of Contents
TCW Artificial Intelligence Equity Fund
Schedule of Investments | October 31, 2020 |
Issues | Shares | Value | ||||||
COMMON STOCK — 97.4% of Net Assets |
| |||||||
Application Software — 18.6% | ||||||||
Adobe, Inc. (1) | 647 | $ | 289,274 | |||||
Alteryx, Inc. (1) | 668 | 83,734 | ||||||
Anaplan, Inc. (1) | 1,335 | 73,892 | ||||||
Autodesk, Inc. (1) | 1,137 | 267,809 | ||||||
Bill.Com Holdings, Inc. (1) | 613 | 61,300 | ||||||
Elastic NV (Netherlands) (1) | 714 | 72,407 | ||||||
Salesforce.com, Inc. (1) | 1,343 | 311,938 | ||||||
Splunk, Inc. (1) | 1,222 | 242,005 | ||||||
Trade Desk, Inc. (The) (1) | 718 | 406,711 | ||||||
Zoom Video Communications, Inc. (1) | 268 | 123,524 | ||||||
|
| |||||||
1,932,594 | ||||||||
|
| |||||||
Automobile Manufacturers — 1.2% | ||||||||
Tesla Inc. (1) | 332 | 128,829 | ||||||
|
| |||||||
Biotechnology — 1.7% | ||||||||
Alnylam Pharmaceuticals, Inc. (1) | 273 | 33,571 | ||||||
Relay Therapeutics, Inc. (1) | 1,316 | 48,613 | ||||||
Sarepta Therapeutics, Inc. (1) | 293 | 39,821 | ||||||
SpringWorks Therapeutics, Inc. (1) | 894 | 51,843 | ||||||
|
| |||||||
173,848 | ||||||||
|
| |||||||
Cable & Satellite — 3.5% | ||||||||
Altice USA, Inc. (1) | 4,272 | 115,130 | ||||||
Charter Communications, Inc. (1) | 412 | 248,774 | ||||||
|
| |||||||
363,904 | ||||||||
|
| |||||||
Communications Equipment — 0.9% | ||||||||
Palo Alto Networks, Inc. (1) | 419 | 92,679 | ||||||
|
| |||||||
Data Processing & Outsourced Services — 7.8% | ||||||||
Mastercard, Inc. | 519 | 149,804 | ||||||
MongoDB, Inc. (1) | 608 | 138,910 | ||||||
Square, Inc. (1) | 2,412 | 373,571 | ||||||
Visa, Inc. | 816 | 148,275 | ||||||
|
| |||||||
810,560 | ||||||||
|
| |||||||
Health Care Equipment — 1.9% | ||||||||
Intuitive Surgical, Inc. (1) | 111 | 74,046 | ||||||
STAAR Surgical Co. (1) | 1,628 | 118,030 | ||||||
|
| |||||||
192,076 | ||||||||
|
| |||||||
Home Entertainment Software — 3.5% | ||||||||
Activision Blizzard, Inc. | 2,285 | 173,043 | ||||||
Roku, Inc. (1) | 933 | 188,839 | ||||||
|
| |||||||
361,882 | ||||||||
|
| |||||||
Insurance Brokers — 0.8% | ||||||||
GoHealth, Inc. (1) | 7,550 | 78,218 | ||||||
|
| |||||||
Interactive Home Entertainment — 1.6% | ||||||||
Sea, Ltd. . (SP ADR) (Singapore) (1) | 1,031 | 162,589 | ||||||
|
|
Issues | Shares | Value | ||||||
Internet & Direct Marketing Retail — 3.3% | ||||||||
Amazon.com, Inc. (1) | 113 | $ | 343,085 | |||||
|
| |||||||
Internet Services & Infrastructure — 15.7% | ||||||||
Alibaba Group Holding, Ltd. (SP ADR) (China) (1) | 856 | 260,814 | ||||||
Alphabet, Inc. (1) | 188 | 303,829 | ||||||
Facebook, Inc. (1) | 1,135 | 298,630 | ||||||
Okta, Inc. (1) | 988 | 207,312 | ||||||
Snowflake, Inc. (1) | 216 | 54,004 | ||||||
Tencent Holdings, Ltd. (SP ADR) (China) | 2,946 | 224,898 | ||||||
Twilio, Inc. (1) | 839 | 234,056 | ||||||
ZoomInfo Technologies, Inc. (1) | 1,170 | 44,448 | ||||||
|
| |||||||
1,627,991 | ||||||||
|
| |||||||
IT Consulting & Other Services — 3.1% | ||||||||
Accenture PLC | 367 | 79,606 | ||||||
EPAM Systems, Inc. (1) | 798 | 246,542 | ||||||
|
| |||||||
326,148 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.9% | ||||||||
NeoGenomics, Inc. (1) | 2,455 | 96,310 | ||||||
|
| |||||||
Semiconductor Equipment — 7.9% | ||||||||
Analog Devices, Inc. | 1,038 | 123,034 | ||||||
ASML Holding NV (Netherlands) | 803 | 290,052 | ||||||
Lam Research Corp. | 941 | 321,897 | ||||||
Texas Instruments, Inc. | 578 | 83,573 | ||||||
|
| |||||||
818,556 | ||||||||
|
| |||||||
Semiconductors — 7.3% | ||||||||
Micron Technology, Inc. (1) | 2,862 | 144,073 | ||||||
NVIDIA Corp. | 687 | 344,434 | ||||||
QUALCOMM, Inc. | 2,192 | 270,405 | ||||||
|
| |||||||
758,912 | ||||||||
|
| |||||||
Specialized REITs — 4.2% | ||||||||
American Tower Corp. | 766 | 175,912 | ||||||
Equinix, Inc. | 354 | 258,859 | ||||||
|
| |||||||
434,771 | ||||||||
|
| |||||||
Systems Software — 8.6% | ||||||||
Crowdstrike Holdings, Inc. (1) | 1,620 | 200,621 | ||||||
Microsoft Corp. | 1,475 | 298,643 | ||||||
ServiceNow, Inc. (1) | 785 | 390,592 | ||||||
|
| |||||||
889,856 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 2.1% | ||||||||
Apple, Inc. | 1,973 | 214,781 | ||||||
|
| |||||||
Trucking — 0.8% | ||||||||
Uber Technologies, Inc. (1) | 2,475 | 82,690 | ||||||
|
|
See accompanying Notes to Financial Statements.
27
Table of Contents
TCW Artificial Intelligence Equity Fund
Schedule of Investments (Continued)
Issues | Shares | Value | ||||||
Wireless Telecommunication Services — 2.0% | ||||||||
T-Mobile US, Inc. (1) | 1,845 | $ | 202,157 | |||||
|
| |||||||
Total Common Stock |
| |||||||
(Cost: $7,537,054) |
| 10,092,436 | ||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 2.5% |
| |||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (2) | 258,811 | 258,811 | ||||||
|
| |||||||
Total Money Market Investments |
| |||||||
(Cost: $258,811) |
| 258,811 | ||||||
|
| |||||||
Total Investments (99.9%) |
| |||||||
(Cost: $7,795,865) |
| 10,351,247 | ||||||
Excess of Other Assets over Liabilities (0.1%) |
| 13,290 | ||||||
|
| |||||||
Net Assets (100.0%) |
| $ | 10,364,537 | |||||
|
|
Notes to the Schedule of Investments:
REIT | Real Estate Investment Trust. |
SP ADR | Sponsored American Depositary Receipt. ADRs are receipts, typically issued by a U.S. bank or trust company, evidencing ownership of underlying securities issued by a foreign corporation. Sponsored ADRs are ADRs issued with the cooperation of the foreign corporation. |
(1) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of October 31, 2020. |
See accompanying Notes to Financial Statements.
28
Table of Contents
TCW Artificial Intelligence Equity Fund
Investments by Sector | October 31, 2020 |
Sector | Percentage of Net Assets | |||
Application Software | 18.6 | % | ||
Automobile Manufacturers | 1.2 | |||
Biotechnology | 1.7 | |||
Cable & Satellite | 3.5 | |||
Communications Equipment | 0.9 | |||
Data Processing & Outsourced Services | 7.8 | |||
Health Care Equipment | 1.9 | |||
Home Entertainment Software | 3.5 | |||
Insurance Brokers | 0.8 | |||
Interactive Home Entertainment | 1.6 | |||
Internet & Direct Marketing Retail | 3.3 | |||
Internet Services & Infrastructure | 15.7 | |||
IT Consulting & Other Services | 3.1 | |||
Life Sciences Tools & Services | 0.9 | |||
Semiconductor Equipment | 7.9 | |||
Semiconductors | 7.3 | |||
Specialized REITs | 4.2 | |||
Systems Software | 8.6 | |||
Technology Hardware, Storage & Peripherals | 2.1 | |||
Trucking | 0.8 | |||
Wireless Telecommunication Services | 2.0 | |||
Money Market Investments | 2.5 | |||
|
| |||
Total | 99.9 | % | ||
|
|
See accompanying Notes to Financial Statements.
29
Table of Contents
TCW Artificial Intelligence Equity Fund
Fair Valuation Summary | October 31, 2020 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 2020 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 | $ | 1,932,594 | $ | — | $ | — | $ | 1,932,594 | ||||||||
Automobile Manufacturers | 128,829 | — | — | 128,829 | ||||||||||||
Biotechnology | 173,848 | — | — | 173,848 | ||||||||||||
Cable & Satellite | 363,904 | — | — | 363,904 | ||||||||||||
Communications Equipment | 92,679 | — | — | 92,679 | ||||||||||||
Data Processing & Outsourced Services | 810,560 | — | — | 810,560 | ||||||||||||
Health Care Equipment | 192,076 | — | — | 192,076 | ||||||||||||
Home Entertainment Software | 361,882 | — | — | 361,882 | ||||||||||||
Insurance Brokers | 78,218 | — | — | 78,218 | ||||||||||||
Interactive Home Entertainment | 162,589 | — | — | 162,589 | ||||||||||||
Internet & Direct Marketing Retail | 343,085 | — | — | 343,085 | ||||||||||||
Internet Services & Infrastructure | 1,627,991 | — | — | 1,627,991 | ||||||||||||
IT Consulting & Other Services | 326,148 | — | — | 326,148 | ||||||||||||
Life Sciences Tools & Services | 96,310 | — | — | 96,310 | ||||||||||||
Semiconductor Equipment | 818,556 | — | — | 818,556 | ||||||||||||
Semiconductors | 758,912 | — | — | 758,912 | ||||||||||||
Specialized REITs | 434,771 | — | — | 434,771 | ||||||||||||
Systems Software | 889,856 | — | — | 889,856 | ||||||||||||
Technology Hardware, Storage & Peripherals | 214,781 | — | — | 214,781 | ||||||||||||
Trucking | 82,690 | — | — | 82,690 | ||||||||||||
Wireless Telecommunication Services | 202,157 | — | — | 202,157 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 10,092,436 | — | — | 10,092,436 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 258,811 | — | — | 258,811 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 10,351,247 | $ | — | $ | — | $ | 10,351,247 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
30
Table of Contents
TCW Conservative Allocation Fund
Schedule of Investments | October 31, 2020 |
Issues | Shares | Value | ||||||
EXCHANGE-TRADED FUNDS — 1.8% of Net Assets |
| |||||||
iShares MSCI EAFE Index Fund | 11,160 | $ | 685,113 | |||||
|
| |||||||
Total Exchange-Traded Funds |
| |||||||
(Cost: $725,446) | 685,113 | |||||||
|
| |||||||
INVESTMENT COMPANIES — 96.5% |
| |||||||
Diversified Equity Funds — 39.7% | ||||||||
TCW Global Real Estate Fund — I Class (1) | 142,238 | 1,574,569 | ||||||
TCW New America Premier Equities Fund — I Class (1) | 267,698 | 6,060,688 | ||||||
TCW Relative Value Large Cap Fund — I Class (1) | 185,442 | 2,010,196 | ||||||
TCW Relative Value Mid Cap Fund — I Class (1) | 17,012 | 321,524 | ||||||
TCW Select Equities Fund — I Class (1) | 140,450 | 4,793,572 | ||||||
|
| |||||||
14,760,549 | ||||||||
|
| |||||||
Diversified Fixed Income Funds — 56.8% | ||||||||
Metropolitan West High Yield Bond Fund — I Class (1) | 39,090 | 401,061 | ||||||
Metropolitan West Low Duration Bond Fund — I Class (1) | 214,517 | 1,904,908 | ||||||
Metropolitan West Total Return Bond Fund — I Class (1) | 481,327 | 5,568,955 | ||||||
Metropolitan West Unconstrained Bond Fund — I Class (1) | 596,194 | 7,094,712 |
Issues | Shares | Value | ||||||
Diversified Fixed Income Funds (Continued) | ||||||||
TCW Emerging Markets Income Fund — I Class (1) | 46,908 | $ | 371,977 | |||||
TCW Global Bond Fund — I Class (1) | 86,742 | 924,670 | ||||||
TCW Total Return Bond Fund — I Class (1) | 462,246 | 4,835,096 | ||||||
|
| |||||||
21,101,379 | ||||||||
|
| |||||||
Total Investment Companies | ||||||||
(Cost: $31,719,318) | 35,861,928 | |||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 1.5% |
| |||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (2) | 552,609 | 552,609 | ||||||
|
| |||||||
Total Money Market Investments |
| |||||||
(Cost: $552,609) | 552,609 | |||||||
|
| |||||||
Total Investments (99.8%) |
| |||||||
(Cost: $32,997,373) | 37,099,650 | |||||||
Excess of Other Assets over Liabilities (0.2%) |
| 66,998 | ||||||
|
| |||||||
Net Assets (100.0%) |
| $ | 37,166,648 | |||||
|
|
Notes to the Schedule of Investments:
(1) | Affiliated issuer. |
(2) | Rate disclosed is the 7-day net yield as of October 31, 2020. |
See accompanying Notes to Financial Statements.
31
Table of Contents
TCW Conservative Allocation Fund
Schedule of Investments (Continued)
The summary of the TCW Conservative Allocation Fund transactions in the affiliated funds for the year ended October 31, 2020 is as follows:
Name of | Value at October 31, 2019 | Purchases at Cost | Proceeds from Sales | Number of Shares Held October 31, 2020 | Value at October 31, 2020 | Dividends and Interest Income Received | Distributions Received from Net Realized Gain | Net Realized Gain/(Loss) on Investments | Net change in Unrealized Gain/(Loss) on Investments | |||||||||||||||||||||||||||
Metropolitan West High Yield Bond Fund—I Class |
| |||||||||||||||||||||||||||||||||||
$ | — | $ | 670,942 | $ | 300,233 | 39,090 | $ | 401,061 | $ | 10,260 | $ | — | $ | 4,728 | $ | 25,624 | ||||||||||||||||||||
Metropolitan West Low Duration Bond Fund—I Class |
| |||||||||||||||||||||||||||||||||||
2,241,323 | 1,258,433 | 1,614,908 | 214,517 | 1,904,908 | 32,121 | — | 8,752 | 11,308 | ||||||||||||||||||||||||||||
Metropolitan West Total Return Bond Fund—I Class |
| |||||||||||||||||||||||||||||||||||
3,392,808 | 2,481,325 | 477,224 | 481,327 | 5,568,955 | 78,917 | 27,621 | (1,319 | ) | 173,365 | |||||||||||||||||||||||||||
Metropolitan West Unconstrained Bond Fund—I Class |
| |||||||||||||||||||||||||||||||||||
6,057,278 | 1,793,245 | 750,436 | 596,194 | 7,094,712 | 185,641 | — | (15,854 | ) | 10,479 | |||||||||||||||||||||||||||
TCW Emerging Markets Income Fund—I Class |
| |||||||||||||||||||||||||||||||||||
— | 809,201 | 442,035 | 46,908 | 371,977 | 9,886 | — | (22,328 | ) | 27,139 | |||||||||||||||||||||||||||
TCW Global Bond Fund—I Class |
| |||||||||||||||||||||||||||||||||||
752,383 | 238,851 | 94,458 | 86,742 | 924,670 | 11,578 | 17,056 | (453 | ) | 28,347 | |||||||||||||||||||||||||||
TCW Global Real Estate Fund—I Class |
| |||||||||||||||||||||||||||||||||||
1,909,641 | 388,635 | 624,676 | 142,238 | 1,574,569 | 33,238 | — | (45,903 | ) | (53,128 | ) | ||||||||||||||||||||||||||
TCW New America Premier Equities Fund—I Class |
| |||||||||||||||||||||||||||||||||||
4,033,000 | 2,112,056 | 689,960 | 267,698 | 6,060,688 | 19,713 | 16,478 | (13,970 | ) | 619,562 | |||||||||||||||||||||||||||
TCW Relative Value Large Cap Fund—I Class |
| |||||||||||||||||||||||||||||||||||
2,072,391 | 1,259,646 | 381,269 | 185,442 | 2,010,196 | 51,824 | 741,985 | (154,814 | ) | (785,758 | ) | ||||||||||||||||||||||||||
TCW Relative Value Mid Cap Fund—I Class |
| |||||||||||||||||||||||||||||||||||
307,040 | 78,676 | 36,068 | 17,012 | 321,524 | �� | 2,483 | 5,128 | (13,153 | ) | (14,971 | ) | |||||||||||||||||||||||||
TCW Select Equities Fund—I Class |
| |||||||||||||||||||||||||||||||||||
2,769,588 | 1,738,114 | 533,098 | 140,450 | 4,793,572 | — | 235,878 | (47,206 | ) | 866,174 | |||||||||||||||||||||||||||
TCW Total Return Bond Fund—I Class |
| |||||||||||||||||||||||||||||||||||
5,409,922 | 1,259,386 | 2,011,301 | 462,246 | 4,835,096 | 140,652 | — | 34,978 | 142,111 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total | $ | 35,861,928 | $ | 576,313 | $ | 1,044,146 | $ | (266,542 | ) | $ | 1,050,252 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
32
Table of Contents
TCW Conservative Allocation Fund
Investments by Sector | October 31, 2020 |
Sector | Percentage of Net Assets | |||
Diversified Fixed Income Funds | 56.8 | % | ||
Diversified Equity Funds | 39.7 | |||
Exchange-Traded Funds | 1.8 | |||
Money Market Investments | 1.5 | |||
|
| |||
Total | 99.8 | % | ||
|
|
Fair Valuation Summary
The following is a summary of the fair valuations according to the inputs used as of October 31, 2020 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 | $ | 685,113 | $ | — | $ | — | $ | 685,113 | ||||||||
Investment Companies | 35,861,928 | — | — | 35,861,928 | ||||||||||||
Money Market Investments | 552,609 | — | — | 552,609 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 37,099,650 | $ | — | $ | — | $ | 37,099,650 | ||||||||
|
|
|
|
|
|
|
| |||||||||
See accompanying Notes to Financial Statements.
33
Table of Contents
Schedule of Investments
Issues | Shares | Value | ||||||
COMMON STOCK — 92.7% of Net Assets |
| |||||||
Australia — 5.6% | ||||||||
Goodman Group | 31,398 | $ | 406,013 | |||||
Mirvac Group | 237,124 | 351,323 | ||||||
|
| |||||||
Total Australia |
| |||||||
(Cost: $731,817) |
| 757,336 | ||||||
|
| |||||||
Canada —3.5% (Cost: $431,621) | ||||||||
Summit Industrial Income REIT | 46,609 | 470,862 | ||||||
|
| |||||||
China — 5.0% | ||||||||
China Resources Land, Ltd. | 56,000 | 228,952 | ||||||
Longfor Group Holdings, Ltd. | 81,500 | 446,412 | ||||||
|
| |||||||
Total China |
| |||||||
(Cost: $625,942) |
| 675,364 | ||||||
|
| |||||||
Germany — 9.1% | ||||||||
Deutsche Wohnen SE | 6,704 | 338,428 | ||||||
LEG Immobilien AG (1) | 2,499 | 337,805 | ||||||
Vonovia SE | 8,681 | 554,494 | ||||||
|
| |||||||
Total Germany |
| |||||||
(Cost: $1,171,156) |
| 1,230,727 | ||||||
|
| |||||||
Japan — 5.3% | ||||||||
Mitsubishi Estate Co., Ltd. | 20,800 | 310,710 | ||||||
Nippon Prologis REIT, Inc. | 124 | 408,744 | ||||||
|
| |||||||
Total Japan |
| |||||||
(Cost: $677,327) |
| 719,454 | ||||||
|
| |||||||
United Kingdom — 4.3% (Cost: $532,651) | ||||||||
Segro PLC | 49,456 | 576,763 | ||||||
|
| |||||||
United States — 59.9% | ||||||||
Alexander & Baldwin, Inc. | 18,760 | 241,066 | ||||||
Alexandria Real Estate Equities, Inc. | 3,670 | 556,078 | ||||||
AMERCO | 624 | 216,628 | ||||||
American Tower Corp. | 2,913 | 668,970 |
Issues | Shares | Value | ||||||
United States (Continued) | ||||||||
Americold Realty Trust | 7,276 | $ | 263,609 | |||||
CBRE Group, Inc. (1) | 17,932 | 903,773 | ||||||
Chatham Lodging Trust | 83,973 | 617,202 | ||||||
CoStar Group, Inc. (1) | 278 | 228,964 | ||||||
Equinix, Inc. | 824 | 602,542 | ||||||
Extended Stay America, Inc. | 48,668 | 552,382 | ||||||
Gaming and Leisure Properties, Inc. | 15,739 | 572,113 | ||||||
Hersha Hospitality Trust (1) | 9,788 | 144,471 | ||||||
Hilton Worldwide Holdings, Inc. | 1,687 | 148,135 | ||||||
Invitation Homes, Inc. | 11,429 | 311,555 | ||||||
Iron Mountain, Inc. | 20,874 | 543,976 | ||||||
Mid-America Apartment Communities, Inc. | 4,783 | 557,841 | ||||||
New Residential Investment Corp. | 70,148 | 526,110 | ||||||
Prologis, Inc. | 1,397 | 138,582 | ||||||
Toll Brothers, Inc. | 3,264 | 138,002 | ||||||
Weyerhaeuser Co. | 6,911 | 188,601 | ||||||
|
| |||||||
Total United States |
| |||||||
(Cost: $7,869,912) |
| 8,120,600 | ||||||
|
| |||||||
Total Common Stock |
| |||||||
(Cost: $12,040,426) |
| 12,551,106 | ||||||
|
| |||||||
Total Purchased Options (2) (2.4%) |
| |||||||
(Cost: $304,979) |
| 323,970 | ||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 7.4% | ||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (3) | 1,004,375 | 1,004,375 | ||||||
|
| |||||||
Total Money Market Investments |
| |||||||
(Cost: $1,004,375) |
| 1,004,375 | ||||||
|
| |||||||
Total Investments (102.5%) |
| |||||||
(Cost: $13,349,780) |
| 13,879,451 | ||||||
Liabilities in Excess of Other Assets (-2.5%) |
| (334,457 | ) | |||||
|
| |||||||
Net Assets (100.0%) |
| $ | 13,544,994 | |||||
|
|
See accompanying Notes to Financial Statements.
34
Table of Contents
TCW Global Real Estate Fund
October 31, 2020
Purchased Options — Exchange-Traded | ||||||||||||||||||||||||||||
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Fund | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Call |
| |||||||||||||||||||||||||||
Chatham Lodging Trust | 8 | 11/20/20 | 200 | $ | 14,700,000 | $ | 7,500 | $ | 15,977 | $ | (8,477 | ) | ||||||||||||||||
Jones Lang Lasalle, Inc. | 80 | 3/19/21 | 45 | 50,787,000 | 159,975 | 139,520 | 20,455 | |||||||||||||||||||||
New Residential Investment Corp. | 7 | 1/15/21 | 150 | 11,250,000 | 14,325 | 21,914 | (7,589 | ) | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 181,800 | $ | 177,411 | $ | 4,389 | |||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Put |
| |||||||||||||||||||||||||||
Alexander + Baldwin, Inc. | 10 | 3/19/21 | 18 | $ | 23,130,000 | $ | 13,500 | $ | 20,181 | $ | (6,681 | ) | ||||||||||||||||
Equinix, Inc. | 760 | 11/20/20 | 4 | 29,249,600 | 17,620 | 12,010 | 5,610 | |||||||||||||||||||||
Iron Mountain, Inc. | 25 | 12/18/20 | 20 | 52,120,000 | 22,500 | 23,243 | (743 | ) | ||||||||||||||||||||
Preferred Apartment Communities | 5 | 1/15/21 | 45 | 24,300,000 | 22,500 | 20,636 | 1,864 | |||||||||||||||||||||
Vanguard Real Estate ETF | 80 | 1/15/21 | 60 | 45,954,000 | 38,550 | 25,121 | 13,429 | |||||||||||||||||||||
Vanguard Real Estate ETF | 70 | 3/19/21 | 80 | 61,272,000 | 26,000 | 23,123 | 2,877 | |||||||||||||||||||||
Whitestone REIT | 5 | 12/18/20 | 100 | 5,960,000 | 1,500 | 3,254 | (1,754 | ) | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 142,170 | $ | 127,568 | $ | 14,602 | |||||||||||||||||||||||
|
|
|
|
|
|
Written Options — Exchange-Traded | ||||||||||||||||||||||||||||
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Fund | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Call |
| |||||||||||||||||||||||||||
Alexander + Baldwin, Inc. | 10 | 3/19/21 | (18 | ) | (23,130,000 | ) | $ | (60,300 | ) | $ | (48,328 | ) | $ | (11,972 | ) | |||||||||||||
Equinix, Inc. | 780 | 11/20/20 | (4 | ) | (29,249,600 | ) | (2,520 | ) | (7,990 | ) | 5,470 | |||||||||||||||||
Hilton Worldwide Holdings, Inc. | 85 | 12/18/20 | (16 | ) | (14,049,600 | ) | (12,960 | ) | (10,839 | ) | (2,121 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (75,780 | ) | $ | (67,157 | ) | $ | (8,623 | ) | ||||||||||||||||||||
|
|
|
|
|
|
Notes to the Schedule of Investments:
ETF | Exchange-Traded Fund. |
REIT | Real Estate Investment Trust. |
(1) | Non-income producing security. |
(2) | See options table for description of purchased options. |
(3) | Rate disclosed is the 7-day net yield as of October 31, 2020. |
See accompanying Notes to Financial Statements.
35
Table of Contents
TCW Global Real Estate Fund
Investments by Sector | October 31, 2020 |
Sector | Percentage of Net Assets | |||
Diversified REITs | 4.4 | % | ||
Diversified Real Estate Activities | 2.3 | |||
Homebuilding | 1.0 | |||
Hotel & Resort REITs | 5.7 | |||
Hotels, Resorts & Cruise Lines | 5.2 | |||
Industrial REITs | 16.7 | |||
Mortgage REITs | 3.9 | |||
Office REITs | 4.1 | |||
Purchased Options | 2.4 | |||
Real Estate Development | 5.0 | |||
Real Estate Operating Companies | 9.1 | |||
Real Estate Services | 6.7 | |||
Research & Consulting Services | 1.7 | |||
Residential REITs | 6.4 | |||
Specialized REITs | 18.9 | |||
Trucking | 1.6 | |||
Money Market Investments | 7.4 | |||
|
| |||
Total | 102.5 | % | ||
|
|
See accompanying Notes to Financial Statements.
36
Table of Contents
TCW Global Real Estate Fund
Fair Valuation Summary | October 31, 2020 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 2020 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 | $ | 241,066 | $ | 351,323 | $ | — | $ | 592,389 | ||||||||
Diversified Real Estate Activities | — | 310,710 | — | 310,710 | ||||||||||||
Homebuilding | 138,002 | — | — | 138,002 | ||||||||||||
Hotel & Resort REITs | 761,673 | — | — | 761,673 | ||||||||||||
Hotels, Resorts & Cruise Lines | 700,517 | — | — | 700,517 | ||||||||||||
Industrial REITs | 873,053 | 1,391,520 | — | 2,264,573 | ||||||||||||
Mortgage REITs | 526,110 | — | — | 526,110 | ||||||||||||
Office REITs | 556,078 | — | — | 556,078 | ||||||||||||
Real Estate Development | — | 675,364 | — | 675,364 | ||||||||||||
Real Estate Operating Companies | — | 1,230,727 | — | 1,230,727 | ||||||||||||
Real Estate Services | 903,773 | — | — | 903,773 | ||||||||||||
Research & Consulting Services | 228,964 | — | — | 228,964 | ||||||||||||
Residential REITs | 869,396 | — | — | 869,396 | ||||||||||||
Specialized REITs | 2,576,202 | — | — | 2,576,202 | ||||||||||||
Trucking | 216,628 | — | — | 216,628 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 8,591,462 | 3,959,644 | — | 12,551,106 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Purchased Options | 323,970 | — | — | 323,970 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 1,004,375 | — | — | 1,004,375 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 9,919,807 | $ | 3,959,644 | $ | — | $ | 13,879,451 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Written Options | ||||||||||||||||
Equity Risk | $ | (75,780 | ) | $ | — | $ | — | $ | (75,780 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (75,780 | ) | $ | — | $ | — | $ | (75,780 | ) | ||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
37
Table of Contents
TCW New America Premier Equities Fund
Schedule of Investments
Issues | Shares | Value | ||||||
COMMON STOCK — 99.5% of Net Assets |
| |||||||
Aerospace & Defense — 2.9% | ||||||||
HEICO Corp. | 49,879 | $ | 5,239,789 | |||||
|
| |||||||
Application Software — 17.6% | ||||||||
Autodesk, Inc. (1) | 17,740 | 4,178,480 | ||||||
Constellation Software, Inc. | 20,691 | 21,703,398 | ||||||
Trade Desk, Inc. (The) (1) | 11,339 | 6,422,976 | ||||||
|
| |||||||
32,304,854 | ||||||||
|
| |||||||
Asset Management & Custody Banks — 2.7% | ||||||||
Pershing Square Tontine Holdings, Ltd. (1) | 225,519 | 5,015,543 | ||||||
|
| |||||||
Data Processing & Outsourced Services — 9.2% | ||||||||
Fiserv, Inc. (1) | 87,715 | 8,374,151 | ||||||
Mastercard, Inc. | 7,107 | 2,051,365 | ||||||
Visa, Inc. | 35,617 | 6,471,965 | ||||||
|
| |||||||
16,897,481 | ||||||||
|
| |||||||
Environmental & Facilities Services — 5.2% | ||||||||
Waste Connections, Inc. (Canada) | 95,537 | 9,488,735 | ||||||
|
| |||||||
Financial Exchanges & Data — 9.7% | ||||||||
Morningstar, Inc. | 42,920 | 8,171,110 | ||||||
MSCI, Inc. | 15,318 | 5,358,849 | ||||||
S&P Global, Inc. | 13,273 | 4,283,595 | ||||||
|
| |||||||
17,813,554 | ||||||||
|
| |||||||
Food Retail — 3.1% | ||||||||
Alimentation Couche-Tard, Inc. — Class B (Canada) | 185,189 | 5,698,657 | ||||||
|
| |||||||
Health Care Equipment — 6.3% | ||||||||
Danaher Corp. | 50,396 | 11,567,898 | ||||||
|
| |||||||
Industrial Conglomerates — 1.6% | ||||||||
Roper Technologies, Inc. | 8,166 | 3,032,362 | ||||||
|
| |||||||
Industrial Gases — 1.9% | ||||||||
Air Products & Chemicals, Inc. | 12,526 | 3,460,182 | ||||||
|
| |||||||
Internet & Direct Marketing Retail — 1.6% | ||||||||
CarParts.com, Inc. (1) | 227,967 | 2,892,901 | ||||||
|
| |||||||
Internet Services & Infrastructure — 4.4% | ||||||||
Dye & Durham, Ltd. (1) | 348,525 | 5,750,591 | ||||||
Snowflake, Inc. (1) | 1,389 | 347,278 | ||||||
ZoomInfo Technologies, Inc. (1) | 54,556 | 2,072,582 | ||||||
|
| |||||||
8,170,451 | ||||||||
|
|
Issues | Shares | Value | ||||||
Life Sciences Tools & Services — 11.7% | ||||||||
Agilent Technologies, Inc. | 39,895 | $ | 4,072,881 | |||||
Mettler-Toledo International, Inc. (1) | 7,566 | 7,550,187 | ||||||
Thermo Fisher Scientific, Inc. | 20,803 | 9,842,315 | ||||||
|
| |||||||
21,465,383 | ||||||||
|
| |||||||
Research & Consulting Services — 10.5% | ||||||||
CoStar Group, Inc. (1) | 10,933 | 9,004,528 | ||||||
IHS Markit, Ltd. | 125,854 | 10,177,813 | ||||||
|
| |||||||
19,182,341 | ||||||||
|
| |||||||
Systems Software — 10.5% | ||||||||
Enghouse Systems, Ltd. (Canada) | 134,721 | 6,679,720 | ||||||
Microsoft Corp. | 61,948 | 12,542,612 | ||||||
|
| |||||||
19,222,332 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.6% | ||||||||
Vertiv Holdings Co. (1) | 51,483 | 1,163,001 | ||||||
|
| |||||||
Total Common Stock |
| |||||||
(Cost: $141,179,126) |
| 182,615,464 | ||||||
|
| |||||||
WARRANTS — 0.1% |
| |||||||
Asset Management & Custody Banks — 0.1% | ||||||||
Pershing Square Tontine Holdings, Ltd. (1) | 25,057 | 178,656 | ||||||
|
| |||||||
Total Warrants |
| |||||||
(Cost: $142,287) |
| 178,656 | ||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 0.3% |
| |||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class 0.03% (2) | 541,047 | 541,047 | ||||||
|
| |||||||
Total Money Market Investments |
| |||||||
(Cost: $541,047) |
| 541,047 | ||||||
|
| |||||||
Total Investments (99.9%) | ||||||||
(Cost: $141,862,460) |
| 183,335,167 | ||||||
Excess of Other Assets over Liabilities (0.1%) |
| 181,519 | ||||||
|
| |||||||
Net Assets (100.0%) |
| $ | 183,516,686 | |||||
|
|
Notes to the Schedule of Investments:
(1) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of October 31, 2020. |
See accompanying Notes to Financial Statements.
38
Table of Contents
TCW New America Premier Equities Fund
Investments by Sector | October 31, 2020 |
Sector | Percentage of Net Assets | |||
Aerospace & Defense | 2.9 | % | ||
Application Software | 17.6 | |||
Asset Management & Custody Banks | 2.8 | |||
Data Processing & Outsourced Services | 9.2 | |||
Environmental & Facilities Services | 5.2 | |||
Financial Exchanges & Data | 9.7 | |||
Food Retail | 3.1 | |||
Health Care Equipment | 6.3 | |||
Industrial Conglomerates | 1.6 | |||
Industrial Gases | 1.9 | |||
Internet & Direct Marketing Retail | 1.6 | |||
Internet Services & Infrastructure | 4.4 | |||
Life Sciences Tools & Services | 11.7 | |||
Research & Consulting Services | 10.5 | |||
Systems Software | 10.5 | |||
Trading Companies & Distributors | 0.6 | |||
Money Market Investments | 0.3 | |||
|
| |||
Total | 99.9 | % | ||
|
|
Fair Valuation Summary
The following is a summary of the fair valuations according to the inputs used as of October 31, 2020 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 | $ | 5,239,789 | $ | — | $ | — | $ | 5,239,789 | ||||||||
Application Software | 32,304,854 | — | — | 32,304,854 | ||||||||||||
Asset Management & Custody Banks | 5,015,543 | — | — | 5,015,543 | ||||||||||||
Data Processing & Outsourced Services | 16,897,481 | — | — | 16,897,481 | ||||||||||||
Environmental & Facilities Services | 9,488,735 | — | — | 9,488,735 | ||||||||||||
Financial Exchanges & Data | 17,813,554 | — | — | 17,813,554 | ||||||||||||
Food Retail | 5,698,657 | — | — | 5,698,657 | ||||||||||||
Health Care Equipment | 11,567,898 | — | — | 11,567,898 | ||||||||||||
Industrial Conglomerates | 3,032,362 | — | — | 3,032,362 | ||||||||||||
Industrial Gases | 3,460,182 | — | — | 3,460,182 | ||||||||||||
Internet & Direct Marketing Retail | 2,892,901 | — | — | 2,892,901 | ||||||||||||
Internet Services & Infrastructure | 8,170,451 | — | — | 8,170,451 | ||||||||||||
Life Sciences Tools & Services | 21,465,383 | — | — | 21,465,383 | ||||||||||||
Research & Consulting Services | 19,182,341 | — | — | 19,182,341 | ||||||||||||
Systems Software | 19,222,332 | — | — | 19,222,332 | ||||||||||||
Trading Companies & Distributors | — | 1,163,001 | — | 1,163,001 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 181,452,463 | 1,163,001 | — | 182,615,464 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Warrants | ||||||||||||||||
Asset Management & Custody Banks | 178,656 | — | — | 178,656 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 541,047 | — | — | 541,047 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 182,172,166 | $ | 1,163,001 | $ | — | $ | 183,335,167 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
39
Table of Contents
TCW Relative Value Dividend Appreciation Fund
Schedule of Investments
Issues | Shares | Value | ||||||
COMMON STOCK — 99.8% of Net Assets |
| |||||||
Aerospace & Defense — 1.0% | ||||||||
Textron, Inc. | 57,699 | $ | 2,065,624 | |||||
|
| |||||||
Air Freight & Logistics — 4.6% | ||||||||
United Parcel Service, Inc. — Class B | 60,865 | 9,562,500 | ||||||
|
| |||||||
Auto Components — 4.1% | ||||||||
Johnson Controls International PLC (Ireland) | 204,389 | 8,627,260 | ||||||
|
| |||||||
Banks — 6.8% | ||||||||
Citigroup, Inc. | 61,509 | 2,547,703 | ||||||
JPMorgan Chase & Co. | 76,831 | 7,532,511 | ||||||
Wells Fargo & Co. | 92,500 | 1,984,125 | ||||||
Zions Bancorp | 62,970 | 2,032,042 | ||||||
|
| |||||||
14,096,381 | ||||||||
|
| |||||||
Beverages — 3.1% | ||||||||
PepsiCo, Inc. | 48,811 | 6,506,018 | ||||||
|
| |||||||
Biotechnology — 3.0% | ||||||||
Gilead Sciences, Inc. | 108,565 | 6,313,055 | ||||||
|
| |||||||
Capital Markets — 7.7% | ||||||||
Ameriprise Financial, Inc. | 25,351 | 4,077,201 | ||||||
Blackstone Group, Inc. (The) | 48,500 | 2,445,370 | ||||||
Intercontinental Exchange, Inc. | 84,909 | 8,015,410 | ||||||
Morgan Stanley | 29,600 | 1,425,240 | ||||||
|
| |||||||
15,963,221 | ||||||||
|
| |||||||
Chemicals — 3.2% | ||||||||
Corteva, Inc. | 83,244 | 2,745,387 | ||||||
DuPont de Nemours, Inc. | 68,070 | 3,871,822 | ||||||
|
| |||||||
6,617,209 | ||||||||
|
| |||||||
Communications Equipment — 1.4% | ||||||||
Cisco Systems, Inc. | 79,187 | 2,842,813 | ||||||
|
| |||||||
Diversified Telecommunication Services — 3.6% | ||||||||
AT&T, Inc. | 277,532 | 7,498,915 | ||||||
|
| |||||||
Electrical Equipment — 1.4% | ||||||||
nVent Electric PLC (Ireland) | 160,012 | 2,888,217 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.2% | ||||||||
Corning, Inc. | 141,462 | 4,522,540 | ||||||
|
| |||||||
Energy Equipment & Services — 2.2% | ||||||||
Baker Hughes Co. | 306,385 | 4,525,306 | ||||||
|
| |||||||
Food Products — 1.2% | ||||||||
Conagra Brands, Inc. | 70,300 | 2,466,827 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 2.3% | ||||||||
Medtronic PLC (Ireland) | 48,228 | 4,850,290 | ||||||
|
| |||||||
Health Care Providers & Services — 2.9% | ||||||||
McKesson Corp. | 40,815 | 6,019,804 | ||||||
|
|
Issues | Shares | Value | ||||||
Household Durables — 4.4% | ||||||||
Lennar Corp. | 102,581 | $ | 7,204,263 | |||||
Whirlpool Corp. | 10,804 | 1,998,308 | ||||||
|
| |||||||
9,202,571 | ||||||||
|
| |||||||
Household Products — 1.3% | ||||||||
Procter & Gamble Co. (The) | 20,198 | 2,769,146 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 4.6% | ||||||||
AES Corp. (The) | 492,565 | 9,605,018 | ||||||
|
| |||||||
Industrial Conglomerates — 2.4% | ||||||||
General Electric Co. | 664,579 | 4,931,176 | ||||||
|
| |||||||
Insurance — 3.1% | ||||||||
MetLife, Inc. | 168,355 | 6,372,237 | ||||||
|
| |||||||
IT Services — 2.9% | ||||||||
International Business Machines Corp. | 53,547 | 5,979,058 | ||||||
|
| |||||||
Media — 4.6% | ||||||||
Comcast Corp. | 168,834 | 7,131,548 | ||||||
Fox Corp. | 92,516 | 2,453,525 | ||||||
|
| |||||||
9,585,073 | ||||||||
|
| |||||||
Metals & Mining — 1.8% | ||||||||
Freeport-McMoRan, Inc. | 219,910 | 3,813,239 | ||||||
|
| |||||||
Multi-Utilities — 1.5% | ||||||||
Sempra Energy | 24,723 | 3,099,275 | ||||||
|
| |||||||
Multiline Retail — 2.6% | ||||||||
Target Corp. | 36,300 | 5,525,586 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.8% | ||||||||
Chevron Corp. | 84,940 | 5,903,330 | ||||||
|
| |||||||
Pharmaceuticals — 5.9% | ||||||||
AbbVie, Inc. | 42,947 | 3,654,790 | ||||||
Johnson & Johnson | 15,322 | 2,100,799 | ||||||
Novartis AG (SP ADR) (Switzerland) | 83,100 | 6,488,448 | ||||||
|
| |||||||
12,244,037 | ||||||||
|
| |||||||
REIT — 0.9% | ||||||||
Cousins Properties, Inc. | 76,455 | 1,948,073 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 6.9% | ||||||||
Broadcom, Inc. | 18,182 | 6,356,973 | ||||||
Maxim Integrated Products, Inc. | 114,348 | 7,964,338 | ||||||
|
| |||||||
14,321,311 | ||||||||
|
| |||||||
Specialty Retail — 1.0% | ||||||||
Dick’s Sporting Goods, Inc. | 36,100 | 2,045,065 | ||||||
|
|
See accompanying Notes to Financial Statements.
40
Table of Contents
TCW Relative Value Dividend Appreciation Fund
October 31, 2020
Issues | Shares | Value | ||||||
Technology Hardware, Storage & Peripherals — 2.4% | ||||||||
HP, Inc. | 62,100 | $ | 1,115,316 | |||||
Seagate Technology PLC (Ireland) | 83,738 | 4,004,351 | ||||||
|
| |||||||
5,119,667 | ||||||||
|
| |||||||
Total Common Stock |
| |||||||
(Cost: $175,257,503) |
| 207,829,842 | ||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 0.1% | ||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (1) | 285,852 | 285,852 | ||||||
|
| |||||||
Total Money Market Investments |
| |||||||
(Cost: $285,852) |
| 285,852 | ||||||
|
| |||||||
Total Investments (99.9%) | ||||||||
(Cost: $175,543,355) |
| 208,115,694 | ||||||
Excess of Other Assets over Liabilities (0.1%) |
| 143,774 | ||||||
|
| |||||||
Net Assets (100.0%) |
| $ | 208,259,468 | |||||
|
|
Notes to the Schedule of Investments:
REIT | Real Estate Investment. |
SP ADR | Sponsored American Depositary Receipt. ADRs are receipts, typically issued by a U.S. bank or trust company, evidencing ownership of underlying securities issued by a foreign corporation. Sponsored ADRs are ADRs issued with the cooperation of the foreign corporation. |
(1) | Rate disclosed is the 7-day net yield as of October 31, 2020. |
See accompanying Notes to Financial Statements.
41
Table of Contents
TCW Relative Value Dividend Appreciation Fund
Investments by Sector | October 31, 2020 |
Sector | Percentage of Net Assets | |||
Aerospace & Defense | 1.0 | % | ||
Air Freight & Logistics | 4.6 | |||
Auto Components | 4.1 | |||
Banks | 6.8 | |||
Beverages | 3.1 | |||
Biotechnology | 3.0 | |||
Capital Markets | 7.7 | |||
Chemicals | 3.2 | |||
Communications Equipment | 1.4 | |||
Diversified Telecommunication Services | 3.6 | |||
Electrical Equipment | 1.4 | |||
Electronic Equipment, Instruments & Components | 2.2 | |||
Energy Equipment & Services | 2.2 | |||
Food Products | 1.2 | |||
Health Care Equipment & Supplies | 2.3 | |||
Health Care Providers & Services | 2.9 | |||
Household Durables | 4.4 | |||
Household Products | 1.3 | |||
Independent Power and Renewable Electricity Producers | 4.6 | |||
Industrial Conglomerates | 2.4 | |||
Insurance | 3.1 | |||
IT Services | 2.9 | |||
Media | 4.6 | |||
Metals & Mining | 1.8 | |||
Multi-Utilities | 1.5 | |||
Multiline Retail | 2.6 | |||
Oil, Gas & Consumable Fuels | 2.8 | |||
Pharmaceuticals | 5.9 | |||
REIT | 0.9 | |||
Semiconductors & Semiconductor Equipment | 6.9 | |||
Specialty Retail | 1.0 | |||
Technology Hardware, Storage & Peripherals | 2.4 | |||
Money Market Investments | 0.1 | |||
|
| |||
Total | 99.9 | % | ||
|
|
See accompanying Notes to Financial Statements.
42
Table of Contents
TCW Relative Value Dividend Appreciation Fund
Fair Valuation Summary | October 31, 2020 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 2020 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 | $ | 2,065,624 | $ | — | $ | — | $ | 2,065,624 | ||||||||
Air Freight & Logistics | 9,562,500 | — | — | 9,562,500 | ||||||||||||
Auto Components | 8,627,260 | — | — | 8,627,260 | ||||||||||||
Banks | 14,096,381 | — | — | 14,096,381 | ||||||||||||
Beverages | 6,506,018 | — | — | 6,506,018 | ||||||||||||
Biotechnology | 6,313,055 | — | — | 6,313,055 | ||||||||||||
Capital Markets | 15,963,221 | — | — | 15,963,221 | ||||||||||||
Chemicals | 6,617,209 | — | — | 6,617,209 | ||||||||||||
Communications Equipment | 2,842,813 | — | — | 2,842,813 | ||||||||||||
Diversified Telecommunication Services | 7,498,915 | — | — | 7,498,915 | ||||||||||||
Electrical Equipment | 2,888,217 | — | — | 2,888,217 | ||||||||||||
Electronic Equipment, Instruments & Components | 4,522,540 | — | — | 4,522,540 | ||||||||||||
Energy Equipment & Services | 4,525,306 | — | — | 4,525,306 | ||||||||||||
Food Products | 2,466,827 | — | — | 2,466,827 | ||||||||||||
Health Care Equipment & Supplies | 4,850,290 | — | — | 4,850,290 | ||||||||||||
Health Care Providers & Services | 6,019,804 | — | — | 6,019,804 | ||||||||||||
Household Durables | 9,202,571 | — | — | 9,202,571 | ||||||||||||
Household Products | 2,769,146 | — | — | 2,769,146 | ||||||||||||
Independent Power and Renewable Electricity Producers | 9,605,018 | — | — | 9,605,018 | ||||||||||||
Industrial Conglomerates | 4,931,176 | — | — | 4,931,176 | ||||||||||||
Insurance | 6,372,237 | — | — | 6,372,237 | ||||||||||||
IT Services | 5,979,058 | — | — | 5,979,058 | ||||||||||||
Media | 9,585,073 | — | — | 9,585,073 | ||||||||||||
Metals & Mining | 3,813,239 | — | — | 3,813,239 | ||||||||||||
Multi-Utilities | 3,099,275 | — | — | 3,099,275 | ||||||||||||
Multiline Retail | 5,525,586 | — | — | 5,525,586 | ||||||||||||
Oil, Gas & Consumable Fuels | 5,903,330 | — | — | 5,903,330 | ||||||||||||
Pharmaceuticals | 12,244,037 | — | — | 12,244,037 | ||||||||||||
REIT | 1,948,073 | — | — | 1,948,073 | ||||||||||||
Semiconductors & Semiconductor Equipment | 14,321,311 | — | — | 14,321,311 | ||||||||||||
Specialty Retail | 2,045,065 | — | — | 2,045,065 | ||||||||||||
Technology Hardware, Storage & Peripherals | 5,119,667 | — | — | 5,119,667 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 207,829,842 | — | — | 207,829,842 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 285,852 | — | — | 285,852 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 208,115,694 | $ | — | $ | — | $ | 208,115,694 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
43
Table of Contents
TCW Relative Value Large Cap Fund
Schedule of Investments
Issues | Shares | Value | ||||||
COMMON STOCK — 100.1% of Net Assets |
| |||||||
Aerospace & Defense — 3.2% | ||||||||
L3Harris Technologies, Inc. | 5,829 | $ | 939,110 | |||||
Textron, Inc. | 56,409 | 2,019,442 | ||||||
|
| |||||||
2,958,552 | ||||||||
|
| |||||||
Air Freight & Logistics — 3.2% | ||||||||
United Parcel Service, Inc. — Class B | 19,165 | 3,011,013 | ||||||
|
| |||||||
Auto Components — 3.3% | ||||||||
Johnson Controls International PLC (Ireland) | 73,360 | 3,096,526 | ||||||
|
| |||||||
Banks — 6.5% | ||||||||
Citigroup, Inc. | 43,400 | 1,797,628 | ||||||
JPMorgan Chase & Co. | 34,021 | 3,335,419 | ||||||
Zions Bancorp | 28,400 | 916,468 | ||||||
|
| |||||||
6,049,515 | ||||||||
|
| |||||||
Beverages — 2.3% | ||||||||
PepsiCo, Inc. | 16,065 | 2,141,304 | ||||||
|
| |||||||
Biotechnology — 2.1% | ||||||||
Gilead Sciences, Inc. | 33,329 | 1,938,081 | ||||||
|
| |||||||
Capital Markets — 6.9% | ||||||||
Ameriprise Financial, Inc. | 11,718 | 1,884,606 | ||||||
Blackstone Group, Inc. (The) | 20,900 | 1,053,778 | ||||||
Intercontinental Exchange, Inc. | 36,803 | 3,474,203 | ||||||
|
| |||||||
6,412,587 | ||||||||
|
| |||||||
Chemicals — 1.7% | ||||||||
DuPont de Nemours, Inc. | 28,395 | 1,615,108 | ||||||
|
| |||||||
Communications Equipment — 1.1% | ||||||||
Cisco Systems, Inc. | 28,427 | 1,020,529 | ||||||
|
| |||||||
Diversified Telecommunication Services — 2.7% | ||||||||
AT&T, Inc. | 92,097 | 2,488,461 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 4.2% | ||||||||
Corning, Inc. | 61,999 | 1,982,108 | ||||||
Flex Ltd. (1) | 134,871 | 1,908,425 | ||||||
|
| |||||||
3,890,533 | ||||||||
|
| |||||||
Energy Equipment & Services — 1.4% | ||||||||
Baker Hughes Co. | 90,140 | 1,331,368 | ||||||
|
| |||||||
Food Products — 2.4% | ||||||||
Conagra Brands, Inc. | 63,020 | 2,211,372 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 3.2% | ||||||||
Medtronic PLC (Ireland) | 17,900 | 1,800,203 | ||||||
Zimmer Biomet Holdings, Inc. | 8,922 | 1,178,596 | ||||||
|
| |||||||
2,978,799 | ||||||||
|
| |||||||
Health Care Providers & Services — 8.2% | ||||||||
Centene Corp. (1) | 45,080 | 2,664,228 | ||||||
McKesson Corp. | 15,510 | 2,287,570 |
Issues | Shares | Value | ||||||
Health Care Providers & Services (Continued) | ||||||||
Molina Healthcare, Inc. (1) | 14,418 | $ | 2,688,524 | |||||
|
| |||||||
7,640,322 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.6% | ||||||||
Darden Restaurants, Inc. | 15,680 | 1,441,306 | ||||||
|
| |||||||
Household Durables — 3.8% | ||||||||
Lennar Corp. | 49,663 | 3,487,833 | ||||||
|
| |||||||
Household Products — 1.2% | ||||||||
Procter & Gamble Co. (The) | 8,147 | 1,116,954 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 3.4% | ||||||||
AES Corp. (The) | 160,300 | 3,125,850 | ||||||
|
| |||||||
Industrial Conglomerates — 2.1% | ||||||||
General Electric Co. | 267,036 | 1,981,407 | ||||||
|
| |||||||
Insurance — 1.9% | ||||||||
MetLife, Inc. | 46,713 | 1,768,087 | ||||||
|
| |||||||
IT Services — 4.1% | ||||||||
Fiserv, Inc. (1) | 17,173 | 1,639,506 | ||||||
International Business Machines Corp. | 19,257 | 2,150,237 | ||||||
|
| |||||||
3,789,743 | ||||||||
|
| |||||||
Media — 9.4% | ||||||||
Comcast Corp. | 85,548 | 3,613,547 | ||||||
Discovery, Inc. (1) | 89,400 | 1,809,456 | ||||||
Fox Corp. | 43,052 | 1,141,739 | ||||||
ViacomCBS, Inc. — Class B | 77,498 | 2,214,118 | ||||||
|
| |||||||
8,778,860 | ||||||||
|
| |||||||
Metals & Mining — 3.6% | ||||||||
Freeport-McMoRan, Inc. | 194,500 | 3,372,630 | ||||||
|
| |||||||
Multi-Utilities — 1.3% | ||||||||
Sempra Energy | 10,004 | 1,254,101 | ||||||
|
| |||||||
Multiline Retail — 2.5% | ||||||||
Target Corp. | 15,500 | 2,359,410 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.9% | ||||||||
Chevron Corp. | 25,100 | 1,744,450 | ||||||
|
| |||||||
Pharmaceuticals — 1.3% | ||||||||
AbbVie, Inc. | 14,500 | 1,233,950 | ||||||
|
| |||||||
Real Estate Management & Development — 1.1% | ||||||||
Jones Lang LaSalle, Inc. | 8,997 | 1,015,401 | ||||||
|
| |||||||
REIT — 1.1% | ||||||||
Cousins Properties, Inc. | 25,161 | 641,102 | ||||||
Weyerhaeuser Co. | 15,289 | 417,237 | ||||||
|
| |||||||
1,058,339 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 5.8% | ||||||||
Broadcom, Inc. | 6,795 | 2,375,736 | ||||||
Micron Technology, Inc. (1) | 17,200 | 865,848 |
See accompanying Notes to Financial Statements.
44
Table of Contents
TCW Relative Value Large Cap Fund
October 31, 2020
Issues | Shares | Value | ||||||
Semiconductors & Semiconductor Equipment (Continued) | ||||||||
ON Semiconductor Corp. (1) | 85,400 | $ | 2,142,686 | |||||
|
| |||||||
5,384,270 | ||||||||
|
| |||||||
Specialty Retail — 1.0% | ||||||||
Dick’s Sporting Goods, Inc. | 16,300 | 923,395 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.6% | ||||||||
HP, Inc. | 30,500 | 547,780 | ||||||
|
| |||||||
Total Common Stock |
| |||||||
(Cost: $69,866,756) |
| 93,167,836 | ||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 0.2% | ||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (2) | 138,271 | 138,271 | ||||||
|
| |||||||
Total Money Market Investments |
| |||||||
(Cost: $138,271) |
| 138,271 | ||||||
|
| |||||||
Total Investments (100.3%) | ||||||||
(Cost: $70,005,027) |
| 93,306,107 | ||||||
Liabilities in Excess of Other Assets (-0.3%) |
| (264,034 | ) | |||||
|
| |||||||
Net Assets (100.0%) |
| $ | 93,042,073 | |||||
|
|
Notes to the Schedule of Investments:
REIT | Real Estate Investment. |
(1) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of October 31, 2020. |
See accompanying Notes to Financial Statements.
45
Table of Contents
TCW Relative Value Large Cap Fund
Investments by Sector | October 31, 2020 |
Sector | Percentage of Net Assets | |||
Aerospace & Defense | 3.2 | % | ||
Air Freight & Logistics | 3.2 | |||
Auto Components | 3.3 | |||
Banks | 6.5 | |||
Beverages | 2.3 | |||
Biotechnology | 2.1 | |||
Capital Markets | 6.9 | |||
Chemicals | 1.7 | |||
Communications Equipment | 1.1 | |||
Diversified Telecommunication Services | 2.7 | |||
Electronic Equipment, Instruments & Components | 4.2 | |||
Energy Equipment & Services | 1.4 | |||
Food Products | 2.4 | |||
Health Care Equipment & Supplies | 3.2 | |||
Health Care Providers & Services | 8.2 | |||
Hotels, Restaurants & Leisure | 1.6 | |||
Household Durables | 3.8 | |||
Household Products | 1.2 | |||
Independent Power and Renewable Electricity Producers | 3.4 | |||
Industrial Conglomerates | 2.1 | |||
Insurance | 1.9 | |||
IT Services | 4.1 | |||
Media | 9.4 | |||
Metals & Mining | 3.6 | |||
Multi-Utilities | 1.3 | |||
Multiline Retail | 2.5 | |||
Oil, Gas & Consumable Fuels | 1.9 | |||
Pharmaceuticals | 1.3 | |||
REIT | 1.1 | |||
Real Estate Management & Development | 1.1 | |||
Semiconductors & Semiconductor Equipment | 5.8 | |||
Specialty Retail | 1.0 | |||
Technology Hardware, Storage & Peripherals | 0.6 | |||
Money Market Investments | 0.2 | |||
|
| |||
Total | 100.3 | % | ||
|
|
See accompanying Notes to Financial Statements.
46
Table of Contents
TCW Relative Value Large Cap Fund
Fair Valuation Summary | October 31, 2020 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 2020 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 | $ | 2,958,552 | $ | — | $ | — | $ | 2,958,552 | ||||||||
Air Freight & Logistics | 3,011,013 | — | — | 3,011,013 | ||||||||||||
Auto Components | 3,096,526 | — | — | 3,096,526 | ||||||||||||
Banks | 6,049,515 | — | — | 6,049,515 | ||||||||||||
Beverages | 2,141,304 | — | — | 2,141,304 | ||||||||||||
Biotechnology | 1,938,081 | — | — | 1,938,081 | ||||||||||||
Capital Markets | 6,412,587 | — | — | 6,412,587 | ||||||||||||
Chemicals | 1,615,108 | — | — | 1,615,108 | ||||||||||||
Communications Equipment | 1,020,529 | — | — | 1,020,529 | ||||||||||||
Diversified Telecommunication Services | 2,488,461 | — | — | 2,488,461 | ||||||||||||
Electronic Equipment, Instruments & Components | 3,890,533 | — | — | 3,890,533 | ||||||||||||
Energy Equipment & Services | 1,331,368 | — | — | 1,331,368 | ||||||||||||
Food Products | 2,211,372 | — | — | 2,211,372 | ||||||||||||
Health Care Equipment & Supplies | 2,978,799 | — | — | 2,978,799 | ||||||||||||
Health Care Providers & Services | 7,640,322 | — | — | 7,640,322 | ||||||||||||
Hotels, Restaurants & Leisure | 1,441,306 | — | — | 1,441,306 | ||||||||||||
Household Durables | 3,487,833 | — | — | 3,487,833 | ||||||||||||
Household Products | 1,116,954 | — | — | 1,116,954 | ||||||||||||
Independent Power and Renewable Electricity Producers | 3,125,850 | — | — | 3,125,850 | ||||||||||||
Industrial Conglomerates | 1,981,407 | — | — | 1,981,407 | ||||||||||||
Insurance | 1,768,087 | — | — | 1,768,087 | ||||||||||||
Media | 8,778,860 | — | — | 8,778,860 | ||||||||||||
IT Services | 3,789,743 | — | — | 3,789,743 | ||||||||||||
Metals & Mining | 3,372,630 | — | — | 3,372,630 | ||||||||||||
Multi-Utilities | 1,254,101 | — | — | 1,254,101 | ||||||||||||
Multiline Retail | 2,359,410 | — | — | 2,359,410 | ||||||||||||
Oil, Gas & Consumable Fuels | 1,744,450 | — | — | 1,744,450 | ||||||||||||
Pharmaceuticals | 1,233,950 | — | — | 1,233,950 | ||||||||||||
REIT | 1,058,339 | — | — | 1,058,339 | ||||||||||||
Real Estate Management & Development | 1,015,401 | — | — | 1,015,401 | ||||||||||||
Semiconductors & Semiconductor Equipment | 5,384,270 | — | — | 5,384,270 | ||||||||||||
Specialty Retail | 923,395 | — | — | 923,395 | ||||||||||||
Technology Hardware, Storage & Peripherals | 547,780 | — | — | 547,780 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 93,167,836 | — | — | 93,167,836 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 138,271 | — | — | 138,271 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 93,306,107 | $ | — | $ | — | $ | 93,306,107 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
47
Table of Contents
TCW Relative Value Mid Cap Fund
Schedule of Investments
Issues | Shares | Value | ||||||
COMMON STOCK — 99.6% of Net Assets |
| |||||||
Aerospace & Defense — 2.1% | ||||||||
Textron, Inc. | 37,288 | $ | 1,334,910 | |||||
|
| |||||||
Airlines — 0.5% | ||||||||
United Airlines Holdings, Inc. (1) | 10,057 | 340,530 | ||||||
|
| |||||||
Banks — 7.2% | ||||||||
KeyCorp | 136,142 | 1,767,123 | ||||||
Popular, Inc. | 50,165 | 2,116,963 | ||||||
Zions Bancorp | 17,345 | 559,723 | ||||||
|
| |||||||
4,443,809 | ||||||||
|
| |||||||
Capital Markets — 1.9% | ||||||||
Apollo Global Management, Inc. | 6,100 | 224,846 | ||||||
Evercore Partners, Inc. | 12,240 | 973,570 | ||||||
|
| |||||||
1,198,416 | ||||||||
|
| |||||||
Chemicals — 3.6% | ||||||||
Corteva, Inc. | 40,498 | 1,335,624 | ||||||
International Flavors & Fragrances, Inc. | 9,045 | 928,560 | ||||||
|
| |||||||
2,264,184 | ||||||||
|
| |||||||
Communications Equipment — 0.9% | ||||||||
CommScope Holding Co., Inc. (1) | 62,645 | 557,540 | ||||||
|
| |||||||
Construction & Engineering — 4.8% | ||||||||
Arcosa, Inc. | 24,900 | 1,149,633 | ||||||
Jacobs Engineering Group, Inc. | 19,060 | 1,810,700 | ||||||
|
| |||||||
2,960,333 | ||||||||
|
| |||||||
Consumer Finance — 1.4% | ||||||||
OneMain Holdings, Inc. | 24,155 | 842,768 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 4.7% | ||||||||
Avnet, Inc. | 10,873 | 268,237 | ||||||
Flex Ltd. (1) | 122,250 | 1,729,837 | ||||||
TTM Technologies, Inc. (1) | 76,355 | 906,334 | ||||||
|
| |||||||
2,904,408 | ||||||||
|
| |||||||
Energy Equipment & Services — 1.2% | ||||||||
Baker Hughes Co. | 51,100 | 754,747 | ||||||
|
| |||||||
Equity Real Estate — 2.3% | ||||||||
Innovative Industrial Properties, Inc. | 3,740 | 436,196 | ||||||
Mid-America Apartment Communities, Inc. | 8,345 | 973,277 | ||||||
|
| |||||||
1,409,473 | ||||||||
|
| |||||||
Food Products — 4.3% | ||||||||
Conagra Brands, Inc. | 40,022 | 1,404,372 | ||||||
Hain Celestial Group, Inc. (The) (1) | 21,700 | 667,275 | ||||||
TreeHouse Foods, Inc. (1) | 14,976 | 581,668 | ||||||
|
| |||||||
2,653,315 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.8% | ||||||||
Envista Holdings Corp. (1) | 6,290 | 166,182 |
Issues | Shares | Value | ||||||
Health Care Equipment & Supplies (Continued) | ||||||||
Zimmer Biomet Holdings, Inc. | 7,418 | $ | 979,918 | |||||
|
| |||||||
1,146,100 | ||||||||
|
| |||||||
Health Care Providers & Services — 9.9% | ||||||||
Acadia Healthcare Co., Inc. (1) | 36,400 | 1,297,660 | ||||||
Centene Corp. (1) | 28,017 | 1,655,805 | ||||||
Henry Schein, Inc. (1) | 8,095 | 514,680 | ||||||
Magellan Health, Inc. (1) | 9,800 | 708,246 | ||||||
Molina Healthcare, Inc. (1) | 10,413 | 1,941,712 | ||||||
|
| |||||||
6,118,103 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.5% | ||||||||
Darden Restaurants, Inc. | 9,915 | 911,387 | ||||||
|
| |||||||
Household Durables — 10.8% | ||||||||
DR Horton, Inc. | 20,200 | 1,349,562 | ||||||
KB Home | 38,760 | 1,250,010 | ||||||
Lennar Corp. | 27,571 | 1,936,311 | ||||||
Toll Brothers, Inc. | 37,068 | 1,567,235 | ||||||
Whirlpool Corp. | 3,090 | 571,527 | ||||||
|
| |||||||
6,674,645 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 4.0% | ||||||||
AES Corp. (The) | 127,700 | 2,490,150 | ||||||
|
| |||||||
Insurance — 3.2% | ||||||||
Arch Capital Group, Ltd. (1) | 25,165 | 760,235 | ||||||
Assured Guaranty, Ltd. | 15,725 | 401,459 | ||||||
Axis Capital Holdings, Ltd. | 19,726 | 842,103 | ||||||
|
| |||||||
2,003,797 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 1.4% | ||||||||
eBay, Inc. | 5,730 | 272,920 | ||||||
Expedia, Inc. | 6,035 | 568,195 | ||||||
|
| |||||||
841,115 | ||||||||
|
| |||||||
Machinery — 7.2% | ||||||||
Dover Corp. | 13,680 | 1,514,513 | ||||||
Manitowoc Co., Inc. (The) (1) | 83,017 | 625,118 | ||||||
SPX FLOW, Inc. (1) | 24,305 | 1,029,317 | ||||||
Terex Corp. | 19,608 | 484,121 | ||||||
Wabtec Corp. | 13,716 | 813,359 | ||||||
|
| |||||||
4,466,428 | ||||||||
|
| |||||||
Marine — 1.5% | ||||||||
Kirby Corp. (1) | 24,000 | 923,760 | ||||||
|
| |||||||
Media — 3.8% | ||||||||
Discovery, Inc. (1) | 51,821 | 1,048,857 | ||||||
ViacomCBS, Inc. — Class B | 44,800 | 1,279,936 | ||||||
|
| |||||||
2,328,793 | ||||||||
|
|
See accompanying Notes to Financial Statements.
48
Table of Contents
TCW Relative Value Mid Cap Fund
October 31, 2020
Issues | Shares | Value | ||||||
Metals & Mining — 2.9% | ||||||||
Freeport-McMoRan, Inc. | 104,866 | $ | 1,818,376 | |||||
|
| |||||||
Multi-Utilities — 1.3% | ||||||||
Sempra Energy | 6,241 | 782,372 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 0.9% | ||||||||
Marathon Petroleum Corp. | 18,048 | 532,416 | ||||||
|
| |||||||
Pharmaceuticals — 1.3% | ||||||||
Elanco Animal Health, Inc. (1) | 20,700 | 641,907 | ||||||
Perrigo Co. PLC | 4,300 | 188,641 | ||||||
|
| |||||||
830,548 | ||||||||
|
| |||||||
Real Estate Management & Development — 1.1% | ||||||||
Jones Lang LaSalle, Inc. | 6,083 | 686,527 | ||||||
|
| |||||||
REIT — 1.0% | ||||||||
Cousins Properties, Inc. | 24,087 | 613,737 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 6.0% | ||||||||
Maxim Integrated Products, Inc. | 38,566 | 2,686,122 | ||||||
ON Semiconductor Corp. (1) | 41,900 | 1,051,271 | ||||||
|
| |||||||
3,737,393 | ||||||||
|
| |||||||
Software — 1.0% | ||||||||
Nuance Communications, Inc. (1) | 18,716 | 597,228 | ||||||
|
| |||||||
Specialty Retail — 4.1% | ||||||||
Bed Bath & Beyond, Inc. | 20,600 | 407,880 | ||||||
Dick’s Sporting Goods, Inc. | 15,800 | 895,070 | ||||||
Guess?, Inc. | 44,660 | 526,095 | ||||||
Williams-Sonoma, Inc. | 7,940 | 724,207 | ||||||
|
| |||||||
2,553,252 | ||||||||
|
| |||||||
Total Common Stock |
| |||||||
(Cost: $47,445,188) |
| 61,720,560 | ||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 0.2% | ||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (2) | 107,941 | 107,941 | ||||||
|
| |||||||
Total Money Market Investments |
| |||||||
(Cost: $107,941) |
| 107,941 | ||||||
|
| |||||||
Total Investments (99.8%) | ||||||||
(Cost: $47,553,129) |
| 61,828,501 | ||||||
Excess of Other Assets over Liabilities (0.2%) |
| 94,534 | ||||||
|
| |||||||
Net Assets (100.0%) |
| $ | 61,923,035 | |||||
|
|
Notes to the Schedule of Investments:
REIT | Real Estate Investment. |
(1) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of October 31, 2020. |
See accompanying Notes to Financial Statements.
49
Table of Contents
TCW Relative Value Mid Cap Fund
Investments by Sector | October 31, 2020 |
Sector | Percentage of Net Assets | |||
Aerospace & Defense | 2.1 | % | ||
Airlines | 0.5 | |||
Banks | 7.2 | |||
Capital Markets | 1.9 | |||
Chemicals | 3.6 | |||
Communications Equipment | 0.9 | |||
Construction & Engineering | 4.8 | |||
Consumer Finance | 1.4 | |||
Electronic Equipment, Instruments & Components | 4.7 | |||
Energy Equipment & Services | 1.2 | |||
Equity Real Estate | 2.3 | |||
Food Products | 4.3 | |||
Health Care Equipment & Supplies | 1.8 | |||
Health Care Providers & Services | 9.9 | |||
Hotels, Restaurants & Leisure | 1.5 | |||
Household Durables | 10.8 | |||
Independent Power and Renewable Electricity Producers | 4.0 | |||
Insurance | 3.2 | |||
Internet & Direct Marketing Retail | 1.4 | |||
Machinery | 7.2 | |||
Marine | 1.5 | |||
Media | 3.8 | |||
Metals & Mining | 2.9 | |||
Multi-Utilities | 1.3 | |||
Oil, Gas & Consumable Fuels | 0.9 | |||
Pharmaceuticals | 1.3 | |||
Real Estate Management & Development | 1.1 | |||
Semiconductors & Semiconductor Equipment | 6.0 | |||
REIT | 1.0 | |||
Software | 1.0 | |||
Specialty Retail | 4.1 | |||
Money Market Investments | 0.2 | |||
|
| |||
Total | 99.8 | % | ||
|
|
See accompanying Notes to Financial Statements.
50
Table of Contents
TCW Relative Value Mid Cap Fund
Fair Valuation Summary | October 31, 2020 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 2020 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 | $ | 1,334,910 | $ | — | $ | — | $ | 1,334,910 | ||||||||
Airlines | 340,530 | — | — | 340,530 | ||||||||||||
Banks | 4,443,809 | — | — | 4,443,809 | ||||||||||||
Capital Markets | 1,198,416 | — | — | 1,198,416 | ||||||||||||
Chemicals | 2,264,184 | — | — | 2,264,184 | ||||||||||||
Communications Equipment | 557,540 | — | — | 557,540 | ||||||||||||
Construction & Engineering | 2,960,333 | — | — | 2,960,333 | ||||||||||||
Consumer Finance | 842,768 | — | — | 842,768 | ||||||||||||
Electronic Equipment, Instruments & Components | 2,904,408 | — | — | 2,904,408 | ||||||||||||
Energy Equipment & Services | 754,747 | — | — | 754,747 | ||||||||||||
Equity Real Estate | 1,409,473 | — | — | 1,409,473 | ||||||||||||
Food Products | 2,653,315 | — | — | 2,653,315 | ||||||||||||
Health Care Equipment & Supplies | 1,146,100 | — | — | 1,146,100 | ||||||||||||
Health Care Providers & Services | 6,118,103 | — | — | 6,118,103 | ||||||||||||
Hotels, Restaurants & Leisure | 911,387 | — | — | 911,387 | ||||||||||||
Household Durables | 6,674,645 | — | — | 6,674,645 | ||||||||||||
Independent Power and Renewable Electricity Producers | 2,490,150 | — | — | 2,490,150 | ||||||||||||
Insurance | 2,003,797 | — | — | 2,003,797 | ||||||||||||
Internet & Direct Marketing Retail | 841,115 | — | — | 841,115 | ||||||||||||
Machinery | 4,466,428 | — | — | 4,466,428 | ||||||||||||
Marine | 923,760 | — | — | 923,760 | ||||||||||||
Media | 2,328,793 | — | — | 2,328,793 | ||||||||||||
Metals & Mining | 1,818,376 | — | — | 1,818,376 | ||||||||||||
Multi-Utilities | 782,372 | — | — | 782,372 | ||||||||||||
Oil, Gas & Consumable Fuels | 532,416 | — | — | 532,416 | ||||||||||||
Pharmaceuticals | 830,548 | — | — | 830,548 | ||||||||||||
Real Estate Management & Development | 686,527 | — | — | 686,527 | ||||||||||||
REIT | 613,737 | — | — | 613,737 | ||||||||||||
Semiconductors & Semiconductor Equipment | 3,737,393 | — | — | 3,737,393 | ||||||||||||
Software | 597,228 | — | — | 597,228 | ||||||||||||
Specialty Retail | 2,553,252 | — | — | 2,553,252 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 61,720,560 | — | — | 61,720,560 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 107,941 | — | — | 107,941 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 61,828,501 | $ | — | $ | — | $ | 61,828,501 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
51
Table of Contents
Schedule of Investments
Issues | Shares | Value | ||||||
COMMON STOCK — 99.9% of Net Assets |
| |||||||
Biotechnology — 1.0% | ||||||||
BioMarin Pharmaceutical, Inc. (1) | 108,154 | $ | 8,049,902 | |||||
|
| |||||||
Capital Markets — 3.5% | ||||||||
Charles Schwab Corp. (The) | 299,168 | 12,298,797 | ||||||
S&P Global, Inc. | 48,895 | 15,779,883 | ||||||
|
| |||||||
28,078,680 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.8% | ||||||||
Waste Connections, Inc. (Canada) | 144,432 | 14,344,986 | ||||||
|
| |||||||
Food & Staples Retailing — 2.6% | ||||||||
Costco Wholesale Corp. | 57,337 | 20,504,858 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 4.8% | ||||||||
Align Technology, Inc. (1) | 54,773 | 23,337,680 | ||||||
Boston Scientific Corp. (1) | 433,979 | 14,872,460 | ||||||
|
| |||||||
38,210,140 | ||||||||
|
| |||||||
Insurance — 0.8% | ||||||||
Chubb, Ltd. (Switzerland) | 50,692 | 6,585,398 | ||||||
|
| |||||||
Interactive Media & Services — 10.8% | ||||||||
Alphabet, Inc. — Class C (1) | 27,574 | 44,697,730 | ||||||
Facebook, Inc. (1) | 157,174 | 41,354,051 | ||||||
|
| |||||||
86,051,781 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 7.6% | ||||||||
Amazon.com, Inc. (1) | 19,965 | 60,616,735 | ||||||
|
| |||||||
IT Services — 13.0% | ||||||||
Mastercard, Inc. | 81,655 | 23,568,899 | ||||||
PayPal Holdings, Inc. (1) | 208,694 | 38,844,215 | ||||||
Snowflake, Inc. (1) | 19,657 | 4,914,643 | ||||||
Visa, Inc. | 197,269 | 35,845,750 | ||||||
|
| |||||||
103,173,507 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 2.7% | ||||||||
Illumina, Inc. (1) | 25,643 | 7,505,706 | ||||||
IQVIA Holdings, Inc. (1) | 87,651 | 13,497,378 | ||||||
|
| |||||||
21,003,084 | ||||||||
|
| |||||||
Machinery — 2.0% | ||||||||
Xylem, Inc. | 178,344 | 15,540,896 | ||||||
|
| |||||||
Pharmaceuticals — 3.1% | ||||||||
Zoetis, Inc. | 157,539 | 24,977,808 | ||||||
|
| |||||||
Professional Services — 4.5% | ||||||||
IHS Markit, Ltd. (1) | 218,079 | 17,636,048 | ||||||
TransUnion | 231,780 | 18,463,595 | ||||||
|
| |||||||
36,099,643 | ||||||||
|
|
Issues | Shares | Value | ||||||
REIT — 7.4% | ||||||||
American Tower Corp. | 153,307 | $ | 35,206,952 | |||||
Equinix, Inc. | 31,990 | 23,392,368 | ||||||
|
| |||||||
58,599,320 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 6.2% | ||||||||
ASML Holding NV (Netherlands) | 43,023 | 15,540,338 | ||||||
NVIDIA Corp. | 67,933 | 34,058,889 | ||||||
|
| |||||||
49,599,227 | ||||||||
|
| |||||||
Software — 24.2% | ||||||||
Adobe, Inc. (1) | 106,800 | 47,750,280 | ||||||
Salesforce.com, Inc. (1) | 170,853 | 39,684,026 | ||||||
ServiceNow, Inc. (1) | 107,351 | 53,414,637 | ||||||
Splunk, Inc. (1) | 119,280 | 23,622,211 | ||||||
Trade Desk, Inc. (The) (1) | 48,650 | 27,557,793 | ||||||
|
| |||||||
192,028,947 | ||||||||
|
| |||||||
Specialty Retail — 3.9% | ||||||||
Home Depot, Inc. (The) | 76,519 | 20,408,382 | ||||||
Ulta Beauty, Inc. (1) | 49,545 | 10,244,420 | ||||||
|
| |||||||
30,652,802 | ||||||||
|
| |||||||
Total Common Stock |
| |||||||
(Cost: $243,422,832) |
| 794,117,714 | ||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 0.1% | ||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (2) | 1,016,901 | 1,016,901 | ||||||
|
| |||||||
Total Money Market Investments |
| |||||||
(Cost: $1,016,901) |
| 1,016,901 | ||||||
|
| |||||||
Total Investments (100.0%) | ||||||||
(Cost: $244,439,733) |
| 795,134,615 | ||||||
Excess of Other Assets over Liabilities (0.0%) |
| 173,224 | ||||||
|
| |||||||
Net Assets (100.0%) |
| $ | 795,307,839 | |||||
|
|
Notes to the Schedule of Investments:
REIT | Real Estate Investment Trust. |
(1) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of October 31, 2020. |
See accompanying Notes to Financial Statements.
52
Table of Contents
TCW Select Equities Fund
Investments by Sector | October 31, 2020 |
Sector | Percentage of Net Assets | |||
Biotechnology | 1.0 | % | ||
Capital Markets | 3.5 | |||
Commercial Services & Supplies | 1.8 | |||
Food & Staples Retailing | 2.6 | |||
Health Care Equipment & Supplies | 4.8 | |||
Insurance | 0.8 | |||
Interactive Media & Services | 10.8 | |||
Internet & Direct Marketing Retail | 7.6 | |||
IT Services | 13.0 | |||
Life Sciences Tools & Services | 2.7 | |||
Machinery | 2.0 | |||
Pharmaceuticals | 3.1 | |||
Professional Services | 4.5 | |||
REIT | 7.4 | |||
Semiconductors & Semiconductor Equipment | 6.2 | |||
Software | 24.2 | |||
Specialty Retail | 3.9 | |||
Money Market Investments | 0.1 | |||
|
| |||
Total | 100.0 | % | ||
|
|
See accompanying Notes to Financial Statements.
53
Table of Contents
TCW Select Equities Fund
Fair Valuation Summary | October 31, 2020 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 2020 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 | ||||||||||||||||
Biotechnology | $ | 8,049,902 | $ | — | $ | — | $ | 8,049,902 | ||||||||
Capital Markets | 28,078,680 | — | — | 28,078,680 | ||||||||||||
Commercial Services & Supplies | 14,344,986 | — | — | 14,344,986 | ||||||||||||
Food & Staples Retailing | 20,504,858 | — | — | 20,504,858 | ||||||||||||
Health Care Equipment & Supplies | 38,210,140 | — | — | 38,210,140 | ||||||||||||
Insurance | 6,585,398 | — | — | 6,585,398 | ||||||||||||
Interactive Media & Services | 86,051,781 | — | — | 86,051,781 | ||||||||||||
Internet & Direct Marketing Retail | 60,616,735 | — | — | 60,616,735 | ||||||||||||
IT Services | 103,173,507 | — | — | 103,173,507 | ||||||||||||
Life Sciences Tools & Services | 21,003,084 | — | — | 21,003,084 | ||||||||||||
Machinery | 15,540,896 | — | — | 15,540,896 | ||||||||||||
Pharmaceuticals | 24,977,808 | — | — | 24,977,808 | ||||||||||||
Professional Services | 36,099,643 | — | — | 36,099,643 | ||||||||||||
REIT | 58,599,320 | — | — | 58,599,320 | ||||||||||||
Semiconductors & Semiconductor Equipment | 49,599,227 | — | — | 49,599,227 | ||||||||||||
Software | 192,028,947 | — | — | 192,028,947 | ||||||||||||
Specialty Retail | 30,652,802 | — | — | 30,652,802 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 794,117,714 | — | — | 794,117,714 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 1,016,901 | — | — | 1,016,901 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 795,134,615 | $ | — | $ | — | $ | 795,134,615 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
54
Table of Contents
TCW Funds, Inc.
Statements of Assets and Liabilities | October 31, 2020 |
TCW Artificial Intelligence Equity Fund | TCW Conservative Allocation Fund | TCW Global Real Estate Fund | TCW New America Premier Equities Fund | |||||||||||||
ASSETS | ||||||||||||||||
Investments, at Value (1) | $ | 10,351,247 | $ | 1,237,722 | $ | 13,879,451 | $ | 183,335,167 | ||||||||
Investment in Affiliated Issuers, at Value | — | 35,861,928 | (2) | — | — | |||||||||||
Receivable for Securities Sold | — | — | 364,627 | 6,863,432 | ||||||||||||
Receivable for Fund Shares Sold | 36,919 | 45,217 | 237 | 716,647 | ||||||||||||
Dividends Receivable | 1,124 | 12,192 | 2,691 | 41,027 | ||||||||||||
Foreign Tax Reclaims Receivable | — | — | 614 | — | ||||||||||||
Receivable from Investment Advisor | 11,893 | 1,141 | 14,552 | — | ||||||||||||
Cash Collateral Held for Brokers | — | — | — | 3 | ||||||||||||
Prepaid Expenses | 71 | 31,893 | 3,845 | 16,839 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 10,401,254 | 37,190,093 | 14,266,017 | 190,973,115 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES | ||||||||||||||||
Payable for Securities Purchased | — | — | 609,852 | 7,137,254 | ||||||||||||
Payable for Fund Shares Redeemed | — | — | — | 143,561 | ||||||||||||
Disbursements in Excess of Available Cash | — | — | 180 | — | ||||||||||||
Accrued Directors’ Fees and Expenses | 1,000 | 1,000 | 999 | 1,000 | ||||||||||||
Deferred Accrued Directors’ Fees and Expenses | 1,250 | 1,250 | 1,250 | 1,250 | ||||||||||||
Accrued Management Fees | 6,544 | — | 6,890 | 111,727 | ||||||||||||
Accrued Distribution Fees | 781 | 95 | 559 | 6,832 | ||||||||||||
Options Written, at Value (3) | — | — | 75,780 | — | ||||||||||||
Transfer Agent Fees Payable | 3,181 | 3,262 | 3,110 | 4,375 | ||||||||||||
Administration Fee Payable | 3,623 | 4,237 | 3,621 | 8,141 | ||||||||||||
Audit Fees Payable | 13,593 | 10,297 | 13,617 | 16,222 | ||||||||||||
Accounting Fees Payable | 639 | 931 | 759 | 3,523 | ||||||||||||
Custodian Fees Payable | 3,164 | 1,256 | 4,180 | 2,529 | ||||||||||||
Legal Fees Payable | 1,200 | 65 | 35 | 388 | ||||||||||||
Other Accrued Expenses | 1,742 | 1,052 | 191 | 19,627 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 36,717 | 23,445 | 721,023 | 7,456,429 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 10,364,537 | $ | 37,166,648 | $ | 13,544,994 | $ | 183,516,686 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-in Capital | $ | 7,985,067 | $ | 33,115,518 | $ | 13,627,315 | $ | 147,317,650 | ||||||||
Accumulated Earnings (Loss) | 2,379,470 | 4,051,130 | (82,321 | ) | 36,199,036 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 10,364,537 | $ | 37,166,648 | $ | 13,544,994 | $ | 183,516,686 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS ATTRIBUTABLE TO: | ||||||||||||||||
I Class Share | $ | 6,825,708 | $ | 36,714,344 | $ | 9,175,194 | $ | 153,646,644 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | $ | 3,538,829 | $ | 452,304 | $ | 4,369,800 | $ | 29,870,042 | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL SHARES OUTSTANDING: (4) | ||||||||||||||||
I Class Share | 372,753 | 3,005,153 | 828,724 | 6,787,856 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | 193,648 | 37,026 | 395,006 | 1,322,495 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSET VALUE PER SHARE: (5) | ||||||||||||||||
I Class Share | $ | 18.31 | $ | 12.22 | $ | 11.07 | $ | 22.64 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | $ | 18.27 | $ | 12.22 | $ | 11.06 | $ | 22.59 | ||||||||
|
|
|
|
|
|
|
|
(1) | The identified cost for the TCW Artificial Intelligence Equity Fund, the TCW Conservative Allocation Fund, the TCW Global Real Estate Fund and the TCW New America Premier Equities Fund at October 31, 2020 was $7,795,865, $1,278,055, $13,349,780 and $141,862,460, respectively. |
(2) | The identified cost for investments in affiliated issuers of the TCW Conservative Allocation Fund was $31,719,318 . |
(3) | Premium received $67,157. |
(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.
55
Table of Contents
TCW Funds, Inc.
Statements of Assets and Liabilities | October 31, 2020 |
TCW Relative Value Dividend Appreciation Fund | TCW Relative Value Large Cap Fund | TCW Relative Value Mid Cap Fund | TCW Select Equities Fund | |||||||||||||
ASSETS | ||||||||||||||||
Investments, at Value (1) | $ | 208,115,694 | $ | 93,306,107 | $ | 61,828,501 | $ | 795,134,615 | ||||||||
Receivable for Securities Sold | — | — | 463,679 | 1,411,664 | ||||||||||||
Receivable for Fund Shares Sold | 2,697 | 3,249 | 697 | 285,827 | ||||||||||||
Interest and Dividends Receivable | 436,363 | 168,689 | 37,414 | 141,560 | ||||||||||||
Foreign Tax Reclaims Receivable | 127,426 | — | — | — | ||||||||||||
Receivable from Investment Advisor | — | 857 | 5,696 | 15,660 | ||||||||||||
Prepaid Expenses | 12,009 | 11,493 | 19,677 | 22,913 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 208,694,189 | 93,490,395 | 62,355,664 | 797,012,239 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES | ||||||||||||||||
Payable for Securities Purchased | — | 97,494 | 345,591 | 760,302 | ||||||||||||
Payable for Fund Shares Redeemed | 220,084 | 238,924 | 7,806 | 329,233 | ||||||||||||
Accrued Directors’ Fees and Expenses | 1,000 | 1,000 | 1,000 | 1,000 | ||||||||||||
Deferred Accrued Directors’ Fees and Expenses | 1,250 | 1,250 | 1,250 | 1,250 | ||||||||||||
Accrued Management Fees | 124,500 | 52,534 | 38,186 | 461,069 | ||||||||||||
Accrued Distribution Fees | 34,025 | 2,050 | 2,420 | 36,054 | ||||||||||||
Transfer Agent Fees Payable | 5,394 | 4,501 | 4,324 | 8,764 | ||||||||||||
Administration Fee Payable | 9,107 | 6,181 | 5,066 | 21,981 | ||||||||||||
Audit Fees Payable | 18,353 | 18,165 | 17,289 | 18,755 | ||||||||||||
Accounting Fees Payable | 5,827 | 4,428 | 1,836 | 15,090 | ||||||||||||
Custodian Fees Payable | 2,863 | 3,089 | 2,664 | 2,235 | ||||||||||||
Legal Fees Payable | 1,326 | 1,081 | 248 | 2,739 | ||||||||||||
Other Accrued Expenses | 10,992 | 17,625 | 4,949 | 45,928 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 434,721 | 448,322 | 432,629 | 1,704,400 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 208,259,468 | $ | 93,042,073 | $ | 61,923,035 | $ | 795,307,839 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-in Capital | $ | 183,939,238 | $ | 63,346,747 | $ | 50,250,036 | $ | 187,413,546 | ||||||||
Accumulated Earnings (Loss) | 24,320,230 | 29,695,326 | 11,672,999 | 607,894,293 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 208,259,468 | $ | 93,042,073 | $ | 61,923,035 | $ | 795,307,839 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS ATTRIBUTABLE TO: | ||||||||||||||||
I Class Share | $ | 55,325,644 | $ | 83,764,728 | $ | 51,020,629 | $ | 633,682,806 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | $ | 152,933,824 | $ | 9,277,345 | $ | 10,902,406 | $ | 161,625,033 | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL SHARES OUTSTANDING: (2) | ||||||||||||||||
I Class Share | 3,711,587 | 7,725,493 | 2,699,592 | 18,566,617 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | 10,064,360 | 859,429 | 594,397 | 5,396,281 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSET VALUE PER SHARE: (3) | ||||||||||||||||
I Class Share | $ | 14.91 | $ | 10.84 | $ | 18.90 | $ | 34.13 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | $ | 15.20 | $ | 10.79 | $ | 18.34 | $ | 29.95 | ||||||||
|
|
|
|
|
|
|
|
(1) | The identified cost for the TCW Relative Value Dividend Appreciation Fund, the TCW Relative Value Large Cap Fund, the TCW Relative Value Mid Cap Fund and the TCW Select Equities Fund at October 31, 2020 was $175,543,355, $70,005,027, $47,553,129 and $244,439,733, 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.
56
Table of Contents
TCW Funds, Inc.
Statements of Operations | Year Ended October 31, 2020 |
TCW Artificial Intelligence Equity Fund | TCW Conservative Allocation Fund | TCW Global Real Estate Fund | TCW New America Premier Equities Fund | |||||||||||||
INVESTMENT INCOME |
| |||||||||||||||
Income: |
| |||||||||||||||
Dividends | $ | 30,122 | (1) | $ | 19,334 | $ | 162,862 | (1) | $ | 1,578,323 | (1) | |||||
Dividends from Investment in Affiliated Issuers | — | 576,313 | — | — | ||||||||||||
Non-Cash Dividend Income | — | — | 4,859 | 84,265 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | 30,122 | 595,647 | 167,721 | 1,662,588 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: |
| |||||||||||||||
Management Fees | 43,441 | — | 52,410 | 1,212,935 | ||||||||||||
Accounting Services Fees | 3,008 | 4,164 | 3,054 | 16,091 | ||||||||||||
Administration Fees | 13,989 | 16,474 | 14,000 | 34,033 | ||||||||||||
Transfer Agent Fees: |
| |||||||||||||||
I Class | 3,634 | 9,676 | 6,329 | 89,327 | ||||||||||||
N Class | 6,037 | 4,347 | 6,039 | 54,394 | ||||||||||||
Custodian Fees | 12,377 | 4,609 | 14,316 | 11,306 | ||||||||||||
Professional Fees | 22,212 | 17,682 | 22,727 | 29,048 | ||||||||||||
Directors’ Fees and Expenses | 40,697 | 40,697 | 40,696 | 40,697 | ||||||||||||
Registration Fees: |
| |||||||||||||||
I Class | 17,943 | 17,679 | 17,517 | 30,324 | ||||||||||||
N Class | 17,886 | 17,121 | 17,517 | 31,517 | ||||||||||||
Distribution Fees: |
| |||||||||||||||
N Class | 4,595 | 978 | 2,307 | 124,491 | ||||||||||||
Shareholder Reporting Expense | 1,821 | 1,720 | 1,431 | 5,302 | ||||||||||||
Other | 5,669 | 7,413 | 6,953 | 30,468 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | 193,309 | 142,560 | 205,296 | 1,709,933 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||||||
I Class | 83,631 | — | 101,564 | — | ||||||||||||
N Class | 51,989 | 20,951 | 36,833 | 57,046 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Expenses | 57,689 | 121,609 | 66,899 | 1,652,887 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Investment Income (Loss) | (27,567 | ) | 474,038 | 100,822 | 9,701 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON |
| |||||||||||||||
Net Realized Gain (Loss) on: |
| |||||||||||||||
Investments | 5,394 | — | 241,231 | (4,254,788 | ) | |||||||||||
Investments in Affiliated Issuers | — | (266,542 | ) | — | — | |||||||||||
Realized Gain Received as Distribution from Affiliated Issuers | — | 1,044,146 | — | — | ||||||||||||
Foreign Currency | — | — | (8,736 | ) | (76,232 | ) | ||||||||||
Options Written | — | — | (2,122 | ) | — | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||
Investments | 2,054,506 | (67,294 | ) | (708,459 | ) | 22,429,848 | ||||||||||
Investments in Affiliated Issuers | — | 1,050,252 | — | — | ||||||||||||
Options Written | — | — | (8,623 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 2,059,900 | 1,760,562 | (486,709 | ) | 18,098,828 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 2,032,333 | $ | 2,234,600 | $ | (385,887 | ) | $ | 18,108,529 | |||||||
|
|
|
|
|
|
|
|
(1) | Net of foreign taxes withheld of $249, $4,247 and $34,685 for the TCW Artificial Intelligence Equity Fund, the TCW Global Real Estate Fund and the TCW New America Premier Equities Fund, respectively. |
See accompanying Notes to Financial Statements.
57
Table of Contents
TCW Funds, Inc.
Statements of Operations | Year Ended October 31, 2020 |
TCW Relative Value Dividend Appreciation Fund | TCW Relative Value Large Cap Fund | TCW Relative Value Mid Cap Fund | TCW Select Equities Fund | |||||||||||||
INVESTMENT INCOME |
| |||||||||||||||
Income: |
| |||||||||||||||
Dividends | $ | 8,038,237 | (1) | $ | 2,934,797 | $ | 1,201,546 | (1) | $ | 3,978,294 | (1) | |||||
|
|
|
|
|
|
|
| |||||||||
Total | 8,038,237 | 2,934,797 | 1,201,546 | 3,978,294 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: |
| |||||||||||||||
Management Fees | 1,488,797 | 680,474 | 474,493 | 5,393,884 | ||||||||||||
Accounting Services Fees | 14,040 | 5,599 | 6,339 | 51,556 | ||||||||||||
Administration Fees | 37,555 | 23,370 | 20,418 | 99,614 | ||||||||||||
Transfer Agent Fees: |
| |||||||||||||||
I Class | 35,129 | 54,494 | 26,735 | 468,735 | ||||||||||||
N Class | 160,471 | 14,041 | 14,856 | 144,845 | ||||||||||||
Custodian Fees | 10,896 | 12,077 | 11,008 | 8,246 | ||||||||||||
Professional Fees | 30,005 | 29,645 | 29,157 | 42,674 | ||||||||||||
Directors’ Fees and Expenses | 40,697 | 40,697 | 40,697 | 40,697 | ||||||||||||
Registration Fees: |
| |||||||||||||||
I Class | 18,355 | 21,396 | 17,226 | 25,398 | ||||||||||||
N Class | 19,775 | 18,687 | 17,542 | 20,891 | ||||||||||||
Distribution Fees: |
| |||||||||||||||
N Class | 449,134 | 24,153 | 30,365 | 367,494 | ||||||||||||
Shareholder Reporting Expense | 6,601 | 5,821 | 5,834 | 7,326 | ||||||||||||
Other | 42,016 | 26,222 | 17,887 | 107,206 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | 2,353,471 | 956,676 | 712,557 | 6,778,566 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||||||
I Class | 25,021 | 94,752 | 56,638 | — | ||||||||||||
N Class | 187,709 | 39,045 | 54,143 | 109,225 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Expenses | 2,140,741 | 822,879 | 601,776 | 6,669,341 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Investment Income (Loss) | 5,897,496 | 2,111,918 | 599,770 | (2,691,047 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||||||
Net Realized Gain (Loss) on: |
| |||||||||||||||
Investments | (1,561,309 | ) | 10,057,184 | (1,737,138 | ) | 75,147,892 | ||||||||||
Foreign Currency | — | — | — | 5 | ||||||||||||
In-kind Realized Gain/loss | — | — | — | 99,294,343 | ||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||
Investments | (32,819,637 | ) | (20,110,484 | ) | (5,134,498 | ) | 20,731,898 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (34,380,946 | ) | (10,053,300 | ) | (6,871,636 | ) | 195,174,138 | |||||||||
|
|
|
|
|
|
|
| |||||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (28,483,450 | ) | $ | (7,941,382 | ) | $ | (6,271,866 | ) | $ | 192,483,091 | |||||
|
|
|
|
|
|
|
|
(1) | Net of foreign taxes withheld of $83,004, $7,681 and $37,104 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.
58
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Artificial Intelligence Equity Fund | TCW Conservative Allocation Fund | |||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income (Loss) | $ | (27,567 | ) | $ | (5,084 | ) | $ | 474,038 | $ | 591,560 | ||||||
Net Realized Gain (Loss) on Investments | 5,394 | (141,684 | ) | 777,604 | 239,831 | |||||||||||
Net Change in Unrealized Appreciation on Investments | 2,054,506 | 428,628 | 982,958 | 2,089,247 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Operations | 2,032,333 | 281,860 | 2,234,600 | 2,920,638 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions to Shareholders | — | — | (1,914,869 | ) | (1,727,243 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | 2,368,542 | 1,386,913 | 6,821,453 | 460,008 | ||||||||||||
N Class | 2,034,367 | 203,413 | 110,453 | (180,927 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Net Capital Shares Transactions | 4,402,909 | 1,590,326 | 6,931,906 | 279,081 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets | 6,435,242 | 1,872,186 | 7,251,637 | 1,472,476 | ||||||||||||
NET ASSETS | ||||||||||||||||
Beginning of year | 3,929,295 | 2,057,109 | 29,915,011 | 28,442,535 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of year | $ | 10,364,537 | $ | 3,929,295 | $ | 37,166,648 | $ | 29,915,011 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
59
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Global Real Estate Fund | TCW New America Premier Equities Fund | |||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 100,822 | $ | 178,691 | $ | 9,701 | $ | 409,217 | ||||||||
Net Realized Gain (Loss) on Investments, Options Written and Foreign Currency Transactions | 230,373 | (184,624 | ) | (4,331,020 | ) | 406,060 | ||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments and Options Written | (717,082 | ) | 1,098,945 | 22,429,848 | 14,408,007 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | (385,887 | ) | 1,093,012 | 18,108,529 | 15,223,284 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions to Shareholders | (97,923 | ) | (124,197 | ) | (1,541,399 | ) | (479,371 | ) | ||||||||
Return of Capital | (37,297 | ) | — | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (135,220 | ) | (124,197 | ) | (1,541,399 | ) | (479,371 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | 3,064,682 | 2,771,979 | 36,474,946 | 62,944,773 | ||||||||||||
N Class | 3,825,874 | 12,725 | (25,097,539 | ) | 44,518,752 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Net Capital Shares Transactions | 6,890,556 | 2,784,704 | 11,377,407 | 107,463,525 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets | 6,369,449 | 3,753,519 | 27,944,537 | 122,207,438 | ||||||||||||
NET ASSETS | ||||||||||||||||
Beginning of year | 7,175,545 | 3,422,026 | 155,572,149 | 33,364,711 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of year | $ | 13,544,994 | $ | 7,175,545 | $ | 183,516,686 | $ | 155,572,149 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
60
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Relative Value Dividend Appreciation Fund | TCW Relative Value Large Cap Fund | |||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 5,897,496 | $ | 7,656,480 | $ | 2,111,918 | $ | 4,636,579 | ||||||||
Net Realized Gain (Loss) on Investments | (1,561,309 | ) | 17,572,003 | 10,057,184 | 86,920,471 | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments | (32,819,637 | ) | 1,501,702 | (20,110,484 | ) | (68,765,352 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | (28,483,450 | ) | 26,730,185 | (7,941,382 | ) | 22,791,698 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions to Shareholders | (25,577,883 | ) | (32,960,837 | ) | (60,477,632 | ) | (45,947,998 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | (17,011,449 | ) | (8,551,157 | ) | 9,084,745 | (242,502,132 | ) | |||||||||
N Class | (32,303,970 | ) | (179,813,338 | ) | 3,924,831 | (928,537 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | (49,315,419 | ) | (188,364,495 | ) | 13,009,576 | (243,430,669 | ) | |||||||||
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|
|
|
|
|
|
| |||||||||
Decrease in Net Assets | (103,376,752 | ) | (194,595,147 | ) | (55,409,438 | ) | (266,586,969 | ) | ||||||||
NET ASSETS | ||||||||||||||||
Beginning of year | 311,636,220 | 506,231,367 | 148,451,511 | 415,038,480 | ||||||||||||
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| |||||||||
End of year | $ | 208,259,468 | $ | 311,636,220 | $ | 93,042,073 | $ | 148,451,511 | ||||||||
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|
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See accompanying Notes to Financial Statements.
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TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Relative Value Mid Cap Fund | TCW Select Equities Fund | |||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income (Loss) | $ | 599,770 | $ | 684,541 | $ | (2,691,047 | ) | $ | (2,498,777 | ) | ||||||
Net Realized Gain (Loss) on Investments and Foreign Currency Transactions | (1,737,138 | ) | 1,273,615 | 174,442,240 | 89,854,245 | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments | (5,134,498 | ) | 71,228 | 20,731,898 | 63,972,856 | |||||||||||
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|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | (6,271,866 | ) | 2,029,384 | 192,483,091 | 151,328,324 | |||||||||||
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|
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| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions to Shareholders | (2,022,186 | ) | (6,781,513 | ) | (81,574,839 | ) | (117,726,814 | ) | ||||||||
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| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | (6,218,927 | ) | (4,776,594 | ) | (217,705,461 | ) | (566,277 | ) | ||||||||
N Class | (1,968,584 | ) | (2,633,514 | ) | (305,765 | ) | (4,361,095 | ) | ||||||||
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|
|
|
|
|
|
| |||||||||
Decrease in Net Assets Resulting from Net Capital Shares Transactions | (8,187,511 | ) | (7,410,108 | ) | (218,011,226 | ) | (4,927,372 | ) | ||||||||
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|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | (16,481,563 | ) | (12,162,237 | ) | (107,102,974 | ) | 28,674,138 | |||||||||
NET ASSETS | ||||||||||||||||
Beginning of year | 78,404,598 | 90,566,835 | 902,410,813 | 873,736,675 | ||||||||||||
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|
|
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|
|
|
| |||||||||
End of year | $ | 61,923,035 | $ | 78,404,598 | $ | 795,307,839 | $ | 902,410,813 | ||||||||
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|
|
|
|
|
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See accompanying Notes to Financial Statements.
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Table of Contents
TCW Funds, Inc.
Note 1 — Organization
TCW Funds, Inc., a Maryland corporation (the “Company”), is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”), that currently offers 18 no-load mutual funds (each series, a “Fund” and collectively, the “Funds”). TCW Investment Management Company LLC (the “Advisor”) is the investment advisor to and an affiliate of the Funds and is registered under the Investment Advisers Act of 1940, as amended. Each Fund has its own investment objectives and strategies. The following is a brief description of the investment objectives and principal investment strategies for the Funds that are covered in this report:
TCW Fund | Investment Objectives and Principal Investment Strategies | |
Diversified U.S. Equity Fund | ||
TCW Artificial Intelligence Equity Fund | Seeks long term capital appreciation by investing at least 80% of the value of its net assets in publicly traded equity securities of businesses that the portfolio managers believe are benefitting from or have the potential to benefit from advances in the use of artificial intelligence. | |
TCW Global Real Estate Fund | Seeks to maximize total return from current income and long-term capital growth by investing at least 80% of its net assets, plus any borrowings for investment purposes, in equity securities of real estate investment trusts (“REITs”) and real estate companies. Under normal market conditions, the Fund invests in securities of issuers located in at least three different countries (one of which may be the United States) and invests at least 30% of its net assets, plus any borrowings for investment purposes, in securities of issuers domiciled outside the United States or whose primary business operations are outside the United States, including pooled investment vehicles domiciled in the United States that invest principally in non-U.S. securities | |
TCW New America Premier Equities Fund | Seeks to provide long-term capital appreciation by investing at least 80% of the value of its net assets, plus any borrowings for investment purposes, in equity securities of U.S. companies; intends to achieve its objective by investing in a portfolio of companies the portfolio manager believes are enduring, cash generating businesses whose leaders prudently manage their environmental, social, and financial resources and whose shares are attractively valued relative to free cash flow generated by the businesses. | |
TCW Relative Value Dividend Appreciation Fund | Seeks to realize a high level of dividend income consistent with prudent investment management, with secondary objective of capital appreciation, by investing at least 80% of the value of its net assets, plus any borrowings for investment purposes, in equity securities of companies that have a record of paying dividends. |
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TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 1 — Organization (Continued)
TCW Fund | Investment Objectives and Principal Investment Strategies | |
TCW Relative Value Large Cap Fund | Seeks capital appreciation, with a secondary goal of current income, by investing at least 80% of the value of its net assets, plus any borrowings for investment purposes, in equity securities of large capitalization companies (i.e., companies with a market capitalization of greater than $1 billion at the time of purchase). | |
TCW Relative Value Mid Cap Fund | Seeks to provide long-term capital appreciation by investing at least 80% of the value of its net assets, plus any borrowings for investment purposes, in equity securities of mid-capitalization companies (i.e., companies with market capitalizations, at the time of acquisition, within the capitalization range of the companies comprising the Russell MidCap® Index). | |
TCW Select Equities Fund | Seeks to provide long-term capital appreciation by investing at least 80% of its net assets, plus any borrowings for investment purposes, in equity securities. The Fund invests primarily in equity securities of mid- and large-capitalization companies. | |
Fund of Funds | ||
TCW Conservative Allocation Fund | Seeks to provide current income, and secondarily, long-term capital appreciation by investing in a combination of fixed income funds and equity funds that utilize diverse investment styles such as growth and/or value investing. |
All Funds offer two classes of shares: I Class and N Class. The two Classes of a Fund are substantially the same except that the N Class shares are subject to a distribution fee (see Note 7).
The TCW Conservative Allocation Fund is a “fund of funds” that invests in affiliated and unaffiliated funds which are identified on the Schedule of Investments.
Note 2 — Significant Accounting Policies
The following is a summary of significant accounting policies which are in conformity with accounting principles generally accepted in the United States of America (“GAAP”) and which are consistently followed by the Funds in the preparation of their financial statements. Each Fund is considered an investment company under the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) No. 946, Financial Services — Investment Companies. Subsequent events, if any, have been evaluated through the date of issuance in the preparation of the financial statements.
Principles of Accounting: The Funds use the accrual method of accounting for financial reporting purposes.
Net Asset Value: The net asset value (“NAV”) per share of each class of a Fund is determined by dividing the Fund’s net assets attributable to each class by the number of shares issued and outstanding of that class on each day the New York Stock Exchange (“NYSE”) is open for trading.
Security Valuations: Equity securities listed or traded on the NYSE and other stock exchanges are valued at the latest sale price on the exchange. Securities traded on the NASDAQ stock market (“NASDAQ”) are valued using official closing prices as reported by NASDAQ, which may not be the last sale price. Options
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TCW Funds, Inc.
October 31, 2020 |
Note 2 — Significant Accounting Policies (Continued)
on equity securities and options on indexes are valued using mid prices (average of bid and ask prices) as reported by the exchange or pricing service. Investments in open-end mutual funds including money market funds are valued based on the NAV per share as reported by the investment companies. All other securities for which over-the-counter (“OTC”) market quotations are readily available, including short-term securities, are valued with prices furnished by independent pricing services or by broker dealers.
The Company has adopted, after the approval by the Company’s Board of Directors (the “Board” and each member thereof a “Director”), a fair valuation methodology for foreign equity securities (exclusive of certain Latin American and Canadian equity securities). This methodology is designed to address the effect of movements in the U.S. market on the securities traded on foreign exchanges that have been closed for a period of time due to time zones differences. The utilization of the fair value model may result in the adjustment of prices taking into account fluctuations in the U.S. market. The fair value model is utilized each trading day and not dependent on certain thresholds or triggers.
Securities for which market quotations are not readily available, including in circumstances under which it is determined by the Advisor that prices received are not reflective of their market values, are valued by the Advisor’s Pricing Committee in accordance with the guidelines established by the Valuation Committee of the Company’s Board of Directors (the “Board”, and each member thereof, a “Director”) and under the general oversight of the Board.
Fair value is defined as the price that a Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market for the investment. In accordance with the authoritative guidance on fair value measurements and disclosures under GAAP, the Funds disclose investments in their financial statements in a three-tier hierarchy. This hierarchy is utilized to establish classification of fair value measurements based on inputs. Inputs that go into fair value measurement refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the inputs market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
Level 1 — | quoted prices in active markets for identical investments. | |
Level 2 — | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.). | |
Level 3 — | significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments). |
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy. The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
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TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
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:
Equity securities. Securities are generally valued based on quoted prices from the applicable exchange. To the extent these securities are actively traded and valuation adjustments are not applied, they are generally categorized in Level 1 of the fair value hierarchy. Restricted securities issued by publicly held companies are generally categorized in Level 2 of the fair value hierarchy; if a discount is applied and significant, they are categorized in Level 3. Restricted securities held in non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and therefore the inputs are unobservable. Certain foreign securities that are fair valued using a pricing service that considers the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets are categorized in Level 2 of the fair value hierarchy.
Mutual funds. Open-end mutual funds including money market funds are valued using the NAV as reported by the fund companies. As such, they are categorized in Level 1.
Options contracts. Option contracts traded on securities exchanges are fair valued using market mid prices; as such, they are categorized in Level 1. Option contracts traded OTC are fair valued based on pricing models and incorporate various inputs such as interest rate, credit spreads, currency exchange rates and volatility measurements for in-the-money, at-the-money, and out-of-money contracts on a given strike price. To the extent that these inputs are observable and timely, the fair value of OTC option contracts would be categorized in Level 2; otherwise, the fair values would be categorized in Level 3.
Restricted securities. Restricted securities, including illiquid Rule 144A securities, held in non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and therefore, the inputs are unobservable. Any other restricted securities valued similar to publicly traded securities may be categorized in Level 2 or 3 of the fair value hierarchy depending on whether a discount is applied and significant to the fair value.
Warrants. Warrants are generally valued based on quoted prices from the applicable exchange. To the extent these securities are actively traded, and valuation adjustments are not applied, they are generally categorized in Level 1 of the fair value hierarchy.
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TCW Funds, Inc.
October 31, 2020 |
Note 2 — Significant Accounting Policies (Continued)
The summary of the inputs used as of October 31, 2020 in valuing the Funds’ investments is listed after the Schedule of Investments for each Fund.
The Funds held no investments or other financial instruments at October 31, 2020 for which fair value was calculated using Level 3 inputs.
Security Transactions and Related Investment Income: Security transactions are recorded as of the trade date. Dividend income is recorded on the ex-dividend date. Interest income is recognized on an accrual basis. Realized gains and losses on investments are recorded on the basis of specific identification.
Allocation of Operating Activity for Multiple Classes: Investment income, common expenses and realized and unrealized gains and losses are allocated among the share classes of the Funds based on the relative net assets of each class. Distribution fees, which are directly attributable to a class of shares, are charged to the operations of that class. All other expenses are charged to each Fund or class as incurred on a specific identification basis. Differences in class- specific fees and expenses will result in differences in net investment income for each class, and in turn differences in dividends paid by each class.
Dividends and Distributions: Dividends and distributions to shareholders are recorded on the ex-dividend date. The TCW Global Real Estate Fund and the TCW Relative Value Dividend Appreciation Fund declare and pay, or reinvest, dividends from net investment income quarterly. The other Equity Funds and TCW Conservative Allocation Fund declare and pay, or reinvest, dividends from net investment income annually. Capital gains realized by a Fund will be distributed at least annually.
Income and capital gain distributions are determined in accordance with income tax regulations which may differ from GAAP. These differences are primarily due to differing treatments for foreign currency transactions, derivative transactions, market discount and premium, losses deferred due to wash sales, excise tax regulations and employing equalization in determining amounts to be distributed to fund shareholders. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications between paid-in capital, undistributed net investment income (loss), and/or undistributed accumulated realized gain (loss). Undistributed net investment income or loss may include temporary book and tax basis differences which will reverse in subsequent periods. Any taxable income or capital gain remaining at fiscal year-end is distributed in the following year. Distributions received from real estate investment trusts may include return of capital which is treated as a reduction in the cost basis of those investments. Distributions received, if any, in excess of the cost basis of a security is recognized as capital gain.
Use of Estimates: The preparation of the accompanying financial statements requires management to make estimates and assumptions that affect the reported amount of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from these estimates.
Foreign Currency Translation: The books and records of each Fund are maintained in U.S. dollars as follows: (1) 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
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TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
Operations. Pursuant to U.S. federal income tax regulations, certain foreign exchange gains and losses included in realized and unrealized gains and losses are included in, or are a reduction of, ordinary income for federal income tax purposes.
Foreign Taxes: The Funds may be subject to withholding taxes on income and capital gains imposed by certain countries in which they invest. The withholding tax on income is netted against the income accrued or received. Any reclaimable taxes are recorded as income. The withholding tax on realized or unrealized gain is recorded as a liability.
Derivative Instruments: Derivatives are financial instruments which are valued based on the values of one or more indicators, such as a security, asset, currency, interest rate, or index. Derivative transactions can create investment leverage and may be highly volatile. A derivative contract may result in a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. It is possible that a derivative transaction will result in a loss greater than the principal amount invested. The Funds may not be able to close out a derivative transaction at a favorable time or price.
For the year ended October 31, 2020, the TCW Global Real Estate Fund had the following derivatives and transactions in derivatives, grouped in the following risk categories:
Statement of Assets and Liabilities: | Equity Risk | Total | ||||||
Asset Derivatives | ||||||||
Investments (1) | $ | 323,970 | $ | 323,970 | ||||
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|
|
| |||||
Total Value | $ | 323,970 | $ | 323,970 | ||||
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|
|
| |||||
Liability Derivatives | ||||||||
Written Options | $ | (75,780 | ) | (75,780 | ) | |||
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|
|
| |||||
Total Value | $ | (75,780 | ) | $ | (75,780 | ) | ||
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|
|
| |||||
Statement of Operations: |
| |||||||
Net Realized Gain (Loss) |
| |||||||
Investments (2) | $ | 17,467 | $ | 17,467 | ||||
Written Options | (2,122 | ) | (2,122 | ) | ||||
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|
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| |||||
Net Realized Gain (Loss) | $ | 15,345 | $ | 15,345 | ||||
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|
|
| |||||
Net Change in Appreciation (Depreciation) | ||||||||
Investments (3) | $ | 24,047 | $ | 24,047 | ||||
Options Written | (8,623 | ) | (8,623 | ) | ||||
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|
|
| |||||
Net Change in Appreciation (Depreciation) | $ | 15,424 | $ | 15,424 | ||||
|
|
|
| |||||
Number of Contracts (4) |
| |||||||
Options Purchased | 375 | 375 | ||||||
Options Written | 38 | 38 |
(1) | Represents purchased options, at value. |
(2) | Represents realized gain (loss) for purchased options. |
(3) | Represents change in unrealized appreciation (depreciation) for purchased options during the year. |
(4) | Amount disclosed represents average notional amounts which are representative of the volume traded for the year ended October 31, 2020. |
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.
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TCW Funds, Inc.
October 31, 2020 |
Note 2 — Significant Accounting Policies (Continued)
With exchange-traded futures and centrally cleared swaps, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, the credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Funds do not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing
broker’s customers, potentially resulting in losses to the Funds.
For OTC derivatives, the Funds mitigate their counterparty risk by entering into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with each counterparty. An ISDA Master Agreement is a bilateral agreement between the Funds and a counterparty that governs OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Funds may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event a Fund’s net assets declines by a stated percentage or a Fund fails to meet the terms of its ISDA Master Agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.
Collateral requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral pledged or received by a Fund.
Cash collateral that has been pledged to cover obligations of a Fund is reported separately on the Statement of Assets and Liabilities. Non-cash collateral pledged by a Fund, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold, typically $250,000 or $500,000, before a transfer is required, which is determined at the close of each business day and the collateral is transferred on the next business day. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. The Funds attempt to mitigate counterparty risk by entering into agreements only with counterparties that the Advisor believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities. The Funds have implemented the disclosure requirements pursuant to FASB Accounting Standards Update (“ASU”) No. 2013-01, Disclosures about
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TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
Offsetting Assets and Liabilities that requires disclosures to make financial statements that are prepared under GAAP more comparable to those prepared under International Financial Reporting Standards.
Master Agreements and Netting Arrangements. Certain Funds are parties to various agreements, including but not limited to International Swaps and Derivatives Association Agreements and related Credit Support Annex, Master Repurchase Agreements, and Master Securities Forward Transactions Agreements (collectively “Master Agreements”), which govern the terms of certain transactions with select counterparties. These Master Agreements generally include provisions for general obligations, representations, agreements, collateral, and certain events of default or termination. These Master Agreements also include provisions for netting arrangements that help reduce credit and counterparty risk associated with relevant transactions (“netting arrangements”). The netting arrangements are generally tied to credit-related events that, if triggered, would cause an event of default or termination giving a Fund or counterparty the right to terminate early and cause settlement, on a net basis, of all transactions under the applicable Master Agreement. In the event of an early termination as a result of an event of default under the Master Agreement, the total value exposure of all transactions will be offset against collateral exchanged to date, which would result in a net receivable or payable that would be due from or to the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in the event of a bankruptcy or insolvency of the counterparty. Credit related events include, but are not limited to, bankruptcy, failure to make timely payments, restructuring, obligation acceleration, obligation default, a material decline in net assets, decline in credit rating or repudiation/moratorium. Any election made by a counterparty to early terminate the transactions under a Master Agreement could have a material adverse impact on a Fund’s financial statements. A Fund’s overall exposure to credit risk, subject to netting arrangements can change substantially within a short period, as it is affected by each transaction subject to the arrangement.
Master Agreements can also help limit counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under the Master Agreements, collateral is routinely transferred if the total net exposure to certain transactions under the relevant Master Agreement with a counterparty in a given Fund exceeds a specified threshold, net of collateral already in place, typically $250,000 or $500,000 depending on the counterparty and the type of Master Agreement. Collateral under the Master Agreements is usually in the form of cash or U.S. Treasury Bills but could include other types of securities. If permitted under the Master Agreement, certain funds may rehypothecate cash collateral received from a counterparty. The value of all derivative transactions outstanding under a Master Agreement is calculated daily to determine the amount of collateral to be received or pledged by the counterparty. Posting of collateral for OTC derivative transactions are covered under tri-party collateral agreements between the Fund, the Fund’s custodian, and each counterparty. Collateral for centrally cleared derivatives transactions are posted with the applicable derivatives clearing organization.
The Funds had no OTC derivatives for offset under an ISDA Master Agreement as of October 31, 2020.
Note 3 — Portfolio Investments
When-Issued, Delayed-Delivery and Forward Commitment Transactions: The Funds, with the exception of the TCW Conservative Allocation Fund, may enter into when-issued, delayed-delivery, or forward commitment transactions in order to lock in the purchase price of the underlying security or to adjust the interest rate exposure of each Fund’s existing portfolio. In when-issued, delayed-delivery, or forward commitment transactions, a Fund commits to purchase or sell particular securities, with payment and
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TCW Funds, Inc.
October 31, 2020 |
Note 3 — Portfolio Investments (Continued)
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 the Fund’s counterparty fails to deliver a security purchased on a when-issued, delayed-delivery or forward commitment basis, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.
Prior to settlement of these transactions, the value of the subject securities will fluctuate with market conditions. In addition, because a Fund is not required to pay for when-issued, delayed-delivery or forward commitment securities until the delivery date, they may result in a form of leverage to the extent the Fund does not 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. There were no when-issued, delayed-delivery or forward commitment transactions in the Funds during the year ended October 31, 2020.
Repurchase Agreements: The Funds may enter into Repurchase Agreements, under the terms of a Master Repurchase Agreement (“MRA”). In a repurchase agreement, the Funds purchase a security from a counterparty who agrees to repurchase the same security at a mutually agreed upon date and price. The MRA permits each Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from each Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, each Fund receives securities as collateral with a market value in excess of the repurchase price. Upon a bankruptcy or insolvency of the MRA counterparty, the Fund recognizes a liability with respect to such excess collateral to reflect the Fund’s obligation under bankruptcy law to return the excess to the counterparty. There were no repurchase agreements outstanding as of October 31, 2020.
Security Lending: The Funds may lend their securities to qualified brokers. The loans must be collateralized at all times primarily with cash although the Funds can accept money market instruments or U.S. government securities with a market value at least equal to the market value of the securities on loan. As with any extensions of credit, the Funds may bear the risk of delay in recovery or even loss of rights in the collateral if the borrowers of the securities fail financially. The Funds earn additional income for lending their securities by investing the cash collateral in short-term investments. The Funds did not lend any securities during the year ended October 31, 2020.
Derivatives:
Options: The Funds may purchase and sell put and call options on a security or an index of securities to enhance investment performance and or to protect against changes in market prices. The Funds may also enter into currency options to hedge against or to take advantage of currency fluctuations.
A call option gives the holder the right to purchase, and obligates the writer to sell, a security at the strike price at any time before the expiration date. A put option gives the holder the right to sell, and obligates the writer to buy, a security at the exercise price at any time before the expiration date. A Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. A Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If a Fund holds the security underlying the option, the option premium and any
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Note 3 — Portfolio Investments (Continued)
transaction costs will reduce any profit the Fund might have realized had it sold the underlying security instead of buying the put option. A Fund may purchase call options to hedge against an increase in the price of securities that the Fund ultimately wants to buy. A Fund may also purchase a call option as a long directional investment hoping to profit from an anticipated increase in the value of the underlying security. In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit a Fund might have realized had it bought the underlying security at the time it purchased the call option.
Purchasing foreign currency options gives a Fund the right, but not the obligation, to buy or sell specified amounts of currency at a rate of exchange that may be exercised by a certain date. These currency options may be used as a short or long hedge against possible variations in foreign exchange rates or to gain exposure to foreign currencies.
When a Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the underlying security does not rise (in the case of a call) or fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. Premiums paid for purchasing options that expire are treated as realized losses.
Options purchased or sold by a Fund may be traded on a securities or options exchange. Such options typically have minimal exposure to counterparty risk. However, an exchange or market may at times find it necessary to impose restrictions on particular types of options transactions, such as opening transactions. If an underlying security ceases to meet qualifications imposed by an exchange or the Options Clearing Corporation, new series of options on that security will no longer be opened to replace the expiring series, and opening transactions in existing series may be prohibited.
OTC options are options not traded on exchanges or backed by clearinghouses. Rather, they are entered into directly between a Fund and the counterparty to the option. In the case of an OTC option purchased by a Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result a Fund may be required to remain obligated on an unfavorable OTC option until its expiration.
During the year ended October 31, 2020, TCW Global Real Estate Fund entered into option contracts to hedge the Fund’s investments from market volatility in the real estate sector.
Note 4 — Risk Considerations
Market Risk: The Funds’ investments will fluctuate with market conditions, so will the value of your investment in the Funds. You could lose money on your investment in the Funds or the Funds could underperform other investments.
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
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Note 4 — Risk Considerations (Continued)
144A securities may be considered illiquid investments. The Funds may invest in private placements and Rule 144A securities.
Counterparty Risk: The Funds may be exposed to counterparty risk, the risk that an entity with which the Funds have unsettled or open transactions may not fulfill its obligations.
Investment Style Risk: Certain Funds may also be subject to investment style risk. The Advisor’s investment styles may be out of favor at times or may not produce the best results over short or longer time periods and may increase the volatility of a Fund’s share price.
Equity Risk: Equity securities may include common stock, preferred stock or other securities representing an ownership interest or the right to acquire an ownership interest in an issuer. Equity risk is the risk that stocks and other equity securities generally fluctuate in value more than bonds and can decline in value over short or extended periods. The value of stocks and other equity securities will be affected by changes in a company’s financial condition and in overall market, economic and political conditions.
LIBOR Risk: The London Interbank Offered Rate (“LIBOR”) historically has been and currently is used extensively in the U.S. and globally as a “benchmark” or “reference rate” for various commercial and financial contracts, including corporate and municipal bonds, bank loans, asset-backed and mortgage-related securities, interest rate swaps and other derivatives. For example, debt securities in which a Fund invests may pay interest at floating rates based on LIBOR or may be subject to interest caps or floors based on LIBOR. A Fund’s derivative investments may also reference LIBOR. In July 2017, the head of the United Kingdom Financial Conduct Authority announced the intention to phase out the use of LIBOR by the end of 2021. There is currently no definitive information regarding the future utilization of LIBOR or of any particular replacement reference rate. Abandonment of or modifications to LIBOR could have adverse impacts on newly issued financial instruments and existing financial instruments that reference LIBOR. The expected discontinuation of LIBOR could have a significant impact on the financial markets and may present a material risk for certain market participants, including investment companies such as the Funds. Abandonment of or modifications to LIBOR could lead to significant short- and long term uncertainty and market instability. The risks associated with this discontinuation and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. It remains uncertain how such changes would be implemented and the effects such changes would have on the Funds, issuers of instruments in which the Funds invest, and the financial markets generally.
Public Health Emergencies Risk and Impact of the Coronavirus (COVID-19): Pandemics and other local, national, and international public health emergencies, including outbreaks of infectious diseases such as SARS, H1N1/09 Flu, the Avian Flu, Ebola and the current outbreak of the novel coronavirus (“COVID-19”), can result, and in the case of COVID-19 is resulting, in market volatility and disruption, and any similar future emergencies may materially and adversely impact economic production and activity in ways that cannot be predicted, all of which could result in substantial investment losses.
The World Health Organization officially declared in March 2020 that the COVID-19 outbreak formally constitutes a “pandemic.” This outbreak has caused a worldwide public health emergency, straining healthcare resources and resulting in extensive and growing numbers of infections, hospitalizations and deaths. In an effort to contain COVID-19, local, regional, and national governments, as well as private businesses and other organizations, have imposed and continue to impose severely restrictive measures,
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Notes to Financial Statements (Continued)
Note 4 — Risk Considerations (Continued)
including instituting local and regional quarantines, restricting travel (including closing certain international borders), prohibiting public activity (including “stay-at-home,” “shelter-in-place,” and similar orders), and ordering the closure of a wide range of offices, businesses, schools, and other public venues. Consequently, COVID-19 has significantly diminished and disrupted global economic production and activity of all kinds and has contributed to both volatility and a severe decline in financial markets. Among other things, these unprecedented developments have resulted in: (i) material reductions in demand across most categories of consumers and businesses; (ii) dislocation (or, in some cases, a complete halt) in the credit and capital markets; (iii) labor force and operational disruptions; (iv) slowing or complete idling of certain supply chains and manufacturing activity; and (v) strain and uncertainty for businesses and households, with a particularly acute impact on industries dependent on travel and public accessibility, such as transportation, hospitality, tourism, retail, sports, and entertainment.
The ultimate impact of COVID-19 (and of the resulting precipitous decline and disruption in economic and commercial activity across many of the world’s economies) on global economic conditions, and on the operations, financial condition, and performance of any particular market, industry or business, is impossible to predict. However, ongoing and potential additional materially adverse effects, including further global, regional and local economic downturns (including recessions) of indeterminate duration and severity, are possible. The extent of COVID-19’s impact will depend on many factors, including the ultimate duration and scope of the public health emergency and the restrictive countermeasures being undertaken, as well as the effectiveness of other governmental, legislative, and financial and monetary policy interventions designed to mitigate the crisis and address its negative externalities, all of which are evolving rapidly and may have unpredictable results. Even if COVID-19’s spread is substantially contained, it will be difficult to assess what the longer-term impacts of an extended period of unprecedented economic dislocation and disruption will be on future economic developments, the health of certain markets, industries and businesses, and commercial and consumer behavior.
The ongoing COVID-19 crisis and any other public health emergency could have a significant adverse impact on our investments and result in significant investment losses. The extent of the impact on business operations and performance of market participants and the companies in which we invest depends and will continue to depend on many factors, virtually all of which are highly uncertain and unpredictable, and this impact may include or lead to: (i) significant reductions in revenue and growth; (ii) unexpected operational losses and liabilities; (iii) impairments to credit quality; and (iv) reductions in the availability of capital. These same factors may limit the ability to source, research, and execute new investments, as well as to sell investments in the future, and governmental mitigation actions may constrain or alter existing financial, legal, and regulatory frameworks in ways that are adverse to the investment strategies we intend to pursue, all of which could materially diminish our ability to fulfill investment objectives. They may also impair the ability of the companies in which we invest or their counterparties to perform their respective obligations under debt instruments and other commercial agreements (including their ability to pay obligations as they become due), potentially leading to defaults with uncertain consequences, including the potential for defaults by borrowers under debt instruments held in a client’s portfolio. In addition, an extended period of remote working by the employees of the companies in which we invest subjects those companies to additional operational risks, including heightened cybersecurity risk. Remote working environments may be less secure and more susceptible to cyberattacks that seek to exploit the COVID-19 pandemic, and the operational damage of any such events could potentially disrupt our business and reduce the value of our investments. The operations of
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October 31, 2020
Note 4 — Risk Considerations (Continued)
securities markets may also be significantly impacted, or even temporarily or permanently halted, as a result of government quarantine measures, restrictions on travel and movement, remote-working requirements, and other factors related to a public health emergency, including the potential adverse impact on the health of any such entity’s personnel. These measures may also hinder normal business operations by impairing usual communication channels and methods, hampering the performance of administrative functions such as processing payments and invoices, and diminishing the ability to make accurate and timely projections of financial performance. Because our ability to execute transactions on behalf of the Funds is dependent upon the timely performance of multiple third parties, any interruptions in the business operations of those third parties could impair our ability to effectively implement a Fund’s investment strategies.
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 customer service at 1-800-FUND-TCW (1-800-386-3829).
Note 5 — Federal Income Taxes
It is the policy of each Fund to comply with the requirements under Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its net taxable income, including any net realized gains on investments, to its shareholders. Therefore, no federal income tax provision is required.
At October 31, 2020, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Gain | Total Distributable Earnings | ||||||||||
TCW Conservative Allocation Fund | $ | — | $ | 207,946 | $ | 207,946 | ||||||
TCW Relative Value Dividend Appreciation Fund | 501,037 | — | 501,037 | |||||||||
TCW Relative Value Large Cap Fund | 1,552,259 | 6,832,662 | 8,384,921 | |||||||||
TCW Relative Value Mid Cap Fund | 83,267 | — | 83,267 | |||||||||
TCW Select Equities Fund | — | 59,130,584 | 59,130,584 |
At the end of the previous fiscal year ended October 31, 2019, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Gain | Total Distributable Earnings | ||||||||||
TCW Conservative Allocation Fund | $ | 443,446 | $ | 237,494 | $ | 680,940 | ||||||
TCW Global Real Estate Fund | 65,230 | — | 65,230 | |||||||||
TCW New America Premier Equities Fund | 544,514 | 575,388 | 1,119,902 | |||||||||
TCW Relative Value Dividend Appreciation Fund | 618,956 | 19,573,203 | 20,192,159 | |||||||||
TCW Relative Value Large Cap Fund | 3,359,621 | 56,558,431 | 59,918,052 | |||||||||
TCW Relative Value Mid Cap Fund | 139,532 | 1,374,491 | 1,514,023 | |||||||||
TCW Select Equities Fund | — | 81,572,707 | 81,572,707 |
Permanent differences incurred during the year ended October 31, 2020, resulting from differences in book and tax accounting, have been reclassified at year-end between undistributed net investment income (loss),
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Note 5 — Federal Income Taxes (Continued)
undistributed (accumulated) net realized gain (loss) and paid-in capital as follows, with no impact to the net asset value per share:
Undistributed Net Investment Income (Loss) | Undistributed Accumulated Net Realized Gain (Loss) | Paid-in Capital | ||||||||||
TCW Artificial Intelligence Equity Fund | $ | 5,911 | $ | — | $ | (5,911 | ) | |||||
TCW Conservative Allocation Fund | 759,778 | (766,731 | ) | 6,953 | ||||||||
TCW Global Real Estate Fund | 15,586 | 2,804 | (18,390 | ) | ||||||||
TCW New America Premier Equities Fund | (201,266 | ) | 204,708 | (3,442 | ) | |||||||
TCW Relative Value Dividend Appreciation Fund | (11,722 | ) | 11,722 | — | ||||||||
TCW Relative Value Large Cap Fund | (872 | ) | (2,379,803 | ) | 2,380,675 | |||||||
TCW Relative Value Mid Cap Fund | (8,481 | ) | 8,481 | — | ||||||||
TCW Select Equities Fund | 3,042,599 | (115,242,498 | ) | 112,199,899 |
During the year ended October 31, 2020, the tax character of distributions paid was as follows:
Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distributions | |||||||||||||
TCW Conservative Allocation Fund | $ | 952,066 | $ | 962,803 | $ | — | $ | 1,914,869 | ||||||||
TCW Global Real Estate Fund | 97,923 | — | 37,297 | 135,220 | ||||||||||||
TCW New America Premier Equities Fund | 966,007 | 575,392 | — | 1,541,399 | ||||||||||||
TCW Relative Value Dividend Appreciation Fund | 6,004,680 | 19,573,203 | — | 25,577,883 | ||||||||||||
TCW Relative Value Large Cap Fund | 3,918,408 | 56,559,224 | — | 60,477,632 | ||||||||||||
TCW Relative Value Mid Cap Fund | 647,695 | 1,374,491 | — | 2,022,186 | ||||||||||||
TCW Select Equities Fund | — | 81,574,839 | — | 81,574,839 |
During the prior fiscal year ended October 31, 2019, the tax character of distributions paid was as follows:
Ordinary Income | Long-Term Capital Gain | Total Distributions | ||||||||||
TCW Conservative Allocation Fund | $ | 499,394 | $ | 1,228,449 | $ | 1,727,843 | ||||||
TCW Global Real Estate Fund | 124,198 | — | 124,198 | |||||||||
TCW New America Premier Equities Fund | 182,613 | 296,757 | 479,370 | |||||||||
TCW Relative Value Dividend Appreciation Fund | 7,540,920 | 25,419,917 | 32,960,837 | |||||||||
TCW Relative Value Large Cap Fund | 6,198,135 | 39,749,863 | 45,947,998 | |||||||||
TCW Relative Value Mid Cap Fund | 543,644 | 6,237,869 | 6,781,513 | |||||||||
TCW Select Equities Fund | — | 117,726,514 | 117,726,514 |
At October 31, 2020, net unrealized appreciation (depreciation) on investments for federal income tax purposes was as follows:
Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | Cost of Investments for Federal Income Tax Purposes | |||||||||||||
TCW Artificial Intelligence Equity Fund | $ | 2,554,199 | $ | (41,442 | ) | $ | 2,512,757 | $ | 7,838,491 | |||||||
TCW Conservative Allocation Fund | 4,150,008 | (306,822 | ) | 3,843,186 | 33,256,464 | |||||||||||
TCW Global Real Estate Fund | 599,924 | (250,303 | ) | 349,621 | 13,529,830 | |||||||||||
TCW New America Premier Equities Fund | 41,734,342 | (891,687 | ) | 40,842,655 | 142,492,457 | |||||||||||
TCW Relative Value Dividend Appreciation Fund | 45,871,296 | (18,859,041 | ) | 27,012,255 | 181,103,439 | |||||||||||
TCW Relative Value Large Cap Fund | 25,854,008 | (4,543,601 | ) | 21,310,407 | 71,995,701 | |||||||||||
TCW Relative Value Mid Cap Fund | 17,525,191 | (3,957,087 | ) | 13,568,104 | 48,260,397 | |||||||||||
TCW Select Equities Fund | 552,613,058 | (1,974,641 | ) | 550,638,417 | 244,496,198 |
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Note 5 — Federal Income Taxes (Continued)
At October 31, 2020, the following Funds had net realized loss carryforwards for federal income tax purposes:
Short-Term Capital Losses | Long-Term Capital Losses | Total | ||||||||||
TCW Artificial Intelligence Equity Fund | $ | 104,258 | $ | — | $ | 104,258 | ||||||
TCW Global Real Estate Fund | 423,497 | — | 423,497 | |||||||||
TCW New America Premier Equities Fund | 4,031,313 | — | 4,031,313 | |||||||||
TCW Relative Value Dividend Appreciation Fund | 3,193,061 | — | 3,193,061 | |||||||||
TCW Relative Value Mid Cap Fund | 1,978,376 | — | 1,978,376 |
The Funds did not have any unrecognized tax benefits at October 31, 2020, nor were there any increases or decreases in unrecognized tax benefits for the year ended October 31, 2020. The Funds are subject to examination by the U.S. Federal and state tax authorities for returns filed for the prior three and four fiscal years, respectively.
Note 6 — Fund Management Fees and Other Expenses
The Funds pay to the Advisor, as compensation for services rendered, facilities furnished and expenses borne by it, the following annual management fees as a percentage of daily net assets:
TCW Artificial Intelligence Equity Fund | 0.70 | % | ||
TCW Global Real Estate Fund | 0.80 | % | ||
TCW New America Premier Equities Fund | 0.65 | % | ||
TCW Relative Value Dividend Appreciation Fund | 0.60 | % | ||
TCW Relative Value Large Cap Fund | 0.60 | % | ||
TCW Relative Value Mid Cap Fund | 0.70 | % | ||
TCW Select Equities Fund | 0.65 | % |
The TCW Conservative Allocation Fund does not pay management fees to the Advisor; however, the Fund pays management fees to the Advisor indirectly as a shareholder in the underlying affiliated funds.
The Advisor limits the operating expenses of the Funds not to exceed the following expense ratios relative to the Funds’ average daily net assets:
TCW Artificial Intelligence Equity Fund | ||||
I Class | 0.90 | % (1) | ||
N Class | 1.00 | % (1) | ||
TCW Conservative Allocation Fund | ||||
I Class | 0.85 | % (1) | ||
N Class | 0.85 | % (1) | ||
TCW Global Real Estate Fund | ||||
I Class | 1.00 | % (1) | ||
N Class | 1.15 | % (1) | ||
TCW New America Premier Equities Fund | ||||
I Class | 1.10 | % (2) | ||
N Class | 1.10 | % (2) | ||
TCW Relative Value Dividend Appreciation Fund | ||||
I Class | 0.70 | % (1) | ||
N Class | 0.90 | % (1) | ||
TCW Relative Value Large Cap Fund | ||||
I Class | 0.70 | % (1) | ||
N Class | 0.90 | % (1) |
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Note 6 — Fund Management Fees and Other Expenses (Continued)
TCW Relative Value Mid Cap Fund | ||||
I Class | 0.85 | % (1) | ||
N Class | 0.95 | % (1) | ||
TCW Select Equities Fund | ||||
I Class | 0.80 | % (1) | ||
N Class | 1.00 | % (1) |
(1) | These limitations are based on an agreement between the Advisor and the Company. |
(2) | Limitation based on average expense ratio as reported by Lipper, Inc., which is subject to change on a monthly basis. This ratio was in effect as of October 31, 2020. These limitations are voluntary and terminable in a six months’ notice. |
These ratios were in effect from November 1, 2019 through February 29, 2020.
TCW Relative Value Dividend Appreciation Fund |
| |||
I Class | 0.73 | % | ||
N Class | 0.95 | % | ||
TCW Relative Value Large Cap Fund |
| |||
I Class | 0.72 | % | ||
N Class | 0.95 | % | ||
TCW Relative Value Mid Cap Fund |
| |||
I Class | 0.90 | % | ||
N Class | 1.00 | % |
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 recapture expenses only within a given fiscal year for that year’s operating expenses.
Directors’ Fees: Directors who are not affiliated with the Advisor receive compensation from the Funds which are shown on the Statement of Operations. Directors may elect to defer receipt of their fees in accordance with the terms of a Non-Qualified Deferred Compensation Plan. Deferred compensation is included within directors’ fees and expenses in the Statements of Assets and Liabilities.
Note 7 — Distribution Plan
TCW Funds Distributors LLC (“Distributor”), an affiliate of the Advisor and the Funds, serves as the nonexclusive distributor of each class of the Funds’ shares. The Funds have a distribution plan pursuant to Rule 12b-1 under the 1940 Act with respect to the N Class shares of each Fund. Under the terms of the plan, each Fund compensates the Distributor at a rate equal to 0.25% of the average daily net assets of the Fund attributable to its N Class shares for distribution and related services.
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October 31, 2020
Note 8 — Transactions with Affiliates
The ownership percentage of the TCW Conservative Allocation Fund in each of the affiliated underlying funds at October 31, 2020 is as follows:
Name of Affiliated Fund | Ownership Percentage (1) | |||
Metropolitan West High Yield Bond Fund | 0.06 | % | ||
Metropolitan West Low Duration Bond Fund | 0.09 | % | ||
Metropolitan West Total Return Bond Fund | 0.01 | % | ||
Metropolitan West Unconstrained Bond Fund | 0.21 | % | ||
TCW Emerging Markets Income Fund | 0.01 | % | ||
TCW Global Bond Fund | 4.24 | % | ||
TCW Global Real Estate Fund | 11.62 | % | ||
TCW New America Premier Equities Fund | 3.30 | % | ||
TCW Relative Value Large Cap Fund | 2.16 | % | ||
TCW Relative Value Mid Cap Fund | 0.52 | % | ||
TCW Select Equities Fund | 0.60 | % | ||
TCW Total Return Bond Fund | 0.06 | % |
(1) | Percentage ownership based on total net assets of the underlying fund. |
The financial statements of the Funds not contained in this report are available by calling 800-FUND-TCW (800-386-3829) or by going to the SEC website at www.sec.gov.
Note 9 — Purchases and Sales of Securities
Investment transactions (excluding short-term investments) for the year ended October 31, 2020 were as follows:
Purchases at Cost | Sales or Maturity Proceeds | U.S. Government Purchases at Cost | U.S. Government Sales or Maturity Proceeds | |||||||||||||
TCW Artificial Intelligence Equity Fund | $ | 5,543,097 | $ | 1,431,429 | $ | — | $ | — | ||||||||
TCW Conservative Allocation Fund | 14,088,510 | 7,955,666 | — | — | ||||||||||||
TCW Global Real Estate Fund | 14,919,201 | 8,964,728 | — | — | ||||||||||||
TCW New America Premier Equities Fund | 177,743,830 | 158,079,928 | — | — | ||||||||||||
TCW Relative Value Dividend Appreciation Fund | 48,366,495 | 115,220,676 | — | — | ||||||||||||
TCW Relative Value Large Cap Fund | 35,069,417 | 78,139,808 | — | — | ||||||||||||
TCW Relative Value Mid Cap Fund | 28,097,952 | 36,354,471 | — | — | ||||||||||||
TCW Select Equities Fund | 33,649,318 | 138,771,046 | — | — |
During the year ended October 31, 2020, the TCW Select Equities Fund delivered securities in exchange for shares redeemed by a shareholder in an in-kind redemption valued at $192,760,534 on the date of transfer. The shareholder is a nonaffiliate of the Advisor. For financial reporting purposes, the Fund recognizes a gain or loss on the transfer of securities; however, the gain or loss is not recognized for tax purposes and is reclassified from undistributed realized gain (loss) to paid-in capital. The Fund realized $99,294,343 net gain attributable to the in-kind redemption.
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Note 10 — Capital Share Transactions
Transactions in each Fund’s shares were as follows:
TCW Artificial Intelligence Equity Fund | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||
I Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 380,921 | $ | 6,163,899 | 145,852 | $ | 1,828,385 | ||||||||||
Shares Issued upon Reinvestment of Dividends | — | — | — | — | ||||||||||||
Shares Redeemed | (239,602 | ) | (3,795,357 | ) | (36,510 | ) | (441,472 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 141,319 | $ | 2,368,542 | 109,342 | $ | 1,386,913 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 163,420 | $ | 2,761,039 | 27,842 | $ | 349,289 | ||||||||||
Shares Issued upon Reinvestment of Dividends | — | — | — | — | ||||||||||||
Shares Redeemed | (47,702 | ) | (726,672 | ) | (11,932 | ) | (145,876 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 115,718 | $ | 2,034,367 | 15,910 | $ | 203,413 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Conservative Allocation Fund | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||
I Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 776,254 | $ | 9,358,826 | 91,375 | $ | 1,067,893 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 161,527 | 1,860,793 | 155,645 | 1,670,629 | ||||||||||||
Shares Redeemed | (377,533 | ) | (4,398,166 | ) | (193,887 | ) | (2,278,514 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 560,248 | $ | 6,821,453 | 53,133 | $ | 460,008 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 24,005 | $ | 283,173 | 4,184 | $ | 49,644 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,926 | 22,240 | 2,560 | 27,777 | ||||||||||||
Shares Redeemed | (17,894 | ) | (194,960 | ) | (22,125 | ) | (258,348 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 8,037 | $ | 110,453 | (15,381 | ) | $ | (180,927 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Global Real Estate Fund | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||
I Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 395,732 | $ | 4,486,776 | 294,477 | $ | 2,959,883 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 10,694 | 117,234 | 10,892 | 107,612 | ||||||||||||
Shares Redeemed | (161,678 | ) | (1,539,328 | ) | (31,703 | ) | (295,516 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 244,748 | $ | 3,064,682 | 273,666 | $ | 2,771,979 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 336,584 | $ | 3,831,300 | 9 | $ | 100 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,410 | 15,470 | 1,433 | 13,771 | ||||||||||||
Shares Redeemed | (1,925 | ) | (20,896 | ) | (108 | ) | (1,146 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 336,069 | $ | 3,825,874 | 1,334 | $ | 12,725 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW New America Premier Equities Fund | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||
I Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 4,458,919 | $ | 92,791,854 | 4,115,075 | $ | 77,881,802 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 47,686 | 1,009,510 | 26,097 | 394,790 | ||||||||||||
Shares Redeemed | (2,804,515 | ) | (57,326,418 | ) | (806,311 | ) | (15,331,819 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 1,702,090 | $ | 36,474,946 | 3,334,861 | $ | 62,944,773 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 1,485,275 | $ | 31,087,553 | 2,893,815 | $ | 57,027,756 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 21,947 | 464,614 | 5,126 | 77,506 | ||||||||||||
Shares Redeemed | (2,752,069 | ) | (56,649,706 | ) | (631,500 | ) | (12,586,510 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (1,244,847 | ) | $ | (25,097,539 | ) | 2,267,441 | $ | 44,518,752 | ||||||||
|
|
|
|
|
|
|
|
80
Table of Contents
TCW Funds, Inc.
October 31, 2020
Note 10 — Capital Share Transactions (Continued)
TCW Relative Value Dividend Appreciation Fund | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||
I Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 209,380 | $ | 3,207,634 | 504,129 | $ | 8,511,269 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 415,359 | 7,006,552 | 414,078 | 6,432,972 | ||||||||||||
Shares Redeemed | (1,841,949 | ) | (27,225,635 | ) | (1,433,844 | ) | (23,495,398 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (1,217,210 | ) | $ | (17,011,449 | ) | (515,637 | ) | $ | (8,551,157 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 174,861 | $ | 2,734,400 | 319,044 | $ | 5,511,987 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,050,840 | 18,014,759 | 1,656,828 | 25,982,155 | ||||||||||||
Shares Redeemed | (3,403,875 | ) | (53,053,129 | ) | (12,869,283 | ) | (211,307,480 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (2,178,174 | ) | $ | (32,303,970 | ) | (10,893,411 | ) | $ | (179,813,338 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
TCW Relative Value Large Cap Fund | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||
I Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 3,028,924 | $ | 37,868,811 | 1,830,874 | $ | 31,978,587 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 4,126,933 | 51,339,036 | 2,767,903 | 43,456,077 | ||||||||||||
Shares Redeemed | (6,756,746 | ) | (80,123,102 | ) | (17,557,586 | ) | (317,936,796 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 399,111 | $ | 9,084,745 | (12,958,809 | ) | $ | (242,502,132 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 310,191 | $ | 4,490,483 | 65,333 | $ | 1,163,632 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 425,019 | 5,265,990 | 89,401 | 1,400,709 | ||||||||||||
Shares Redeemed | (495,293 | ) | (5,831,642 | ) | (193,899 | ) | (3,492,878 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 239,917 | $ | 3,924,831 | (39,165 | ) | $ | (928,537 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Relative Value Mid Cap Fund | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||
I Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 241,604 | $ | 4,126,223 | 240,142 | $ | 4,861,204 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 72,767 | 1,634,356 | 304,588 | 5,400,645 | ||||||||||||
Shares Redeemed | (651,699 | ) | (11,979,506 | ) | (740,307 | ) | (15,038,443 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (337,328 | ) | $ | (6,218,927 | ) | (195,577 | ) | $ | (4,776,594 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 21,051 | $ | 408,055 | 34,016 | $ | 679,337 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 15,774 | 344,185 | 71,892 | 1,238,703 | ||||||||||||
Shares Redeemed | (148,958 | ) | (2,720,824 | ) | (225,969 | ) | (4,551,554 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (112,133 | ) | $ | (1,968,584 | ) | (120,061 | ) | $ | (2,633,514 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
TCW Select Equities Fund | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||
I Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 3,966,217 | $ | 111,371,496 | 3,290,816 | $ | 83,826,396 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,905,156 | 52,239,394 | 3,365,894 | 73,073,756 | ||||||||||||
Shares Redeemed | (15,162,850 | ) | (381,316,351 | ) | (6,094,637 | ) | (157,466,429 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (9,291,477 | ) | $ | (217,705,461 | ) | 562,073 | $ | (566,277 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 795,528 | $ | 20,070,967 | 855,977 | $ | 20,126,165 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 524,250 | 12,639,676 | 966,328 | 18,698,643 | ||||||||||||
Shares Redeemed | (1,305,237 | ) | (33,016,408 | ) | (1,855,073 | ) | (43,185,903 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 14,541 | $ | (305,765 | ) | (32,768 | ) | $ | (4,361,095 | ) | |||||||
|
|
|
|
|
|
|
|
81
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 11 — Ownership
As of October 31, 2020, affiliates of the Funds and Advisor owned 47.29%, 76.34%, 9.54% and 26.96% of the net assets of the TCW Artificial Intelligence Equity Fund, the TCW Global Real Estate Fund, the TCW Relative Value Large Cap Fund, and the TCW Relative Value Mid Cap Fund, respectively.
Note 12 — Restricted Securities
The Funds are permitted to invest in securities that have legal or contractual restrictions on resale. These securities may be sold privately, but are required to be registered before being sold to the public (exemption rules apply). Private placement securities are generally considered to be restricted except for those securities traded between qualified institutional investors under the provisions of Rule 144A of the Securities Act of 1933 (the “Securities Act”). However, the Company considers 144A securities to be restricted if those securities have been deemed illiquid. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. There were no restricted securities held by the Funds at October 31, 2020.
Note 13 — 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 year ended October 31, 2020. The Funds pay the Bank a commitment fee equal to 0.25% per annum on the daily unused portion of the committed line amount. The commitment fees incurred by the Funds are presented in the Statements of Operations. The commitment fees are allocated to each applicable portfolio in proportion to its relative average daily net assets and the interest expenses are charged directly to the applicable portfolio.
Note 14 — Indemnifications
Under the Company’s organizational documents, its Officers and Directors may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Company. In addition, the Company entered into an agreement with each of the Directors which provides that the Company will indemnify and hold harmless each Director against any expenses actually and reasonably incurred by any Director in any proceeding arising out of or in connection with the Director’s services to the Company, to the fullest extent permitted by the Company’s Articles of Incorporation and By-Laws, the Maryland General Corporation Law, the Securities Act, and the 1940 Act, each as now or hereinafter in force. Additionally, in the normal course of business, the Company enters into agreements with service providers that may contain indemnification clauses. The Company’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Company that have not yet occurred. However, based on experience, the Company expects the risk of loss to be remote. The Company has not accrued any liability in connection with such indemnification.
Note 15 — New Accounting Pronouncement
In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2020-04, Reference Rate Reform (Topic 848) - Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in the ASU provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (LIBOR) and other interbank offered reference rates as of the end of
82
Table of Contents
TCW Funds, Inc.
October 31, 2020
Note 15 — New Accounting Pronouncement (Continued)
2021. The ASU is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management has reviewed the requirements and believes the adoption of this ASU will not have a material impact on the financial statements.
In October 2020, FASB issued Accounting Standards Update No. 2020-08 (“ASU 2020-08”), “Receivables - Nonrefundable Fees and Other Costs (Codification Improvements Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities”. ASU 2020-08 is an update of ASU No. 2017-08, which amends the amortization period of certain purchased callable debt securities held at a premium. ASU 2020-08 updates the amortization period for callable debt securities to be amortized to the next call date. For purposes of this update, the next call date is the first date when a call option at a specified price becomes exercisable. Once that date has passed, the next call date is when the next call option at a specified price becomes exercisable, if applicable. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2020. Management has evaluated the implication of the additional disclosure requirement and determined that there is no impact to the Funds’ financial statements.
83
Table of Contents
TCW Artificial Intelligence Equity Fund
Financial Highlights — I Class
Year Ended October 31, | August 31, 2017 (Commencement of Operations) through October 31, 2017 | |||||||||||||||
2020 | 2019 | 2018 | ||||||||||||||
Net Asset Value per Share, Beginning of year | $ | 12.70 | $ | 11.18 | $ | 10.64 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||
Net Investment Loss | (0.06 | ) | (0.02 | ) | (0.04 | ) | (0.00 | ) (1) | ||||||||
Net Realized and Unrealized Gain on Investments (2) | 5.67 | 1.54 | 0.58 | 0.64 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from Investment Operations | 5.61 | 1.52 | 0.54 | 0.64 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Distributions: |
| |||||||||||||||
Distributions from Net Investment Income | — | — | (0.00 | ) (1) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Asset Value per Share, End of year | $ | 18.31 | $ | 12.70 | $ | 11.18 | $ | 10.64 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Return | 44.17 | % | 13.60 | % | 5.09 | % | 6.40 | % (3) | ||||||||
Ratios/Supplemental Data: |
| |||||||||||||||
Net Assets, End of year (in thousands) | $ | 6,826 | $ | 2,940 | $ | 1,364 | $ | 695 | ||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||
Before Expense Reimbursement | 2.81 | % | 6.36 | % | 8.32 | % | 23.66 | % (4) | ||||||||
After Expense Reimbursement | 0.90 | % | 0.92 | % | 1.05 | % | 1.05 | % (4) | ||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | (0.41 | )% | (0.17 | )% | (0.34 | )% | 0.23 | % (4) | ||||||||
Portfolio Turnover Rate | 24.16 | % | 61.09 | % | 74.22 | % | 13.05 | % (3) |
(1) | Amount rounds to less than $0.01 per share. |
(2) | Computed using average shares outstanding throughout the period. |
(3) | For the period August 31, 2017 (Commencement of Operations) through October 31, 2017. |
(4) | Annualized. |
See accompanying Notes to Financial Statements.
84
Table of Contents
TCW Artificial Intelligence Equity Fund
Financial Highlights — N Class
Year Ended October 31, | August 31, 2017 (Commencement of Operations) through October 31, 2017 | |||||||||||||||
2020 | 2019 | 2018 | ||||||||||||||
Net Asset Value per Share, Beginning of year | $ | 12.69 | $ | 11.17 | $ | 10.64 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||
Net Investment Loss | (0.08 | ) | (0.03 | ) | (0.04 | ) | (0.00 | ) (1) | ||||||||
Net Realized and Unrealized Gain on Investments (2) | 5.66 | 1.55 | 0.57 | 0.64 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from Investment Operations | 5.58 | 1.52 | 0.53 | 0.64 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Distributions: |
| |||||||||||||||
Distributions from Net Investment Income | — | — | (0.00 | ) (1) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Asset Value per Share, End of year | $ | 18.27 | $ | 12.69 | $ | 11.17 | $ | 10.64 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Return | 43.97 | % | 13.61 | % | 5.00 | % | 6.40 | % (3) | ||||||||
Ratios/Supplemental Data: |
| |||||||||||||||
Net Assets, End of year (in thousands) | $ | 3,539 | $ | 989 | $ | 693 | $ | 532 | ||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||
Before Expense Reimbursement | 3.83 | % | 7.99 | % | 9.60 | % | 26.07 | % (4) | ||||||||
After Expense Reimbursement | 1.00 | % | 1.01 | % | 1.05 | % | 1.05 | % (4) | ||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | (0.53 | )% | (0.25 | )% | (0.33 | )% | 0.25 | % (4) | ||||||||
Portfolio Turnover Rate | 24.16 | % | 61.09 | % | 74.22 | % | 13.05 | % (3) |
(1) | Amount rounds to less than $0.01 per share. |
(2) | Computed using average shares outstanding throughout the period. |
(3) | For the period August 31, 2017 (Commencement of Operations) through October 31, 2017. |
(4) | Annualized. |
See accompanying Notes to Financial Statements.
85
Table of Contents
TCW Conservative Allocation Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value per Share, Beginning of year | $ | 12.09 | $ | 11.68 | $ | 12.17 | $ | 12.13 | $ | 12.50 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||
Net Investment Income (1) | 0.18 | 0.24 | 0.20 | 0.15 | 0.17 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.76 | 0.89 | (0.19 | ) | 0.67 | (0.07 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.94 | 1.13 | 0.01 | 0.82 | 0.10 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: |
| |||||||||||||||||||
Distributions from Net Investment Income | (0.71 | ) | (0.21 | ) | (0.20 | ) | (0.29 | ) | (0.19 | ) | ||||||||||
Distributions from Net Realized Gain | (0.10 | ) | (0.51 | ) | (0.30 | ) | (0.49 | ) | (0.28 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.81 | ) | (0.72 | ) | (0.50 | ) | (0.78 | ) | (0.47 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of year | $ | 12.22 | $ | 12.09 | $ | 11.68 | $ | 12.17 | $ | 12.13 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 8.19 | % | 10.46 | % | 0.04 | % | 7.28 | % | 0.78 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net Assets, End of year (in thousands) | $ | 36,714 | $ | 29,565 | $ | 27,925 | $ | 30,144 | $ | 28,982 | ||||||||||
Ratio of Expenses to Average Net Assets (2) | 0.39 | % | 0.44 | % | 0.37 | % | 0.36 | % | 0.30 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.56 | % | 2.03 | % | 1.68 | % | 1.26 | % | 1.41 | % | ||||||||||
Portfolio Turnover Rate | 26.22 | % | 21.66 | % | 19.79 | % | 55.53 | % | 37.62 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Does not include expenses of the underlying affiliated funds. |
See accompanying Notes to Financial Statements.
86
Table of Contents
TCW Conservative Allocation Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value per Share, Beginning of year | $ | 12.09 | $ | 11.67 | $ | 12.15 | $ | 12.07 | $ | 12.44 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||
Net Investment Income (1) | 0.15 | 0.20 | 0.15 | 0.11 | 0.11 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.75 | 0.90 | (0.18 | ) | 0.66 | (0.08 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.90 | 1.10 | (0.03 | ) | 0.77 | 0.03 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: |
| |||||||||||||||||||
Distributions from Net Investment Income | (0.67 | ) | (0.17 | ) | (0.15 | ) | (0.20 | ) | (0.12 | ) | ||||||||||
Distributions from Net Realized Gain | (0.10 | ) | (0.51 | ) | (0.30 | ) | (0.49 | ) | (0.28 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.77 | ) | (0.68 | ) | (0.45 | ) | (0.69 | ) | (0.40 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of year | $ | 12.22 | $ | 12.09 | $ | 11.67 | $ | 12.15 | $ | 12.07 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 7.85 | % | 10.16 | % | (0.35 | )% | 6.74 | % | 0.31 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net Assets, End of year (in thousands) | $ | 452 | $ | 350 | $ | 518 | $ | 532 | $ | 1,597 | ||||||||||
Ratio of Expenses to Average Net Assets: (2) | ||||||||||||||||||||
Before Expense Reimbursement | 6.06 | % | 6.89 | % | 5.14 | % | 3.30 | % | 1.54 | % | ||||||||||
After Expense Reimbursement | 0.70 | % | 0.74 | % | 0.76 | % | 0.81 | % | 0.82 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.23 | % | 1.75 | % | 1.28 | % | 0.89 | % | 0.89 | % | ||||||||||
Portfolio Turnover Rate | 26.22 | % | 21.66 | % | 19.79 | % | 55.53 | % | 37.62 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Does not include expenses of the underlying affiliated funds. |
See accompanying Notes to Financial Statements.
87
Table of Contents
TCW Global Real Estate Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value per Share, Beginning of year | $ | 11.16 | $ | 9.30 | $ | 10.10 | $ | 9.42 | $ | 9.71 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||
Net Investment Income (1) | 0.17 | 0.33 | 0.25 | 0.25 | 0.30 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.05 | ) | 1.78 | (0.85 | ) | 0.70 | (0.26 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.12 | 2.11 | (0.60 | ) | 0.95 | 0.04 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: |
| |||||||||||||||||||
Distributions from Net Investment Income | (0.16 | ) | (0.25 | ) | (0.20 | ) | (0.27 | ) | (0.29 | ) | ||||||||||
Distributions from Net Realized Gain | — | — | — | — | (0.01 | ) | ||||||||||||||
Distributions from Return of Capital | (0.05 | ) | — | — | — | (0.03 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.21 | ) | (0.25 | ) | (0.20 | ) | (0.27 | ) | (0.33 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of year | $ | 11.07 | $ | 11.16 | $ | 9.30 | $ | 10.10 | $ | 9.42 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 1.15 | % | 23.17 | % | (6.06 | )% | 10.28 | % | 0.31 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net Assets, End of year (in thousands) | $ | 9,175 | $ | 6,518 | $ | 2,886 | $ | 2,818 | $ | 3,499 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 2.80 | % | 3.15 | % | 3.78 | % | 4.38 | % | 3.29 | % | ||||||||||
After Expense Reimbursement | 1.00 | % | 1.00 | % | 1.12 | % | 1.37 | % | 1.40 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.59 | % | 3.25 | % | 2.55 | % | 2.57 | % | 3.14 | % | ||||||||||
Portfolio Turnover Rate | 136.71 | % | 85.18 | % | 121.67 | % | 74.51 | % | 68.69 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
88
Table of Contents
TCW Global Real Estate Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value per Share, Beginning of year | $ | 11.16 | $ | 9.30 | $ | 10.10 | $ | 9.42 | $ | 9.70 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||
Net Investment Income (1) | 0.13 | 0.39 | 0.24 | 0.25 | 0.32 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.03 | ) | 1.71 | (0.85 | ) | 0.70 | (0.27 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.10 | 2.10 | (0.61 | ) | 0.95 | 0.05 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: |
| |||||||||||||||||||
Distributions from Net Investment Income | (0.15 | ) | (0.24 | ) | (0.19 | ) | (0.27 | ) | (0.29 | ) | ||||||||||
Distributions from Net Realized Gain | — | — | — | — | (0.01 | ) | ||||||||||||||
Distributions from Return of Capital | (0.05 | ) | — | — | — | (0.03 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.20 | ) | (0.24 | ) | (0.19 | ) | (0.27 | ) | (0.33 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of year | $ | 11.06 | $ | 11.16 | $ | 9.30 | $ | 10.10 | $ | 9.42 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 0.94 | % | 22.99 | % | (6.14 | )% | 10.28 | % | 0.41 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net Assets, End of year (in thousands) | $ | 4,370 | $ | 658 | $ | 536 | $ | 581 | $ | 517 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 5.14 | % | 7.17 | % | 7.65 | % | 7.92 | % | 6.66 | % | ||||||||||
After Expense Reimbursement | 1.15 | % | 1.15 | % | 1.22 | % | 1.37 | % | 1.40 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.21 | % | 3.88 | % | 2.46 | % | 2.51 | % | 3.34 | % | ||||||||||
Portfolio Turnover Rate | 136.71 | % | 85.18 | % | 121.67 | % | 74.51 | % | 68.69 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
89
Table of Contents
TCW New America Premier Equities Fund
Financial Highlights — I Class
Year Ended October 31, | January 29, 2016 (Commencement of Operations) through October 31, 2016 | |||||||||||||||||||
2020 | 2019 | 2018 | 2017 | |||||||||||||||||
Net Asset Value per Share, Beginning of year | $ | 20.34 | $ | 16.27 | $ | 15.24 | $ | 11.23 | $ | 10.00 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||
Net Investment Income (Loss) (1) | 0.01 | 0.11 | (0.02 | ) | 0.01 | 0.08 | ||||||||||||||
Net Realized and Unrealized Gain on Investments | 2.48 | 4.18 | 1.59 | 4.22 | 1.15 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 2.49 | 4.29 | 1.57 | 4.23 | 1.23 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: |
| |||||||||||||||||||
Distributions from Net Investment Income | (0.10 | ) | (0.01 | ) | — | (0.05 | ) | — | ||||||||||||
Distributions from Net Realized Gain | (0.09 | ) | (0.21 | ) | (0.54 | ) | (0.17 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.19 | ) | (0.22 | ) | (0.54 | ) | (0.22 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of year | $ | 22.64 | $ | 20.34 | $ | 16.27 | $ | 15.24 | $ | 11.23 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 12.31 | % | 26.79 | % | 10.60 | % | 38.41 | % | 12.30 | % (2) | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net Assets, End of year (in thousands) | $ | 153,647 | $ | 103,442 | $ | 28,486 | $ | 16,527 | $ | 3,143 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 0.83 | % | 0.93 | % | 1.28 | % | 1.79 | % | 4.72 | % (3) | ||||||||||
After Expense Reimbursement | NA | 0.82 | % | 1.04 | % | 1.04 | % | 1.05 | % (3) | |||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 0.03 | % | 0.56 | % | (0.13 | )% | 0.11 | % | 1.03 | % (3) | ||||||||||
Portfolio Turnover Rate | 88.08 | % | 105.28 | % | 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) | Annualized. |
See accompanying Notes to Financial Statements.
90
Table of Contents
TCW New America Premier Equities Fund
Financial Highlights — N Class
Year Ended October 31, | January 29, 2016 (Commencement of Operations) through October 31, 2016 | |||||||||||||||||||
2020 | 2019 | 2018 | 2017 | |||||||||||||||||
Net Asset Value per Share, Beginning of year | $ | 20.31 | $ | 16.27 | $ | 15.24 | $ | 11.23 | $ | 10.00 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||
Net Investment Income (Loss) (1) | (0.01 | ) | 0.06 | (0.02 | ) | 0.01 | 0.08 | |||||||||||||
Net Realized and Unrealized Gain on Investments | 2.44 | 4.20 | 1.59 | 4.22 | 1.15 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 2.43 | 4.26 | 1.57 | 4.23 | 1.23 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: |
| |||||||||||||||||||
Distributions from Net Investment Income | (0.06 | ) | (0.01 | ) | — | (0.05 | ) | — | ||||||||||||
Distributions from Net Realized Gain | (0.09 | ) | (0.21 | ) | (0.54 | ) | (0.17 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.15 | ) | (0.22 | ) | (0.54 | ) | (0.22 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of year | $ | 22.59 | $ | 20.31 | $ | 16.27 | $ | 15.24 | $ | 11.23 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 12.02 | % | 26.60 | % | 10.60 | % | 38.41 | % | 12.30 | % (2) | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net Assets, End of year (in thousands) | $ | 29,870 | $ | 52,130 | $ | 4,879 | $ | 2,313 | $ | 1,128 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.17 | % | 1.28 | % | 2.14 | % | 3.64 | % | 6.08 | % (3) | ||||||||||
After Expense Reimbursement | 1.05 | % | 1.00 | % | 1.04 | % | 1.04 | % | 1.05 | % (3) | ||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | (0.05 | )% | 0.32 | % | (0.13 | )% | 0.11 | % | 0.98 | % (3) | ||||||||||
Portfolio Turnover Rate | 88.08 | % | 105.28 | % | 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) | Annualized. |
See accompanying Notes to Financial Statements.
91
Table of Contents
TCW Relative Value Dividend Appreciation Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value per Share, Beginning of year | $ | 17.92 | $ | 17.47 | $ | 19.14 | $ | 16.95 | $ | 16.49 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.40 | 0.39 | 0.35 | 0.48 | 0.35 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (1.81 | ) | 1.37 | (0.90 | ) | 2.17 | 0.41 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | (1.41 | ) | 1.76 | (0.55 | ) | 2.65 | 0.76 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.41 | ) | (0.39 | ) | (0.40 | ) | (0.46 | ) | (0.30 | ) | ||||||||||
Distributions from Net Realized Gain | (1.19 | ) | (0.92 | ) | (0.72 | ) | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (1.60 | ) | (1.31 | ) | (1.12 | ) | (0.46 | ) | (0.30 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of year | $ | 14.91 | $ | 17.92 | $ | 17.47 | $ | 19.14 | $ | 16.95 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | (8.71 | )% | 11.27 | % | (3.28 | )% | 15.69 | % | 4.66 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of year (in thousands) | $ | 55,326 | $ | 88,314 | $ | 95,108 | $ | 128,498 | $ | 165,331 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 0.75 | % | 0.75 | % | 0.78 | % | 0.78 | % | 0.87 | % | ||||||||||
After Expense Reimbursement | 0.71 | % | 0.74 | % | N/A | N/A | N/A | |||||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.53 | % | 2.28 | % | 1.84 | % | 2.60 | % | 2.11 | % | ||||||||||
Portfolio Turnover Rate | 19.68 | % | 17.71 | % | 18.48 | % | 23.45 | % | 19.13 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
92
Table of Contents
TCW Relative Value Dividend Appreciation Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value per Share, Beginning of year | $ | 18.24 | $ | 17.77 | $ | 19.46 | $ | 17.23 | $ | 16.76 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.37 | 0.37 | 0.32 | 0.43 | 0.31 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (1.84 | ) | 1.38 | (0.93 | ) | 2.23 | 0.43 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | (1.47 | ) | 1.75 | (0.61 | ) | 2.66 | 0.74 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.38 | ) | (0.36 | ) | (0.36 | ) | (0.43 | ) | (0.27 | ) | ||||||||||
Distributions from Net Realized Gain | (1.19 | ) | (0.92 | ) | (0.72 | ) | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (1.57 | ) | (1.28 | ) | (1.08 | ) | (0.43 | ) | (0.27 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of year | $ | 15.20 | $ | 18.24 | $ | 17.77 | $ | 19.46 | $ | 17.23 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | (8.88 | )% | 11.02 | % | (3.52 | )% | 15.46 | % | 4.43 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of year (in thousands) | $ | 152,934 | $ | 223,322 | $ | 411,123 | $ | 493,766 | $ | 876,421 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.02 | % | 1.04 | % | 1.05 | % | 1.05 | % | 1.15 | % | ||||||||||
After Expense Reimbursement | 0.92 | % | 0.96 | % | 1.00 | % | 1.00 | % | 1.11 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.32 | % | 2.10 | % | 1.62 | % | 2.24 | % | 1.86 | % | ||||||||||
Portfolio Turnover Rate | 19.68 | % | 17.71 | % | 18.48 | % | 23.45 | % | 19.13 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
93
Table of Contents
TCW Relative Value Large Cap Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value per Share, Beginning of year | $ | 18.69 | $ | 19.82 | $ | 24.30 | $ | 21.38 | $ | 21.99 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.22 | 0.33 | 0.28 | 0.49 | 0.32 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.57 | ) | 0.84 | (1.18 | ) | 3.96 | 0.19 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | (0.35 | ) | 1.17 | (0.90 | ) | 4.45 | 0.51 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.49 | ) | (0.31 | ) | (0.47 | ) | (0.41 | ) | (0.25 | ) | ||||||||||
Distributions from Net Realized Gain | (7.01 | ) | (1.99 | ) | (3.11 | ) | (1.12 | ) | (0.87 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (7.50 | ) | (2.30 | ) | (3.58 | ) | (1.53 | ) | (1.12 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of year | $ | 10.84 | $ | 18.69 | $ | 19.82 | $ | 24.30 | $ | 21.38 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | (7.02 | )% | 8.13 | % | (5.11 | )% | 21.55 | % | 2.61 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of year (in thousands) | $ | 83,765 | $ | 136,917 | $ | 402,035 | $ | 472,078 | $ | 480,174 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 0.80 | % | 0.78 | % | 0.77 | % | 0.77 | % | 0.88 | % | ||||||||||
After Expense Reimbursement | 0.71 | % | 0.74 | % | N/A | N/A | N/A | |||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.88 | % | 1.79 | % | 1.28 | % | 2.11 | % | 1.57 | % | ||||||||||
Portfolio Turnover Rate | 31.17 | % | 19.47 | % | 20.47 | % | 24.44 | % | 14.71 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
94
Table of Contents
TCW Relative Value Large Cap Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value per Share, Beginning of year | $ | 18.62 | $ | 19.74 | $ | 24.21 | $ | 21.31 | $ | 21.91 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.19 | 0.28 | 0.23 | 0.44 | 0.28 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.56 | ) | 0.86 | (1.18 | ) | 3.94 | 0.19 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | (0.37 | ) | 1.14 | (0.95 | ) | 4.38 | 0.47 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.45 | ) | (0.27 | ) | (0.41 | ) | (0.36 | ) | (0.20 | ) | ||||||||||
Distributions from Net Realized Gain | (7.01 | ) | (1.99 | ) | (3.11 | ) | (1.12 | ) | (0.87 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (7.46 | ) | (2.26 | ) | (3.52 | ) | (1.48 | ) | (1.07 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of year | $ | 10.79 | $ | 18.62 | $ | 19.74 | $ | 24.21 | $ | 21.31 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | (7.17 | )% | 7.92 | % | (5.35 | )% | 21.27 | % | 2.42 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of year (in thousands) | $ | 9,277 | $ | 11,535 | $ | 13,003 | $ | 16,373 | $ | 19,530 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.32 | % | 1.24 | % | 1.21 | % | 1.16 | % | 1.23 | % | ||||||||||
After Expense Reimbursement | 0.91 | % | 0.95 | % | 0.99 | % | 1.00 | % | 1.10 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.67 | % | 1.52 | % | 1.05 | % | 1.93 | % | 1.35 | % | ||||||||||
Portfolio Turnover Rate | 31.17 | % | 19.47 | % | 20.47 | % | 24.44 | % | 14.71 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
95
Table of Contents
TCW Relative Value Mid Cap Fund
Financial Highlights �� I Class
Year Ended October 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value per Share, Beginning of year | $ | 21.06 | $ | 22.44 | $ | 25.96 | $ | 20.02 | $ | 22.43 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.17 | 0.18 | 0.12 | 0.11 | 0.18 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (1.78 | ) | 0.21 | (1.56 | ) | 5.96 | 0.34 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | (1.61 | ) | 0.39 | (1.44 | ) | 6.07 | 0.52 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.18 | ) | (0.15 | ) | (0.13 | ) | (0.13 | ) | (0.16 | ) | ||||||||||
Distributions from Net Realized Gain | (0.37 | ) | (1.62 | ) | (1.95 | ) | — | (2.77 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.55 | ) | (1.77 | ) | (2.08 | ) | (0.13 | ) | (2.93 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of year | $ | 18.90 | $ | 21.06 | $ | 22.44 | $ | 25.96 | $ | 20.02 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | (8.07 | )% | 3.18 | % | (6.48 | )% | 30.40 | % | 3.53 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of year (in thousands) | $ | 51,021 | $ | 63,957 | $ | 72,527 | $ | 84,136 | $ | 74,840 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 0.97 | % | 0.95 | % | 0.92 | % | 0.99 | % | 0.98 | % | ||||||||||
After Expense Reimbursement | 0.87 | % | 0.90 | % | N/A | N/A | N/A | |||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.90 | % | 0.86 | % | 0.48 | % | 0.45 | % | 0.96 | % | ||||||||||
Portfolio Turnover Rate | 42.07 | % | 25.89 | % | 22.60 | % | 31.93 | % | 17.81 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
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TCW Relative Value Mid Cap Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value per Share, Beginning of year | $ | 20.45 | $ | 21.82 | $ | 25.28 | $ | 19.50 | $ | 21.90 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.15 | 0.15 | 0.09 | 0.07 | 0.14 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (1.74 | ) | 0.21 | (1.52 | ) | 5.80 | 0.32 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | (1.59 | ) | 0.36 | (1.43 | ) | 5.87 | 0.46 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.15 | ) | (0.11 | ) | (0.08 | ) | (0.09 | ) | (0.09 | ) | ||||||||||
Distributions from Net Realized Gain | (0.37 | ) | (1.62 | ) | (1.95 | ) | — | (2.77 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.52 | ) | (1.73 | ) | (2.03 | ) | (0.09 | ) | (2.86 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of year | $ | 18.34 | $ | 20.45 | $ | 21.82 | $ | 25.28 | $ | 19.50 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | (8.18 | )% | 3.12 | % | (6.61 | )% | 30.15 | % | 3.30 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of year (in thousands) | $ | 10,902 | $ | 14,448 | $ | 18,040 | $ | 19,095 | $ | 16,839 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.42 | % | 1.37 | % | 1.31 | % | 1.37 | % | 1.35 | % | ||||||||||
After Expense Reimbursement | 0.97 | % | 1.00 | % | 1.04 | % | 1.16 | % | 1.20 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.81 | % | 0.76 | % | 0.36 | % | 0.29 | % | 0.74 | % | ||||||||||
Portfolio Turnover Rate | 42.07 | % | 25.89 | % | 22.60 | % | 31.93 | % | 17.81 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
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TCW Select Equities Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value per Share, Beginning of year | $ | 27.64 | $ | 27.13 | $ | 30.42 | $ | 26.06 | $ | 29.65 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Loss (1) | (0.08 | ) | (0.06 | ) | (0.08 | ) | (0.05 | ) | (0.10 | ) | ||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 9.04 | 4.21 | 3.37 | 5.99 | (1.42 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 8.96 | 4.15 | 3.29 | 5.94 | (1.52 | ) | ||||||||||||||
|
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|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Realized Gain | (2.47 | ) | (3.64 | ) | (6.58 | ) | (1.58 | ) | (2.07 | ) | ||||||||||
|
|
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|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of year | $ | 34.13 | $ | 27.64 | $ | 27.13 | $ | 30.42 | $ | 26.06 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 34.59 | % | 18.98 | % | 12.59 | % | 24.47 | % | (5.56 | )% | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of year (in thousands) | $ | 633,683 | $ | 770,079 | $ | 740,485 | $ | 768,535 | $ | 1,264,622 | ||||||||||
Ratio of Expenses to Average Net Assets | 0.76 | % | 0.80 | % | 0.87 | % | 0.88 | % | 0.89 | % | ||||||||||
Ratio of Net Investment Loss to Average Net Assets | (0.28 | )% | (0.25 | )% | (0.29 | )% | (0.18 | )% | (0.38 | )% | ||||||||||
Portfolio Turnover Rate | 4.09 | % | 6.41 | % | 15.43 | % | 17.95 | % | 14.05 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
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TCW Select Equities Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value per Share, Beginning of year | $ | 24.59 | $ | 24.61 | $ | 28.23 | $ | 24.35 | $ | 27.91 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Loss (1) | (0.13 | ) | (0.11 | ) | (0.13 | ) | (0.10 | ) | (0.16 | ) | ||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 7.96 | 3.73 | 3.09 | 5.56 | (1.33 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 7.83 | 3.62 | 2.96 | 5.46 | (1.49 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Realized Gain | (2.47 | ) | (3.64 | ) | (6.58 | ) | (1.58 | ) | (2.07 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of year | $ | 29.95 | $ | 24.59 | $ | 24.61 | $ | 28.23 | $ | 24.35 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 34.26 | % | 18.74 | % | 12.36 | % | 24.20 | % | (5.81 | )% | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of year (in thousands) | $ | 161,625 | $ | 132,332 | $ | 133,252 | $ | 138,807 | $ | 151,174 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.06 | % | 1.08 | % | 1.15 | % | 1.16 | % | 1.16 | % | ||||||||||
After Expense Reimbursement | 0.99 | % | 1.01 | % | 1.08 | % | 1.11 | % | 1.14 | % | ||||||||||
Ratio of Net Investment Loss to Average Net Assets | (0.51 | )% | (0.45 | )% | (0.50 | )% | (0.39 | )% | (0.64 | )% | ||||||||||
Portfolio Turnover Rate | 4.09 | % | 6.41 | % | 15.43 | % | 17.95 | % | 14.05 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
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TCW Funds, Inc.
Report of Independent Registered Public Accounting Firm
To the Board of Directors and Shareholders of
TCW Funds, Inc.:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities of TCW Artificial Intelligence Equity Fund, TCW Conservative Allocation Fund, TCW Global Real Estate Fund, TCW New America Premier Equities Fund, TCW Relative Value Dividend Appreciation Fund, TCW Relative Value Large Cap Fund, TCW Relative Value Mid Cap Fund, and TCW Select Equities Fund (collectively, the “TCW Equity and Asset Allocation Funds”) (eight of eighteen funds comprising TCW Funds, Inc.), including the schedules of investments, as of October 31, 2020, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended for the TCW Equity and Asset Allocation Funds, except, TCW Artificial Intelligence Equity Fund which is for each of the three years in the period then ended and for the period August 31, 2017 (commencement of operations) to October 31, 2017, and TCW New America Premier Equities Fund which is for each of the four years in the period then ended and for the period January 29, 2016 (commencement of operations) to October 31, 2016, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the respective TCW Equity and Asset Allocation Funds as of October 31, 2020, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended for the TCW Equity and Asset Allocation Funds, except, TCW Artificial Intelligence Equity Fund which is for each of the three years in the period then ended and for the period August 31, 2017 (commencement of operations) to October 31, 2017, and TCW New America Premier Equities Fund which is for each of the four years in the period then ended and for the period January 29, 2016 (commencement of operations) to October 31, 2016, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the TCW Equity and Asset Allocation Funds’ management. Our responsibility is to express an opinion on the TCW Equity and Asset Allocation Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The TCW Equity and Asset Allocation Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the TCW Equity and Asset Allocation Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of October 31, 2020, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Los Angeles, California
December 21, 2020
We have served as the auditor of one or more TCW/Metropolitan West Funds investment companies since 1990.
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Table of Contents
TCW Funds, Inc.
Shareholder Expenses (Unaudited)
As a shareholder of a Fund, you incur ongoing operational costs of the Fund, including management fees and other fund expenses. The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in a Fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from May 1, 2020 to October 31, 2020 (184 days).
Actual Expenses: The first line under each Fund in the table below provides information about the actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your Fund under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes: The second line under each Fund in the table below provides information about the hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account value and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
TCW Funds, Inc. | Beginning Account Value May 1, 2020 | Ending Account Value October 31, 2020 | Annualized Expense Ratio | Expenses Paid During Period (May 1, 2020 to October 31, 2020) | ||||||||||||
TCW Artificial Intelligence Equity Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,325.90 | 0.90 | % | $ | 5.26 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.61 | 0.90 | % | 4.57 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,324.90 | 1.00 | % | $ | 5.84 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.11 | 1.00 | % | 5.08 | |||||||||||
TCW Conservative Allocation Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,090.10 | 0.38 | % (1) | $ | 2.00 | (1) | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,023.23 | 0.38 | % (1) | 1.93 | (1) | ||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,089.10 | 0.69 | % (1) | $ | 3.62 | (1) | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.67 | 0.69 | % (1) | 3.51 | (1) | ||||||||||
TCW Global Real Estate Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,140.20 | 1.00 | % | $ | 5.38 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.11 | 1.00 | % | 5.08 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,138.40 | 1.15 | % | $ | 6.18 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.36 | 1.15 | % | 5.84 |
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TCW Funds, Inc.
Shareholder Expenses (Unaudited) (Continued)
TCW Funds, Inc. | Beginning Account Value May 1, 2020 | Ending Account Value October 31, 2020 | Annualized Expense Ratio | Expenses Paid During Period (May 1, 2020 to October 31, 2020) | ||||||||||||
TCW New America Premier Equities Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,167.00 | 0.81 | % | $ | 4.41 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.06 | 0.81 | % | 4.12 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,165.00 | 1.10 | % | $ | 5.99 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.61 | 1.10 | % | 5.58 | |||||||||||
TCW Relative Value Dividend Appreciation Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,105.60 | 0.70 | % | $ | 3.70 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.62 | 0.70 | % | 3.56 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,104.80 | 0.90 | % | $ | 4.76 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.61 | 0.90 | % | 4.57 | |||||||||||
TCW Relative Value Large Cap Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,130.30 | 0.70 | % | $ | 3.75 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.62 | 0.70 | % | 3.56 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,128.70 | 0.90 | % | $ | 4.82 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.61 | 0.90 | % | 4.57 | |||||||||||
TCW Relative Value Mid Cap Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,182.00 | 0.85 | % | $ | 4.66 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.86 | 0.85 | % | 4.32 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,180.90 | 0.95 | % | $ | 5.21 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.36 | 0.95 | % | 4.82 | |||||||||||
TCW Select Equities Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,229.00 | 0.74 | % | $ | 4.15 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.42 | 0.74 | % | 3.76 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,228.00 | 0.98 | % | $ | 5.49 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.21 | 0.98 | % | 4.98 |
(1) | Does not included Expenses of the underlying affiliated investments. |
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TCW Funds, Inc.
The TCW Group, Inc. and Subsidiaries
TCW Investment Management Company LLC
TCW Asset Management Company LLC
Metropolitan West Asset Management, LLC
TCW Funds, Inc. | Sepulveda Management LLC | |
TCW Strategic Income Fund, Inc. | TCW Direct Lending LLC | |
Metropolitan West Funds | TCW Direct Lending VII LLC |
What You Should Know
At TCW, we recognize the importance of keeping information about you secure and confidential. We do not sell or share your nonpublic personal and financial information with marketers or others outside our affiliated group of companies.
We carefully manage information among our affiliated group of companies to safeguard your privacy and to provide you with consistently excellent service.
We are providing this notice to you to comply with the requirements of Regulation S-P, “Privacy of Consumer Financial Information,” issued by the United States Securities and Exchange Commission.
Our Privacy Policy
We, The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Strategic Income Fund, Inc., the Metropolitan West Funds, Sepulveda Management LLC and TCW Direct Lending (collectively, “TCW”) are committed to protecting the nonpublic personal and financial information of our customers and consumers who obtain or seek to obtain financial products or services primarily for personal, family or household purposes. We fulfill our commitment by establishing and implementing policies and systems to protect the security and confidentiality of this information.
In our offices, we limit access to nonpublic personal and financial information about you to those TCW personnel who need to know the information in order to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal and financial information.
Categories of Information We Collect
We may collect the following types of nonpublic personal and financial information about you from the following sources:
• | Your name, address and identifying numbers, and other personal and financial information, from you and from identification cards and papers you submit to us, on applications, subscription agreements or other forms or communications. |
• | Information about your account balances and financial transactions with us, our affiliated entities, or nonaffiliated third parties, from our internal sources, from affiliated entities and from nonaffiliated third parties. |
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TCW Funds, Inc.
Privacy Policy (Continued)
• | Information about your account balances and financial transactions and other personal and financial information, from consumer credit reporting agencies or other nonaffiliated third parties, to verify information received from you or others. |
Categories of Information We Disclose to Nonaffiliated Third Parties
• | We may disclose your name, address and account and other identifying numbers, as well as information about your pending or past transactions and other personal financial information, to nonaffiliated third parties, for our everyday business purposes such as necessary to execute, process, service and confirm your securities transactions and mutual fund transactions, to administer and service your account and commingled investment vehicles in which you are invested, to market our products and services through joint marketing arrangements or to respond to court orders and legal investigations. |
• | We may disclose nonpublic personal and financial information concerning you to law enforcement agencies, federal regulatory agencies, self-regulatory organizations or other nonaffiliated third parties, if required or requested to do so by a court order, judicial subpoena or regulatory inquiry. |
• | We do not otherwise disclose your nonpublic personal and financial information to nonaffiliated third parties, except where we believe in good faith that disclosure is required or permitted by law. Because we do not disclose your nonpublic personal and financial information to nonaffiliated third parties, our Customer Privacy Policy does not contain opt-out provisions. |
Categories of Information We Disclose to Our Affiliated Entities
• | We may disclose your name, address and account and other identifying numbers, account balances, information about your pending or past transactions and other personal financial information to our affiliated entities for any purpose. |
• | We regularly disclose your name, address and account and other identifying numbers, account balances and information about your pending or past transactions to our affiliates to execute, process and con- firm securities transactions or mutual fund transactions for you, to administer and service your account and commingled investment vehicles in which you are invested, or to market our products and services to you. |
Information About Former Customers
We do not disclose nonpublic personal and financial information about former customers to nonaffiliated third parties unless required or requested to do so by a court order, judicial subpoena or regulatory inquiry, or otherwise where we believe in good faith that disclosure is required or permitted by law.
Questions
Should you have any questions about our Customer Privacy Policy, please contact us by email or by regular mail at the address at the end of this policy.
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TCW Funds, Inc.
Reminder About TCW’s Financial Products
Financial products offered by The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Strategic Income Fund, Inc., the Metropolitan West Funds, Sepulveda Management LLC and TCW Direct Lending.
• | Are not guaranteed by a bank; |
• | Are not obligations of The TCW Group, Inc. or of its subsidiaries; |
• | Are not insured by the Federal Deposit Insurance Corporation; and |
• | Are subject to investment risks, including possible loss of the principal amount committed or invested, and earnings thereon. |
THE TCW GROUP, INC.
TCW FUNDS, INC.
TCW STRATEGIC INCOME FUND, INC.
METROPOLITAN WEST FUNDS
SEPULVEDA MANAGEMENT LLC
TCW DIRECT LENDING LLC
TCW DIRECT LENDING VII LLC
Attention: Privacy Officer | 865 South Figueroa St. Suite 1800 | Los Angeles, CA 90017 |
email: privacy@tcw.com
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TCW Funds, Inc.
Approval of Investment Management and Advisory Agreement
Renewal of Investment Advisory and Management Agreement (Unaudited)
TCW Funds, Inc. (the “Corporation”) and TCW Investment Management Company LLC (the “Advisor”) are parties to an Investment Advisory and Management Agreement (“Agreement”), pursuant to which the Advisor is responsible for managing the investments of each separate investment series (each, a “Fund” and collectively, the “Funds”) of the Corporation. Unless terminated by either party, the Agreement continues in effect from year to year provided that the continuance is specifically approved at least annually by the vote of the holders of at least a majority of the outstanding shares of the Funds, or by the Board of Directors of the Corporation (the “Board”), and, in either event, by a majority of the Directors who are not “interested persons” of the Corporation, as such term is defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “Independent Directors”), casting votes in person at a meeting called for that purpose.
On September 14, 2020, the Board approved the renewal of the Agreement for an additional one-year term from February 6, 2021 through February 5, 2022. The Board met by telephone to approve that renewal, notwithstanding the in-person approval requirement that normally applies under the Investment Company Act, as permitted by relief provided by the Securities and Exchange Commission in light of the COVID-19 pandemic. The renewal of the Agreement was approved by the Board (including by a majority of the Independent Directors) upon the recommendation of the Independent Directors. The Independent Directors also met by telephone in a working session on August 26, 2020 to hear presentations by representatives of the Advisor, to ask related questions, to review and discuss materials provided by the Advisor for their consideration, and to meet separately with their independent legal counsel. On September 14, 2020 they also met separately with their independent legal counsel to review and discuss supplemental information that had been requested on their behalf by their independent legal counsel and presented by the Advisor. The information, material facts, and conclusions that formed the basis for the Independent Directors’ recommendation and the Board’s subsequent approval are described below.
1. Information received
Materials reviewed — During the course of each year, the Directors receive a wide variety of materials relating to the services provided by the Advisor, including reports on the Advisor’s investment processes, as well as on each Fund’s investment results, portfolio composition, portfolio trading practices, compliance monitoring, shareholder services, and other information relating to the nature, extent, and quality of services provided by the Advisor to the Funds. In addition, the Board reviewed information furnished to the Independent Directors in response to a detailed request sent to the Advisor on their behalf. The information in the Advisor’s responses included extensive materials regarding each Fund’s investment results, advisory fee comparisons to advisory fees charged by the Advisor to its institutional clients, financial and profitability information regarding the Advisor, descriptions of various services provided to the Funds and to other advisory and sub-advisory clients, descriptions of functions such as compliance monitoring and portfolio trading practices, and information about the personnel providing investment management services to each Fund. The Directors also considered information provided by an independent data provider, Broadridge, comparing the investment performance and the fee and expense levels of each Fund to those of appropriate peer groups of mutual funds selected by Broadridge. After reviewing this information, the Directors requested additional financial, profitability and service information from the Advisor, which the Advisor provided and the Directors considered.
Review process — The Directors’ determinations were made on the basis of each Director’s business judgment after consideration of all the information presented. The Independent Directors were advised by
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their independent legal counsel throughout the renewal process and received and reviewed advice from their independent legal counsel regarding legal and industry standards applicable to the renewal of the Agreement, including a legal memorandum from their independent legal counsel discussing their fiduciary duties related to their approval of the continuation of the Agreement. The Independent Directors also discussed the renewal of the Agreement with the Advisor’s representatives and in private sessions at which no representatives of the Advisor were present. In deciding to recommend the renewal of the Agreement with respect to each Fund, the Independent Directors did not identify any single piece of information or particular factor that, in isolation, was the controlling factor. Each Independent Director may also have weighed factors differently. This summary describes the most important, but not all, of the factors considered by the Board and the Independent Directors.
2. Nature, extent, and quality of services provided by the Advisor
The Board and the Independent Directors considered the depth and quality of the Advisor’s investment management process, including its research and strong analytical capabilities; the experience, capability, and integrity of its senior management and other personnel; the relatively low turnover rates of its key personnel; the overall resources available to the Advisor; and the ability of its organizational structure to address the fluctuations in assets that had been experienced over the past several years. The Board and the Independent Directors considered the ability of the Advisor to attract and retain well-qualified investment professionals, noting in particular the Advisor’s hiring of professionals in various areas over the past several years, continued upgrading of resources in its middle office and back office operations and other areas, as well as a continuing and extensive program of infrastructure and systems enhancements. The Board and the Independent Directors also considered that the Advisor made available to its investment professionals a variety of resources and systems relating to investment management, compliance, trading, operations, administration, research, portfolio accounting, and legal matters. They noted the substantial additional resources made available by The TCW Group, Inc., the parent company of the Advisor. The Board and the Independent Directors examined and discussed a detailed description of the extensive additional services provided to the Funds to support their operations and compliance, as compared to the much narrower range of services provided to the Advisor’s institutional and sub-advised clients, as well as the Advisor’s oversight and coordination of numerous outside service providers to the Funds. They further noted the high level of regular communication between the Advisor and the Independent Directors. The Advisor explained its responsibility to supervise the activities of the Funds’ various service providers, as well as supporting the Independent Directors and their meetings, regulatory filings, and various operational personnel, and the related costs.
The Board and the Independent Directors concluded that the nature, extent, and quality of the services provided by the Advisor are of a high quality and have benefited and should continue to benefit the Funds and their shareholders.
3. Investment results
The Board and the Independent Directors considered the investment results of each Fund in light of its investment objective(s) and principal investment strategies. They compared each Fund’s total returns with the total returns of other mutual funds in peer group reports prepared by Broadridge with respect to various longer and more recent periods all ended May 31, 2020. The Board and the Independent Directors reviewed information as to peer group selections presented by Broadridge and discussed the methodology
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Approval of Investment Management and Advisory Agreement (Continued)
for those selections with Broadridge. In reviewing each Fund’s relative performance, the Board and the Independent Directors took into account each Fund’s investment strategies, distinct characteristics, asset size and diversification.
The Board and the Independent Directors noted that most Funds’ performance was satisfactory over the relevant periods. The Board and the Independent Directors noted that the investment performance of most of the Funds was generally close to or above the median performance of the applicable peer group during the three-year period emphasized by Broadridge in the supplemental materials, but five Funds ranked in the fourth or fifth quintile of their peer groups for that three-year period. For those Funds that lagged peer group averages, they noted that the Advisor had discussed with the Board the reasons for the underperformance and the actions taken or to be taken by the Advisor to address the underperformance, and they indicated that they would continue to monitor portfolio investment performance on a regular basis and discuss with the Advisor from time to time any instances of long-term underperformance as appropriate. The Board and the Independent Directors noted that the performance of some Funds for periods when they lagged their peer group averages remained satisfactory when assessed on a risk-adjusted basis because performance quintiles do not necessarily reflect the degree of risk employed by peer funds to achieve their returns. The Board also considered the Advisor’s assessment of the Funds’ performance during the recent period of significant market volatility.
With respect to the fixed income Funds, the Board and the Independent Directors recognized the Advisor’s deliberate strategy to manage risk in light of its critical view of the fixed income securities markets and overall investment market conditions at present and in the near term. For that reason, the Board and the Independent Directors believed that relative performance also should be considered in light of future market conditions expected by the Advisor. The Board and the Independent Directors noted the Advisor’s view that longer term performance can be more meaningful for active fixed income funds than shorter term performance because fixed income market cycles are generally longer than three years.
For the U.S. fixed income Funds, the Board and the Independent Directors noted the conservative profile of these Funds, which generally experienced less volatility compared to various other funds in the applicable peer group (except for the relative volatility of Total Return Bond Fund, which is a mortgage-focused Fund). They also noted the Advisor’s conservative posture for these Funds with respect to credit and interest rate risks.
For the Total Return Bond Fund, the Board and the Independent Directors noted that the Fund’s performance was in the first quintile for the ten-, five-, three- and one-year periods.
For the Core Fixed Income Fund, the Board and the Independent Directors noted that the Fund’s performance was in the second quintile for the ten- and five-year periods and the first quintile for the three- and one-year periods.
For the Global Bond Fund, the Board and the Independent Directors noted that the Fund’s performance was in the third quintile for the five-year period and the first quintile for the three- and one-year periods.
For the High Yield Bond Fund, the Board and the Independent Directors noted that the Fund’s performance was in the first quintile for the ten-, five-, three- and one-year periods.
For the Short Term Bond Fund, the Board and the Independent Directors noted that the Fund’s performance was in the fourth quintile for the ten-, five-, three- and one-year periods.
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For the Enhanced Commodity Strategy Fund, the Board and the Independent Directors noted that the Fund’s performance was in the second quintile for the five-, three- and one-year periods.
With respect to the U.S. equity Funds, the Board and the Independent Directors noted that the performance of most Funds for the various periods reviewed ranked in the first, second or third quintiles.
The Select Equities Fund ranked in the second quintile for the ten-year period, the first quintile for the five- and three-year periods, and the second quintile for the one-year period.
The Relative Value Dividend Appreciation Fund ranked in the fourth quintile for the ten-year period and the fifth quintile for the five-, three- and one-year periods. The Relative Value Large Cap Fund ranked in the third quintile for the ten-year period, the fourth quintile for the five-year period, the fifth quintile for the three-year period and the fourth quintile for the one-year period. The Relative Value Mid Cap Fund ranked in the fourth quintile for the ten-, five-, three- and one-year periods. The Board and the Independent Directors noted the Advisor’s explanation that the diversification tool used to mitigate risk of the Relative Value Funds weighed on their near-term performance in a momentum-driven market and its opinion that each of the Relative Value Funds is well-positioned to excel in a strengthening economic environment. The Board and the Independent Directors also noted that the Relative Value Funds outperformed their respective benchmarks by 200 to 550 basis points between March 31, 2020 and July 31, 2020 and had appreciatively narrowed the underperformance versus their respective benchmarks year-to-date through July 2020.
The New America Premier Equities Fund ranked in the second quintile for the three-year period and the fifth quintile for the one-year period.
The Artificial Intelligence Equity Fund ranked in the third quintile for the one-year period, improving to the universe median, and the fourth quintile for the period since inception. The Board and the Independent Directors considered the Advisor’s explanation that the peer funds had greater exposure to the information technology sector, making the peer group less useful in comparing relative performance than if those funds’ principal investment strategies were more closely aligned with the Fund’s investment focus. The Board and the Independent Directors also noted the relatively short operating history of the Fund and determined to continue to closely monitor its performance.
The Global Real Estate Fund ranked in the second quintile for the five-year period and in the first quintile for the three- and one-year periods.
With respect to the international and emerging markets Funds, the Board and the Independent Directors noted that the performance of a majority of these Funds ranked in the first, second or third quintiles over various time periods. The Emerging Markets Income Fund ranked in the first quintile for the ten-year period and the second quintile for the five-year period but ranked in the fourth quintile for the three-year period and the fifth quintile for the one-year period. The Emerging Markets Local Currency Income Fund ranked in the first quintile for the five-year period and the third quintile for the three- and one-year periods. The Emerging Markets Multi-Asset Opportunities Fund ranked in the second quintile for the five-year period and the first quintile for the three- and one-year periods. The Developing Markets Equity Fund ranked in the third quintile for the three-year period and the first quintile for the one-year period.
The Board and the Independent Directors noted the Advisor’s explanation that the challenging international and emerging market conditions in recent years weighed on near-term performance for some Funds and its opinion that each of the international and emerging markets Funds is well-positioned to excel in a strengthening economic environment.
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Approval of Investment Management and Advisory Agreement (Continued)
For the asset allocation Fund, the Board and the Independent Directors noted that the Conservative Allocation Fund’s performance was in the first quintile for the ten-, five-, three- and one-year periods.
The Board and the Independent Directors concluded that the Advisor was implementing each Fund’s investment objective(s) and that the Advisor’s record in managing the Funds indicated that its continued management should benefit each Fund and its shareholders over the long term.
4. Advisory fees and total expenses
The Board and the Independent Directors compared the management fees (which Broadridge defines to include the advisory fee and the administrative fee) and total expenses of each Fund (each as a percentage of average net assets) with the median management fee and operating expense level of the other mutual funds in the relevant Broadridge peer groups. These comparisons assisted the Board and the Independent Directors by providing a reasonable statistical measure to assess each Fund’s fees relative to its relevant peers. The Board and the Independent Directors observed that each Fund’s management fee, after giving effect to applicable waivers and/or reimbursements, was below or near the median of the peer group funds on a current basis, with the exception of the Emerging Markets Income Fund and the Conservative Allocation Fund. They also observed that each Fund’s total expenses, after giving effect to applicable waivers and/or reimbursements, were below or near the median of the peer group funds. The Board and the Independent Directors also noted the contractual expense limitations to which the Advisor has agreed with respect to each Fund and that the Advisor historically has absorbed any expenses in excess of these limits. The Board and the Independent Directors noted that for several Funds, their below-median management fee and total expenses were in part due to substantial waiver and/or reimbursement pursuant to the contractual expense limitations. The Board and the Independent Directors concluded that the competitive fees charged by the Advisor, and competitive expense ratios, should continue to benefit each Fund and its shareholders.
The Board and the Independent Directors also reviewed information regarding the advisory fees charged by the Advisor to its institutional and sub-advisory clients with similar investment mandates. The Board and the Independent Directors concluded that, although the fees paid by those clients generally were lower than advisory fees paid by the Funds, the differences appropriately reflected the more extensive services provided by the Advisor to the Funds and the Advisor’s significantly greater responsibilities and expenses with respect to the Funds, including the additional time spent by portfolio managers for reasons such as managing the more active cash flows from purchases and redemptions by shareholders, the additional risks of managing a pool of assets for public investors, administrative burdens, daily pricing, valuation and liquidity responsibilities, the supervision of vendors and service providers, and the costs of additional infrastructure and operational resources and personnel and of complying with and supporting the more comprehensive regulatory and governance regime applicable to mutual funds.
5. The Advisor’s costs, level of profits, and economies of scale
The Board and the Independent Directors reviewed information regarding the Advisor’s costs of providing services to the Funds, as well as the resulting level of profits to the Advisor. They reviewed the Advisor’s stated assumptions and methods of allocating certain costs, such as personnel costs, which constitute the Advisor’s largest operating cost. The Board and the Independent Directors recognized that the Advisor should be entitled to earn a reasonable level of profits for the services that it provides to each Fund. The Board and the Independent Directors also reviewed a comparison of the Advisor’s profitability with respect to the Funds to the profitability of certain unaffiliated publicly traded asset managers, which the Advisor
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believed supported its view that the Advisor’s profitability was reasonable. Based on their review, the Board and the Independent Directors concluded that they were satisfied that the Advisor’s level of profitability from its relationship with each Fund was not unreasonable or excessive.
The Board and the Independent Directors considered the extent to which potential economies of scale could be realized as the Funds grow and whether the advisory fees reflect those potential economies of scale. They recognized that the advisory fees for the Funds do not have breakpoints, which would otherwise result in lower advisory fee rates as the Funds grow larger. They also recognized the Advisor’s view that the advisory fees compare favorably to peer group fees and expenses and remain competitive even at higher asset levels and that the relatively low advisory fees reflect the potential economies of scale. The Board and the Independent Directors recognized the benefits of the Advisor’s substantial past and ongoing investment in the advisory business, such as successfully recruiting and retaining key professional talent, systems and technology upgrades, added resources dedicated to legal, compliance and cybersecurity programs, and improvements to the overall firm infrastructure, as well as the financial pressures of competing against much larger firms and passive investment products. The Board and the Independent Directors further noted the Advisor’s past and current subsidies of the operating expenses of newer and smaller Funds and the Advisor’s commitment to maintain reasonable overall operating expenses for each Fund. The Board and the Independent Directors also recognized that the Funds benefit from receiving investment advice from an organization with other types of advisory clients in addition to mutual funds. The Board and the Independent Directors considered the risk borne by the Advisor that the Funds’ net assets and thus the Advisor’s fees might decline in the event of redemptions and that smaller Funds might not grow to become profitable. The Board and the Independent Directors concluded that the Advisor was satisfactorily sharing potential economies of scale with the Funds through low fees and expenses, and through reinvesting in its capabilities for serving the Funds and their shareholders.
6. Ancillary benefits
The Board and the Independent Directors also considered ancillary benefits received or to be received by the Advisor and its affiliates as a result of the relationship of the Advisor with the Funds, including compensation for certain compliance support services. The Board and the Independent Directors noted that, in addition to the fees the Advisor receives under the Agreement, the Advisor receives additional benefits in connection with management of the Funds in the form of reports, research and other services from brokers and their affiliates in return for brokerage commissions paid to such brokers. The Board and the Independent Directors concluded that any potential benefits received or to be derived by the Advisor from its relationships with the Funds are reasonably related to the services provided by the Advisor to the Funds.
7. Conclusions
Based on their overall review, including their consideration of each of the factors referred to above (and others), the Board and the Independent Directors concluded that the Agreement is fair and reasonable to each Fund and its shareholders, that each Fund’s shareholders received reasonable value in return for the advisory fees and other amounts paid to the Advisor by each Fund, and that the renewal of the Agreement was in the best interests of each Fund and its shareholders.
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Supplemental Information
The policies and procedures that the Company uses to determine how to vote proxies are available without charge. The Board has delegated the Company’s proxy voting authority to the Advisor.
Disclosure of Proxy Voting Guidelines
The proxy voting guidelines of the Advisor are available:
1. By | calling 800-FUND-TCW (800-386-3829) to obtain a hard copy; or |
2. By | going to the SEC website at http://www.sec.gov. |
When the Company receives a request for a description of the Advisor’s proxy voting guidelines, it will deliver the description that is disclosed in the Company’s Statement of Additional Information. This information will be sent out via first class mail (or other means designed to ensure equally prompt delivery) within three business days of receiving the request.
The Advisor, on behalf of the Company, prepares and files Form N-PX with the SEC not later than August 31 of each year, which includes the Company’s proxy voting record for the most recent twelve-month period ended June 30 of that year. The Company’s proxy voting record for the most recent twelve-month period ended June 30 is available:
1. By | calling 800-FUND-TCW (800-386-3829) to obtain a hard copy; or |
2. By | going to the SEC website at http://www.sec.gov. |
When the Company receives a request for the Company’s proxy voting record, it will send the information disclosed in the Company’s most recently filed report on Form N-PX via first class mail (or other means designed to ensure equally prompt delivery) within three business days of receiving the request.
The Company also discloses its proxy voting record on its website as soon as is reasonably practicable after its report on Form N-PX is filed with the SEC.
Availability of Quarterly Portfolio Schedule
The Company files a complete schedule of its portfolio holdings with the SEC for the first and third quarters of its fiscal year on Form NPORT-P. Such filings occur no later than 60 days after the end of the Funds’ first and third quarters and are available on the SEC’s website at www.sec.gov.
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Tax Information Notice (Unaudited)
On account of the year ended October 31, 2020, the following Funds paid a capital gain distribution within the meaning 852 (b) (3) (c) of the Code. Each fund also designates as a capital gain distribution a portion of earnings and profits paid to shareholders in redemption of their shares.
Fund | Amounts per Share | |||
TCW Conservative Allocation Fund | $ | 0.07 | ||
TCW Relative Value Large Cap Fund | $ | 0.79 | ||
TCW Select Equities Fund | $ | 2.47 |
Under Section 854 (b) (2) of the Code, the Funds hereby designate the following maximum amounts as qualified dividends for purposes of the maximum rate under Section 1 (h) (11) of the Code for the fiscal year ended October 31, 2020:
Fund | Qualified Dividend Income | |||
TCW Artificial Intelligence Equity Fund | $ | 23,136 | ||
TCW Conservative Allocation Fund | $ | 1,630,127 | ||
TCW Global Real Estate Fund | $ | 23,986 | ||
TCW New America Premier Equities Fund | $ | 1,548,719 | ||
TCW Relative Value Dividend Appreciation Fund | $ | 7,846,456 | ||
TCW Relative Value Large Cap Fund | $ | 2,862,541 | ||
TCW Relative Value Mid Cap Fund | $ | 1,055,919 | ||
TCW Select Equities Fund | $ | 2,292,741 |
The following are dividend received deduction percentages for the Funds’ corporate shareholders:
Fund | Dividends Received Deductions | |||
TCW Global Real Estate Fund | 17.64% | |||
TCW New America Premier Equities Fund | 100% | |||
TCW Relative Value Dividend Appreciation Fund | 100% | |||
TCW Relative Value Large Cap Fund | 100% | |||
TCW Relative Value Mid Cap Fund | 100% |
This information is given to meet certain requirements of the Code and should not be used by shareholders for preparing their income tax returns. In February 2021, shareholders will receive Form 1099-DIV which will show the actual distribution received and include their share of qualified dividends during the calendar year of 2020. Shareholders are advised to check with their tax advisors for information on the treatment of these amounts on their individual tax returns.
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Directors and Officers of the Company
A board of seven directors is responsible for overseeing the operations of the Company, which consists of 18 Funds at October 31, 2020. The directors of the Company, and their business addresses and their principal occupation for the last five years are set forth below.
Independent Directors
Name, and Year of Birth (1) | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Other Directorships held by Director | |||
Samuel P. Bell (1936) | Mr. Bell has served as a director of TCW Funds, Inc. since October 2002. | Private Investor. | Point.360 (post production services); TCW Strategic Income Fund, Inc. (closed-end fund). | |||
Patrick C. Haden (1953) Chairman of the Board | Mr. Haden has served as a director of TCW Funds, Inc. since May 2001. | President (since 2003), Wilson Ave. Consulting (business consulting firm); Senior Advisor to President (July 2016 – June 2017) and Athletic Director (August 2010 – June 2016), University of Southern California. | Tetra Tech, Inc. (environmental consulting); Auto Club (affiliate of AAA); Metropolitan West Funds (mutual fund); TCW Strategic Income Fund, Inc. (closed-end fund). | |||
Peter McMillan (1957) | Mr. McMillan has served as a director of TCW Funds, Inc. since August 2010. | Co-founder (since 2019), Pacific Oak Capital Advisors (investment advisory firm); Co-founder, Managing Partner and Chief Investment Officer (since May 2013), Temescal Canyon Partners (investment advisory firm); Co-founder and Executive Vice President (2005-2019), KBS Capital Advisors (a manager of real estate investment trusts). | Pacific Oak Strategic Opportunity REIT (real estate investments); Pacific Oak Strategic Opportunity REIT II (real estate investments); Keppel Pacific Oak U.S. REIT (real estate investments); Pacific Oak Residential Trust (real estate investments); Metropolitan West Funds (mutual fund); TCW DL VII Financing LLC (business development company); TCW Strategic Income Fund, Inc. (closed-end fund). | |||
Victoria B. Rogers (1961) | Ms. Rogers has served as a director of the TCW Funds, Inc. since October 2011. | President and Chief Executive Officer (since 1996), The Rose Hills Foundation (charitable foundation). | Norton Simon Museum (art museum); Stanford University (university); Causeway Capital Management Trust (mutual fund; 6 portfolios); Causeway ETML Trust (mutual fund); The Rose Hills Foundation (charitable foundation) TCW Strategic Income Fund, Inc. (closed-end fund). | |||
Andrew Tarica (1959) | Mr. Tarica has served as a director of the TCW Funds, Inc. since March 2012. | Chief Executive Officer (since February 2001), Meadowbrook Capital Management (asset management company); and Employee (since 2003), Cowen Prime Services (broker dealer). | Metropolitan West Funds (mutual fund); TCW Strategic Income Fund, Inc. (closed-end fund); TCW Direct Lending VII, LLC (business development company). |
(1) | The address of each Independent Director is c/o Morgan Lewis, & Bockius LLP, Counsel to the Independent Directors, 300 South Grand Avenue 22nd Floor, Los Angeles, CA 90071. |
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Interested Directors
These directors are “interested persons” of the Company as defined in the 1940 Act because they are directors and officers of the Advisor, and shareholders and directors of The TCW Group, Inc., the parent company of the Advisor.
Name and Year of Birth | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Other Directorships held by Director | |||
Marc I. Stern (1944) | Mr. Stern has served as a director since inception of TCW Funds, Inc. in September 1992. | Chairman (since January 2016), TCW LLC; Chairman (since February 2013), The TCW Group Inc., TCW Investment Management Company LLC, TCW Asset Management Company LLC and Metropolitan West Asset Management, LLC; Chairman (2014 – December 2015), Trust Company of the West. | N/A | |||
David S. DeVito (1962) President and Chief Executive Officer | Mr. DeVito has served as a director of the TCW Funds, Inc. since January 2014 and as its President and Chief Executive Officer since January 2014. | Executive Vice President and Chief Operating Officer (since January 2016), TCW LLC; Executive Vice President and Chief Operating Officer (since October 2013), TCW Investment Management Company LLC, The TCW Group, Inc., Metropolitan West Asset Management, LLC and TCW Asset Management Company LLC; President and Chief Executive Officer (since January 2014), TCW Strategic Income Fund, Inc.; Chief Financial Officer and Treasurer (since 2010), Metropolitan West Funds. | TCW Strategic Income Fund, Inc. (closed-end fund) |
The officers of the Company who are not directors of the Company are:
Name and Year of Birth | Position(s) Held with Company | Principal Occupation(s) During Past 5 Years (1) | ||
Lisa Eisen (1963) Tax Officer | Ms. Eisen has served as Tax Officer of TCW Funds, Inc. since December 2016. | Tax Officer (since December 2016), Metropolitan West Funds and TCW Strategic Income Fund, Inc.; Managing Director and Director of Tax (since August 2016), TCW LLC; Vice President of Corporate Tax and Payroll for Health Net, Inc. (1998 – July 2016). |
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Directors and Officers of the Company (Continued)
Name and Year of Birth | Position(s) Held with Company | Principal Occupation(s) During Past 5 Years (1) | ||
Meredith S. Jackson (1959) Senior Vice President, General Counsel and Secretary | Ms. Jackson has served as Senior Vice President since January 2016 and General Counsel and Secretary of TCW Funds, Inc. since February 2013. | Executive Vice President, General Counsel and Secretary (since January 2016), TCW LLC; Executive Vice President, General Counsel and Secretary (since February 2013), TCW Investment Management Company LLC, The TCW Group Inc., TCW Asset Management Company LLC, and Metropolitan West Asset Management, LLC and Trust Company of the West (2013 – December 2015); Senior Vice President, General Counsel and Secretary (since February 2013), TCW Strategic Income Fund, Inc.; Vice President and Secretary (since February 2013), Metropolitan West Funds. | ||
Jeffrey Engelsman (1967) Chief Compliance Officer and AML Officer | Mr. Engelsman has served as Chief Compliance Officer of TCW Funds, Inc. since September 2014 and AML Officer of TCW Funds, Inc. since December 2016. | AML Officer (since December 2016), Metropolitan West Funds, and TCW Strategic Income Fund, Inc.; Managing Director and Global Chief Compliance Officer (since January 2016), TCW LLC; Chief Compliance Officer (since 2014), Metropolitan West Funds; Managing Director, Global Chief Compliance Officer (since August 2014), Metropolitan West Asset Management Company, LLC, and TCW Asset Management Company LLC (since August 2014) and Trust Company of the West (2014 – December 2015); Global Chief Compliance Officer (since September 2014), The TCW Group, Inc.; Chief Compliance Officer (since September 2014), TCW Strategic Income Fund, Inc. | ||
Richard M. Villa (1964) Treasurer Principal Financial and Accounting Officer | Mr. Villa has served as Treasurer and Principal Financial and Accounting Officer of TCW Funds, Inc. since February 2014. | Managing Director, Chief Financial Officer and Assistant Secretary (since January 2016), TCW LLC; Treasurer and Principal Financial and Accounting Officer (since February 2014), TCW Strategic Income Fund, Inc.; Managing Director and Chief Financial Officer and Assistant Secretary (since July 2008), TCW Investment Management Company LLC, the TCW Group, Inc., TCW Asset Management Company LLC, Metropolitan West Asset Management, LLC and Trust Company of the West (2008 – December 2015). |
(1) | Positions with The TCW Group, Inc. and its affiliates may have changed over time. |
* | Address is 865 South Figueroa Street, 18th Floor, Los Angeles, California 90017. |
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In addition, Eric Chan, Senior Vice President of Fund Operations for the Advisor, TCW Asset Management Company LLC, TCW LLC (since 2009), and Metropolitan West Asset Management, LLC (since November 2006), is Assistant Treasurer of the Company (since June 2019) and Metropolitan West Funds (since 2010). Mr. Chan is a Certified Public Accountant. Patrick W. Dennis, Senior Vice President, Associate General Counsel and Assistant Secretary of TCW Asset Management Company LLC, Metropolitan West Asset Management, LLC, TCW LLC, the Advisor (since February 2013) and Trust Company of the West (February 2013 – December 2015), is Vice President and Assistant Secretary of the Company.
The SAI (Statement of Additional Information) has additional information regarding the Board of Directors. A copy is available without charge by calling 1-800-FUND-TCW (1-800-386-3829) to obtain a hard copy or by going to the SEC website at http://www.sec.gov.
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TCW Funds, Inc.
865 South Figueroa Street, Suite 1800
Los Angeles, California 90017
800 FUND TCW
(800 386 3829)
www.TCW.com
INVESTMENT ADVISOR
TCW Investment Management Company LLC
865 South Figueroa Street, Suite 1800
Los Angeles, California 90017
TRANSFER AGENT
U.S. Bancorp Fund Services, LLC
615 E. Michigan Street
Milwaukee, Wisconsin 53202
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
555 West 5th Street
Los Angeles, California 90013
CUSTODIAN & ADMINISTRATOR
State Street Bank & Trust Company
One Lincoln Street
Boston, Massachusetts 02111
DISTRIBUTOR
TCW Funds Distributors LLC
865 South Figueroa Street, Suite 1800
Los Angeles, California 90017
DIRECTORS
Patrick C. Haden
Director and Chairman of the Board
Samuel P. Bell
Director
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
FUNDarEQ1020
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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 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.
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The Letter to Shareholders and/or Management Discussions contained in this Annual Report are the opinions of each Fund’s portfolio managers and are not the opinions of TCW Funds, Inc. or its Board of Directors. Various matters discussed in the Letter to Shareholders and/or Management Discussions constitute forward-looking statements within the meaning of the federal securities laws. Actual results and the timing of certain events could differ materially from those projected or contemplated by these forward-looking statements due to a number of factors, including general economic conditions, overall availability of securities for investment by a Fund, the level of volatility in the securities markets and in the share price of a Fund, and other risk factors discussed in the SEC filings of TCW Funds, Inc. The data presented in the Letter to Shareholders and/or Management Discussions represents past performance and cannot be used to predict future results. |
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David S. DeVito President, Chief Executive Officer and Director |
Dear Valued Investors,
I am pleased to present the 2020 Annual Report for the TCW Funds, Inc. covering the 12-month period ended October 31, 2020. I would like to express our appreciation for your continued investment in the TCW Funds as well as to welcome new shareholders to our fund family. As of October 31, 2020, the TCW Funds held total net investor assets of approximately $17.6 billion.
This report contains information and portfolio management discussions of our TCW Fixed Income Funds.
Economic Review and Market Environment
The defining characteristics of the past year remain centered on the disruption that has been brought to the economy and the markets by the COVID-19 pandemic. As the virus spread globally and strict economic curbs were put into place to slow its transmission, markets reacted with a swift repricing in a widespread sell-off in the first quarter of 2020. No sector was immune, particularly as levered investor (forced) sales and more routine redemptions tested liquidity in a fashion unhappily reminiscent of 2008. The sharpness of the drop, both in the financial markets and in the broader economy, resulted in decisive action by the Federal Reserve and Congress, which provided trillions of dollars in the form of monetary and fiscal stimulus. Notably, the Fed stepped in and lopped off the final 150 basis points of its target rate in a return to a zero interest rate policy (ZIRP) through an intra-meeting announcement, while also resuming its asset purchase programs with unprecedented scale and speed. The effect of these policies was staggering as an abundance of liquidity and investors impervious to downside potential, seemingly secure in a reliance on monetary policy to backstop markets, led to an extreme risk market reversal from the troughs of March. Equities recouped the entirety of early-year losses and indices were notching new highs by the end of August, gaining nearly 10% for the year ended October 31, 2020. Meanwhile, U.S.
Treasury yields fell across all maturities against this backdrop of renewed monetary support, with the effect most pronounced in the front end (U.S. T-Bill yields on maturities of less than one year were roughly 140 bps lower year-over-year).
As yields moved lower, fixed income markets delivered positive total returns and the Bloomberg Barclays Aggregate Index gained 6.2% during the period, though it trailed duration-matched Treasuries by approximately 12 bps. Underlying this Index return, investment grade corporate credit was up 7.1%, while high yield recovered from severe spread widening early in 2020 to provide a gain of approximately 3.5%. Among non-corporate credit, municipals gained 6.4%, but trailed duration-matched Treasuries by over 400 bps. Outside of credit, securitized products were mixed in terms of performance. Agency mortgage-backed securities (MBS) were supported by the massive amount of Fed support to gain just under 4.0% during the period and delivering 15 bps of positive excess return over duration-matched Treasuries. Commercial MBS (CMBS) also did well, though agency-backed issues were the clear outperformers in terms of collateral type, with total returns of nearly 7.2% and positive excess returns of 23 bps over duration-matched Treasuries, while non-agency CMBS trailed duration-matched Treasuries. Meanwhile, after significant pricing dislocations in March of 2020, non-agency MBS remediated with several months of consistent, positive returns, particularly from issues backed by subprime and alt-A collateral. Finally, asset-backed securities (ABS) gained 4.3% and outperformed duration-matched Treasuries by over 80 bps.
The Economy and Market Ahead
Going forward, the outlook for growth is uncertain and highly dependent on the path of the pandemic and response, with expectations for COVID-19-driven behavioral changes and persistent labor market disparities to be a headwind to a consumer-driven rebound in
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Letter to Shareholders (Continued) |
economic activity. While there are sectors that stand to benefit from the massive government response and shifting consumption/investment patterns from the pandemic, overall risk market valuations look stretched as spreads trade back close to early 2020 levels and through long-term averages. Without doubt, the next phase of the recovery will likely be more difficult, particularly given the delay in, and likely reduction of, additional fiscal support against the backdrop of a rancorous political landscape. What is clear is that headline volatility isn’t going to subside any time soon, and the strategies are positioned with an eye towards having dry powder to take advantage of potential opportunities in the fixed income markets. The investment management team continues to emphasize a cycle-aware philosophy and portfolios remain true to this disciplined, value-based approach.
Data sources for the discussion above include Bloomberg Barclays.
These are challenging times for all of us, both in our personal and professional lives, and on behalf of everyone at TCW, I wish you and your loved ones good health and safety. We truly value our relationship with you and thank you for making the TCW Funds part of your long-term investment plan. If you have any questions or require further information, I invite you to visit our website at www.tcw.com, or call our shareholder services department at 800-386-3829.
I look forward to further correspondence with you through our semi-annual report next year.
Sincerely,
David S. DeVito
President, Chief Executive Officer and Director
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TCW Core Fixed Income Fund
Management Discussions
The TCW Core Fixed Income Fund — I Class (“Fund”) gained 7.14% (net of fees) for the one year period ended October 31, 2020, beating the Bloomberg Barclays U.S. Aggregate Index by 95 bps. Early in the period, the Fund maintained an underweight to corporate credit given what we viewed to be late cycle dynamics (i.e. high corporate leverage and share buybacks), which benefitted performance amid the virus-induced spread widening early in 2020. This conservative posture further rewarded returns as defensive industries such as healthcare and pharmaceuticals outperformed more market-sensitive areas like energy, cyclicals, and non-U.S. sovereigns. During this cheapening phase, the Fund took the opportunity to purchase credits at compelling levels, which delivered another boost to returns as yield premiums remediated in the second quarter of 2020. Positioning has since been trimmed and currently represents a relative underweight to the Index. Among securitized products, the allocation to agency MBS (mortgage-backed securities) increased at favorable entry points as the sector was weighed down by Fed tapering and low rates in 2019. This upsized shift benefited performance given the Fed’s massive sponsorship instituted in March. Further, the preference among agency MBS for current/lower coupon TBAs contributed to performance with incremental carry — financing rates are relatively attractive among lower coupons given the sizable Fed footprint. ABS (asset-backed securities) and CMBS (commercial mortgage-backed securities) sectors were both weighed down by the negative effects from the health crisis, though issue selection favoring senior, higher-quality CMBS was additive on the margin, with an additional contribution coming from legacy non-agency MBS (not held in the Index) as the sector has posted steady positive returns with the exception of March 2020. Finally, the Fund’s duration profile modestly detracted from relative returns, moving from neutral to underweight as yields declined to historic lows over the period.
Looking forward, the corporate allocation remains underweight, and is made up of defensive sectors (non-cyclicals and communications) that we believe should offer more stability, and idiosyncratic opportunities where higher yield premiums offer more compelling value. Within the securitized space, the allocation to agency MBS swapped some specified pool exposure for TBAs given attractive financing rates, with a focus on low coupon issues where the Fed has concentrated its purchases. Non-agency MBS continues to be an area offering value, particularly legacy issues that have strong underlying fundamentals, with an overall eye towards adding exposure in heavily discounted, senior legacy securities. Among ABS, the Fund’s exposure avoids more vulnerable collateral types such as credit card loans, preferring AAA-rated CLOs (collateralized loan obligations) and government-guaranteed student loan collateral, though the allocation to FFELP student loans may be opportunistically trimmed given relatively tight spread levels. Finally, the duration position is approximately 0.6 years shorter than the benchmark as Treasury rates remain near historic lows.
Performance through October 31, 2020(1) | ||||||||||||||||||||
1 Year (annualized) | 3 Year (annualized) | 5 Year (annualized) | 10 Year (annualized) | Since (annualized) | ||||||||||||||||
TCW Core Fixed Income Fund | ||||||||||||||||||||
Class I (Inception: January 1, 1990) | 7.14 | % | 5.44 | % | 4.17 | % | 3.82 | % | 6.00 | %(2) | ||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 6.19 | % | 5.06 | % | 4.08 | % | 3.55 | % | 5.95 | % | ||||||||||
Class N (Inception: March 1, 1999) | 6.92 | % | 5.21 | % | 3.93 | % | 3.53 | % | 5.13 | % | ||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 6.19 | % | 5.06 | % | 4.08 | % | 3.55 | % | 4.94 | % | ||||||||||
Class Plan (Inception: February 28, 2020) | — | — | — | — | 3.98 | %(3) | ||||||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | — | — | — | — | 2.46 | %(3) |
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TCW Core Fixed Income Fund
Management Discussions (Continued)
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TCW Core Fixed Income Fund
Management Discussions (Continued)
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
(2) | Performance data includes the performance of the predecessor entity for periods before the Fund’s registration became effective. The predecessor entity was not registered under the 1940 Act and, therefore, was not subject to certain investment restrictions that are imposed by the 1940 Act. If the predecessor entity had been registered under the 1940 Act, the predecessor entity’s performance may have been lower. |
(3) | Non-annualized. Cumulative return for the Class Plan during the period of February 28, 2020 through October 31, 2020. |
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TCW Enhanced Commodity Strategy Fund
Management Discussions
The TCW Enhanced Commodities Strategy Fund — I Class (“Fund”) fell 5.82% (net of fees) for the one-year period ending October 31, 2020, outpacing the Bloomberg Commodities Index by over 290 bps. The negative return was driven by the lagging performance of the commodities market, which was weighed down by the global slowdown owing to the pandemic. Meanwhile, the allocation to fixed income securities boosted the Fund’s relative performance. The Fund was conservatively positioned heading into the sharp sell-off in March, allowing it to weather the storm reasonably well and ensuring ample liquidity to take advantage of emerging opportunities by expanding the risk budget. On the heels of massive government stimulus and accommodative measures, as well as subsequent partial economic re-openings, fixed income rebounded in the following months with investment grade corporates contributing positively to returns for the overall period. Notable contributors included banking, technology, healthcare, healthcare REITs, P&C insurance, food & beverage, and pharmaceuticals, while an additional gain came from a modest exposure to high yield corporates. Securitized products were further additive, especially non-agency CMBS favoring higher quality, seasoned, and up-in-the-capital structure issues, followed by non-agency MBS, which benefited from strong housing fundamentals (i.e. brisk home sales fueled by low rates as well as the prevalence of stay-at-home measures due to the pandemic). However, government-guaranteed student loan ABS was a drag, as the sector came under pressure from forbearance concerns due to the health crisis. Finally, a Fund duration profile averaging about 1 year was beneficial for the specified period as rates plunged amid the pandemic and remain near historic lows.
Fund strategy and potential repositioning will continue to be guided by TCW’s views on valuations across the allocable sectors providing the Fund with ample levels of liquidity to respond to rapidly changing market valuations. Current positioning in investment grade corporates is made up of more defensive sectors (non-cyclicals and certain financials) that we believe should offer more stability, and idiosyncratic opportunities where higher yield premiums offer more compelling value. The exposure to high yield corporates was increased at attractive entry points during the first quarter’s cheapening phase, with preference for defensive, larger, more liquid, and relatively higher quality, and additional buying opportunities are expected as downgrades swell the volume of available debt and distressed sellers appear. Within the securitized space, non-agency MBS continues to be an area offering value, particularly legacy issues that have strong underlying fundamentals, with an overall eye towards adding exposure in heavily discounted, senior legacy securities. In CMBS, the allocation was trimmed throughout the year and is split between agency and non-agency issues, with a modest bias for the latter focused on higher quality, senior bonds. Among ABS, the Fund’s exposure avoids more vulnerable collateral types such as credit card loans, preferring AAA-rated CLOs and government-guaranteed student loan collateral, though the allocation to FFELP student loans may be opportunistically trimmed given relatively tight spread levels. In addition, the Fund continues to maintain an exposure to the commodity market via commodity-linked derivatives. Finally, the Fund’s duration was reduced and ended the period at 0.8 year amid record low rates.
Performance through October 31, 2020(1) | ||||||||||||||||
1 Year (annualized) | 3 Year (annualized) | 5 Year (annualized) | Since (annualized) | |||||||||||||
TCW Enhanced Commodity Strategy Fund | ||||||||||||||||
Class I (Inception: April 1, 2011) | -5.82 | % | -2.93 | % | -1.26 | % | -6.18 | % | ||||||||
Class N (Inception: April 1, 2011) | -5.90 | % | -3.03 | % | -1.36 | % | -6.22 | % | ||||||||
Bloomberg Commodity Index | -8.75 | % | -4.41 | % | -2.73 | % | -7.99 | % |
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TCW Enhanced Commodity Strategy Fund
Management Discussions (Continued)
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
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TCW Global Bond Fund
Management Discussions
The TCW Global Bond Fund — I Class (“Fund”) gained 7.99% (net of fees) for the one-year period ended October 31, 2020, beating the Bloomberg Barclays Global Aggregate Index by 236 bps. Outperformance was driven, in large part, by issue selection among U.S. corporate credit and high-quality emerging market sovereign and select local government and agency issues. In addition, the Fund’s exposure to securitized products, particularly legacy non-agency issues benefitted in what was a significantly volatile period. From a country and currency perspective, the Fund gained largely from the overweight to high quality emerging markets (EM) sovereign and quasi sovereign names, as well as a large currency and country underweight to the Euro. The Fund also significantly benefitted by being slightly long duration, with particular emphasis on U.S. rates, at the beginning of the period as global sovereign rates collapsed in Q1 2020. Consistent with our value discipline, this position was trimmed to a slight underweight to the Index by Q2 2020. During March pricing dislocations, the Fund took the opportunity to sizably increase its U.S. corporate credit exposure at compelling levels, which delivered another boost to returns as yield premiums remediated in the second quarter of 2020.
Portfolio strategy and potential repositioning will continue to be guided by TCW’s views on valuations across countries, currencies, and sectors. Current country positioning favors the U.S. and EM as the largest country overweight, while the currency exposure is focused primarily in EM with an emphasis on investment grade countries, along with a small overweight to the USD and higher-yielding non-Euro proxies to offset a large Euro underweight. Our approach has been to add risk aggressively in high quality sectors and countries that either benefit directly from global central bank activity or that have robust fundamentals that reduce the need for external support. As those sectors and countries recover, we will look to migrate down the quality spectrum to take advantage of expected further dislocation in more credit sensitive sectors. Exposure to high quality EM credits that we believe should continue to benefit from ample global liquidity has been steadily increased to an overweight. After a substantial increase to high quality corporate credit exposure in late March, the position has been subsequently trimmed at measurable gains. The allocation is made up of defensive sectors (non-cyclicals and communications) that we believe offer more stability through volatility, and idiosyncratic opportunities where higher yield premiums offer more compelling value. Meanwhile, high yield credit exposure is limited, focused on defensive, larger more liquid, and relatively high-quality credit, though further opportunities are expected to add more substantially as downgrades swell the volume of available debt and distressed sellers appear. The overweight to U.S. securitized products has also been maintained, with a particular emphasis on residential MBS. The allocation to agency MBS emphasizes TBAs given attractive financing rates, with a focus on low coupon issues where the Fed has concentrated its purchases. Non-agency MBS continues to be an area offering value, particularly legacy issues that have strong underlying fundamentals, with an overall eye towards adding exposure in heavily discounted, senior legacy securities. Finally, the duration position ended the period slightly shorter than the benchmark as global Treasury rates remain near historic lows.
Performance through October 31, 2020(1) | ||||||||||||||||
1 Year (annualized) | 3 Year (annualized) | 5 Year (annualized) | Since (annualized) | |||||||||||||
TCW Global Bond Fund | ||||||||||||||||
Class I (Inception: December 1, 2011) | 7.99 | % | 5.14 | % | 4.09 | % | 3.28 | % | ||||||||
Bloomberg Barclays Global Aggregate Bond Index | 5.63 | % | 4.26 | % | 3.90 | % | 2.26 | % | ||||||||
Class N (Inception: December 1, 2011) | 7.93 | % | 5.09 | % | 4.06 | % | 3.26 | % | ||||||||
Bloomberg Barclays Global Aggregate Bond Index | 5.63 | % | 4.26 | % | 3.90 | % | 2.26 | % | ||||||||
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TCW Global Bond Fund
Management Discussions (Continued)
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
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TCW High Yield Bond Fund
Management Discussions
The TCW High Yield Bond Fund — I Class (“Fund”) returned 6.88% (net of fees) for the one-year period ended October 31, 2020, delivering a 445 bps premium over the FTSE High Yield Cash Pay Custom Index return. Outperformance was driven by the Fund’s focus on higher quality issues, as the BB-rated cohort returned 6.7% for the period and significantly outpaced the lower-rated CCC segment, which fell over 3%. An emphasis on consumer non-cyclicals and insurance also benefitted performance, with particularly robust contributions from health insurance and food & beverage credits. The underweight to energy credits was also additive, as commodity price volatility early in 2020 weighed on the sector, while further contributions came from superior issue selection within the sector. Finally, performance was held back by the Fund’s relatively short duration profile which acted as a headwind as rates fell across the curve.
After a substantial increase to high quality corporate credit exposure in late March, the position has been subsequently trimmed at measurable gains, with a continued emphasis on more defensive sectors such as consumer non-cyclicals and communications that we believe offer more stability through volatility. The strategy will be managed with an eye towards idiosyncratic opportunities where higher yield premiums offer more compelling value, particularly in a market that we believe will experience further bouts of volatility. As of now, the Fund remains underweight the lowest-rated cohort of high yield markets, as we believe current valuations do not adequately compensate investors for the underlying downside risks, with little buffer to sustain a drawn-out economic recovery. Prospective volatility is likely to impact these lower-quality areas of the credit markets more acutely and provide additional opportunities to expand the risk budget as distressed sellers appear. Furthermore, we expect leverage levels to remain persistently elevated, compounded by lower recovery rates (JP Morgan’s most recent calculation for losses upon default for high yield bonds this year are expected to be 85%, i.e. lenders have recovered on average 15% of principal upon default, far below the historical average of 40% in past default cycles). As such, the team remains focused on security selection and fundamental credit underwriting to minimize principal loss. Finally, duration positioning ended the quarter at approximately 0.4 years shorter than the benchmark as Treasury rates remain near historic lows.
Performance through October 31, 2020(1) | ||||||||||||||||||||
1 Year (annualized) | 3 Year (annualized) | 5 Year (annualized) | 10 Year (annualized) | Since (annualized) | ||||||||||||||||
TCW High Yield Bond Fund | ||||||||||||||||||||
Class I (Inception: February 1, 1989) | 6.88 | % | 6.17 | % | 6.08 | % | 5.57 | % | 7.15 | %(2) | ||||||||||
FTSE High Yield Cash Pay Custom Index | 2.43 | % | 3.67 | % | 5.77 | % | 5.82 | % | 7.63 | % | ||||||||||
Class N (Inception: March 1, 1999) | 6.61 | % | 5.87 | % | 5.80 | % | 5.34 | % | 5.41 | % | ||||||||||
FTSE High Yield Cash Pay Custom Index | 2.43 | % | 3.67 | % | 5.77 | % | 5.82 | % | 6.39 | % |
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TCW High Yield Bond Fund
Management Discussions (Continued)
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
(2) | Performance data includes the performance of the predecessor entity for periods before the Fund’s registration became effective. The predecessor entity was not registered under the 1940 Act and, therefore, was not subject to certain investment restrictions that are imposed by the 1940 Act. If the predecessor entity had been registered under the 1940 Act, the predecessor entity’s performance may have been lower. |
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TCW Short Term Bond Fund
Management Discussions
The TCW Short Term Bond Fund — I Class (“Fund”) gained 1.70% (net of fees) for the one year period ended October 31, 2020, trailing the FTSE 1-Year U.S. Treasury Index (“Index”) by 35 bps. A shorter than Index duration profile was the largest drag on relative returns as Treasury yields declined to historic lows over the period. Additionally, while yield premiums have compressed in recent months, the allocation to corporate credit detracted from performance given the significant widening during the first quarter. However, this drag was offset by favorable issue selection among corporates. A conservative posture rewarded returns as non-cyclicals, diversified manufacturing, and autos outperformed more market-sensitive areas like energy, cyclicals and non-U.S. sovereigns over the period. During the cheapening phase, the Fund took the opportunity to purchase credits at compelling levels, which delivered another boost to returns as yield premiums remediated in the second quarter of 2020. Positioning has since been trimmed. Away from corporates, modest contributions came from securitized product holdings. Residential MBS holdings including agency CMOs (collateralized mortgage obligations) and non-agency MBS were both somewhat additive, particularly the latter as the sector has posted steady positive returns with the exception of March 2020. CMBS holdings were also slightly beneficial given the higher quality emphasis as agency CMBS outpaced non-agency CMBS considerably.
Current allocation in investment grade corporates is made up principally of defensive sectors (i.e. non-cyclicals and certain financials) that we believe should offer more stability, and idiosyncratic opportunities where higher yield premiums offer more compelling value. In securitized products, the position in agency MBS is focused on well-structured CMOs that are floating rate given stable duration profiles, while non-agency MBS continues to be an area offering value, particularly legacy issues that have strong underlying fundamentals, with an overall eye towards adding exposure in heavily discounted, senior legacy securities. The CMBS exposure is split between agency and non-agency bonds, with a bias for agency-backed issues, while the allocation in non-agency CMBS favors senior seasoned bonds. Finally, the duration position is approximately 0.7 year shorter than the benchmark as Treasury rates remain near historic lows.
Performance through October 31, 2020(1) | ||||||||||||||||||||
1 Year (annualized) | 3 Year (annualized) | 5 Year (annualized) | 10 Year (annualized) | Since (annualized) | ||||||||||||||||
TCW Short Term Bond Fund | ||||||||||||||||||||
Class I (Inception: February 1, 1990) | 1.70 | % | 2.26 | % | 1.67 | % | 1.35 | % | 3.80 | %(2) | ||||||||||
FTSE 1-Year Treasury Index | 2.05 | % | 2.21 | % | 1.56 | % | 0.95 | % | 3.43 | % |
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TCW Short Term Bond Fund
Management Discussions (Continued)
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
(2) | Performance data includes the performance of the predecessor entity for periods before the Fund’s registration became effective. The predecessor entity was not registered under the 1940 Act and, therefore, was not subject to certain investment restrictions that are imposed by the 1940 Act. If the predecessor entity had been registered under the 1940 Act, the predecessor entity’s performance may have been lower. |
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TCW Total Return Bond Fund
Management Discussions
The TCW Total Return Bond Fund — I Class (“Fund”) gained 7.08% (net of fees) for the one-year ending October 31, 2020, outpacing the Bloomberg Barclays Aggregate Index (“Index”) by 89 bps. The Fund was conservatively positioned heading into the sharp sell-off in March, allowing it to weather the storm while ensuring ample liquidity to take advantage of emerging opportunities by expanding the risk budget, benefiting further on the heels of massive government stimulus and subsequent partial economic re-openings. Legacy non-agency MBS (not held in the Index) bolstered returns, sustained by a strong housing backdrop (i.e. brisk home sales and increased home price appreciation) to overcome the volatility during March. In agency MBS, an upsized exposure in the first quarter provided additional gains given the Fed’s unlimited sponsorship. Although the sector trailed other securitized products during the second and third quarters, the Fund’s preference for low coupon TBAs had a positive impact, attributable to Fed purchases in prevailing current coupons. Delivering an additional boost to returns was the exposure to CMBS, especially driven by the increase in the allocation to senior seasoned non-agency bonds during the first quarter’s cheapening phase. In ABS, notwithstanding rebounding from the spring sell-off, government-guaranteed student loans remained a slight negative for the specified period due to forbearance concerns. The lack of exposure to non-corporate credit like non-U.S. sovereigns also rewarded the Fund given global growth worries due to COVID-19.
Fund strategy and potential repositioning will continue to be guided by TCW’s views on valuations across the allocable sectors. Volatility early in the year coupled with defensive positioning resulted in opportunistic additions, though as markets remediated, risk was trimmed at measurable gains, and the Fund is positioned with ample levels of liquidity to respond to rapidly changing market valuations. Current positioning remains focused on agency MBS, specifically 30-year pass-through issues, with a preference for TBAs given attractive financing rates, and in particular, low coupon issues where the Fed has concentrated its purchases. The Fund also maintains an allocation to well-structured CMOs with stable duration profiles. Non-agency MBS continues to be an area offering value, particularly legacy issues that have strong underlying fundamentals, with an overall eye towards adding exposure in heavily discounted, senior legacy securities. Among ABS, the Fund’s modest exposure avoids more vulnerable collateral types such as credit card loans, preferring AAA-rated CLOs and government-guaranteed student loan collateral, though the allocation to FFELP student loans may be opportunistically trimmed given relatively tight spread levels. The CMBS exposure is split between agency issues (with the Fed purchasing program providing some support) and senior seasoned non-agency bonds consisting in part of single asset, single borrower deals. Finally, the Fund’s duration is approximately 0.7 year shorter than the benchmark as Treasury rates plunged amid the pandemic and remain near historic lows.
Performance through October 31, 2020(1) | ||||||||||||||||||||
1 Year (annualized) | 3 Year (annualized) | 5 Year (annualized) | 10 Year (annualized) | Since (annualized) | ||||||||||||||||
TCW Total Return Bond Fund | ||||||||||||||||||||
Class I (Inception: June 17, 1993) | 7.08 | % | 5.28 | % | 4.02 | % | 4.56 | % | 6.34 | % | ||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 6.19 | % | 5.06 | % | 4.08 | % | 3.55 | % | 5.31 | % | ||||||||||
Class N (Inception: March 1, 1999) | 6.86 | % | 4.99 | % | 3.73 | % | 4.25 | % | 5.82 | % | ||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 6.19 | % | 5.06 | % | 4.08 | % | 3.55 | % | 5.31 | % | ||||||||||
Class Plan (Inception: February 28, 2020) | — | — | — | — | 3.22 | %(2) | ||||||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | — | — | — | — | 2.46 | %(2) |
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TCW Total Return Bond Fund
Management Discussions (Continued)
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TCW Total Return Bond Fund
Management Discussions (Continued)
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
(2) | Non-annualized. Cumulative return for the Class Plan during the period of February 28, 2020 through October 31, 2020. |
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Table of Contents
Schedule of Investments | October 31, 2020 |
Issues | Maturity Date | Principal Amount | �� | Value | ||||||||
FIXED INCOME SECURITIES — 100.6% of Net Assets |
| |||||||||||
CORPORATE BONDS — 22.2% |
| |||||||||||
Aerospace/Defense — 0.1% | ||||||||||||
Northrop Grumman Corp. |
| |||||||||||
5.25% | 05/01/50 | $ | 720,000 | $ | 1,028,678 | |||||||
|
| |||||||||||
Agriculture — 0.5% |
| |||||||||||
BAT Capital Corp. | ||||||||||||
2.73% | 03/25/31 | 1,100,000 | 1,090,353 | |||||||||
4.39% | 08/15/37 | 470,000 | 503,564 | |||||||||
4.54% | 08/15/47 | 1,270,000 | 1,338,807 | |||||||||
5.28% | 04/02/50 | 1,285,000 | 1,505,239 | |||||||||
Reynolds American, Inc. | ||||||||||||
5.70% | 08/15/35 | 260,000 | 320,679 | |||||||||
5.85% | 08/15/45 | 2,770,000 | 3,371,672 | |||||||||
|
| |||||||||||
8,130,314 | ||||||||||||
|
| |||||||||||
Airlines — 0.3% | ||||||||||||
America West Airlines, Inc. Pass-Through Certificates (00-2-A1) (EETC) |
| |||||||||||
7.71% | 10/02/22 | 4,519 | 4,487 | |||||||||
America West Airlines, Inc. Pass-Through Certificates (01-1) (EETC) |
| |||||||||||
7.10% | 10/02/22 | 358,389 | 352,866 | |||||||||
America West Airlines, Inc. Pass-Through Certificates, (01-1) (EETC) |
| |||||||||||
5.98% | 10/19/23 | 619,938 | 605,004 | |||||||||
Delta Air Lines Pass-Through Trust, (19-1-AA) |
| |||||||||||
3.20% | 10/25/25 | 1,500,000 | 1,493,760 | |||||||||
Northwest Airlines LLC Pass-Through Certificates, (01-1-A1) (EETC) |
| |||||||||||
7.04% | 10/01/23 | 380,832 | 372,281 | |||||||||
US Airways Group, Inc. Pass-Through Certificates (12-1-A) (EETC) |
| |||||||||||
5.90% | 04/01/26 | 1,215,890 | 1,136,857 | |||||||||
US Airways Group, Inc. Pass-Through Certificates, (10-1A) (EETC) |
| |||||||||||
6.25% | 10/22/24 | 266,815 | 240,675 | |||||||||
US Airways Group, Inc. Pass-Through Certificates, (12-2-A) (EETC) |
| |||||||||||
4.63% | 12/03/26 | 513,516 | 410,659 | |||||||||
|
| |||||||||||
4,616,589 | ||||||||||||
|
| |||||||||||
Auto Manufacturers — 0.8% | ||||||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
1.04% (3 mo. USD LIBOR + 0.810%) (1) | 04/05/21 | 710,000 | 704,540 | |||||||||
1.10% (3 mo. USD LIBOR + 0.880%) (1) | 10/12/21 | 2,265,000 | 2,209,717 | |||||||||
1.30% (3 mo. USD LIBOR + 1.080%) (1) | 08/03/22 | 1,000,000 | 964,370 | |||||||||
1.50% (3 mo. USD LIBOR + 1.270%) (1) | 03/28/22 | 445,000 | 429,633 | |||||||||
2.34% | 11/02/20 | 1,500,000 | 1,503,150 | |||||||||
3.22% | 01/09/22 | 990,000 | 986,297 | |||||||||
3.81% | 10/12/21 | 636,000 | 640,372 | |||||||||
5.75% | 02/01/21 | 195,000 | 197,009 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Auto Manufacturers (Continued) | ||||||||||||
General Motors Financial Co., Inc. |
| |||||||||||
3.15% | 06/30/22 | $ | 1,540,000 | $ | 1,587,951 | |||||||
3.20% | 07/06/21 | 510,000 | 516,932 | |||||||||
3.45% | 04/10/22 | 310,000 | 319,123 | |||||||||
3.55% | 04/09/21 | 1,750,000 | 1,770,093 | |||||||||
4.20% | 11/06/21 | 375,000 | 386,884 | |||||||||
4.38% | 09/25/21 | 600,000 | 618,635 | |||||||||
|
| |||||||||||
12,834,706 | ||||||||||||
|
| |||||||||||
Banks — 2.6% | ||||||||||||
Bank of America Corp. |
| |||||||||||
1.32% (SOFR + 1.150%) (1) | 06/19/26 | 1,220,000 | 1,228,686 | |||||||||
2.88% (3 mo. USD LIBOR + 1.190%) (1) | 10/22/30 | 750,000 | 806,762 | |||||||||
4.08% (3 mo. USD LIBOR + 3.150%) (1) | 03/20/51 | 1,605,000 | 1,968,736 | |||||||||
Citigroup, Inc. |
| |||||||||||
2.57% (SOFR + 2.107%) (1) | 06/03/31 | 2,205,000 | 2,300,742 | |||||||||
3.20% | 10/21/26 | 1,225,000 | 1,348,318 | |||||||||
4.41% (SOFR + 3.914%) (1) | 03/31/31 | 1,225,000 | 1,456,224 | |||||||||
Fifth Third Bancorp |
| |||||||||||
2.55% | 05/05/27 | 1,755,000 | 1,873,033 | |||||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||||
3.27% (3 mo. USD LIBOR + 1.201%) (1) | 09/29/25 | 2,010,000 | 2,185,559 | |||||||||
3.69% (3 mo. USD LIBOR + 1.510%) (1) | 06/05/28 | 590,000 | 667,064 | |||||||||
HSBC Holdings PLC |
| |||||||||||
2.01% (SOFR + 1.732%) (1) | 09/22/28 | 2,365,000 | 2,357,598 | |||||||||
2.36% (SOFR + 1.947%) (1) | 08/18/31 | 1,555,000 | 1,549,075 | |||||||||
JPMorgan Chase & Co. |
| |||||||||||
3.11% (SOFR + 2.440%) (1) | 04/22/51 | 1,240,000 | 1,315,045 | |||||||||
4.02% (3 mo. USD LIBOR +1.00%) (1) | 12/05/24 | 965,000 | 1,063,371 | |||||||||
Lloyds Banking Group PLC (United Kingdom) |
| |||||||||||
2.91% (3 mo. USD LIBOR + 0.81%) (1) | 11/07/23 | 1,935,000 | 2,014,650 | |||||||||
3.87% (1-year Treasury Constant Maturity Rate + 3.500%) (1) | 07/09/25 | 1,600,000 | 1,746,685 | |||||||||
Santander UK Group Holdings PLC (United Kingdom) |
| |||||||||||
3.37% (3 mo. USD LIBOR + 1.08%) (1) | 01/05/24 | 2,460,000 | 2,577,069 | |||||||||
Santander UK PLC (United Kingdom) |
| |||||||||||
5.00% (2) | 11/07/23 | 1,050,000 | 1,149,965 | |||||||||
Wells Fargo & Co. |
| |||||||||||
2.39% (SOFR + 2.100%) (1) | 06/02/28 | 2,570,000 | 2,673,478 | |||||||||
2.88% (3 mo. USD LIBOR + 1.170%) (1) | 10/30/30 | 3,930,000 | 4,184,075 | |||||||||
3.07% (SOFR + 2.530%) (1) | 04/30/41 | 1,845,000 | 1,914,502 |
See accompanying Notes to Financial Statements.
17
Table of Contents
TCW Core Fixed Income Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Banks (Continued) | ||||||||||||
3.58% (3 mo. USD LIBOR + 1.310%) (1) | 05/22/28 | $ | 1,015,000 | $ | 1,127,486 | |||||||
5.01% (3 mo. USD LIBOR + 4.240%) (1) | 04/04/51 | 2,715,000 | 3,685,862 | |||||||||
|
| |||||||||||
41,193,985 | ||||||||||||
|
| |||||||||||
Beverages — 0.3% | ||||||||||||
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc. |
| |||||||||||
4.90% | 02/01/46 | 3,325,000 | 4,079,447 | |||||||||
Bacardi, Ltd. |
| |||||||||||
4.70% (2) | 05/15/28 | 980,000 | 1,131,965 | |||||||||
|
| |||||||||||
5,211,412 | ||||||||||||
|
| |||||||||||
Biotechnology — 0.4% | ||||||||||||
Amgen, Inc. |
| |||||||||||
4.40% | 05/01/45 | 1,160,000 | 1,420,977 | |||||||||
Gilead Sciences, Inc. |
| |||||||||||
0.74% (3 mo. USD LIBOR + 0.520%) (1) | 09/29/23 | 4,720,000 | 4,728,382 | |||||||||
|
| |||||||||||
6,149,359 | ||||||||||||
|
| |||||||||||
Chemicals — 0.3% | ||||||||||||
International Flavors & Fragrances, Inc. |
| |||||||||||
5.00% | 09/26/48 | 2,235,000 | 2,788,253 | |||||||||
Nutrition & Biosciences, Inc. |
| |||||||||||
3.47% (2) | 12/01/50 | 1,855,000 | 1,902,391 | |||||||||
|
| |||||||||||
4,690,644 | ||||||||||||
|
| |||||||||||
Commercial Services — 0.2% | ||||||||||||
IHS Markit, Ltd. |
| |||||||||||
4.75% (2) | 02/15/25 | 750,000 | 846,562 | |||||||||
4.75% | 08/01/28 | 1,750,000 | 2,061,334 | |||||||||
|
| |||||||||||
2,907,896 | ||||||||||||
|
| |||||||||||
Computers — 0.1% | ||||||||||||
Apple, Inc. |
| |||||||||||
2.65% | 05/11/50 | 1,000,000 | 1,012,802 | |||||||||
3.85% | 05/04/43 | 520,000 | 640,499 | |||||||||
|
| |||||||||||
1,653,301 | ||||||||||||
|
| |||||||||||
Diversified Financial Services — 1.0% | ||||||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Ireland) |
| |||||||||||
3.65% | 07/21/27 | 640,000 | 604,207 | |||||||||
3.88% | 01/23/28 | 430,000 | 405,624 | |||||||||
3.95% | 02/01/22 | 685,000 | 696,693 | |||||||||
Air Lease Corp. |
| |||||||||||
3.25% | 03/01/25 | 1,300,000 | 1,329,208 | |||||||||
Avolon Holdings Funding, Ltd. |
| |||||||||||
2.88% (2) | 02/15/25 | 1,550,000 | 1,456,054 | |||||||||
3.95% (2) | 07/01/24 | 405,000 | 397,682 | |||||||||
5.13% (2) | 10/01/23 | 90,000 | 91,694 | |||||||||
5.25% (2) | 05/15/24 | 115,000 | 117,235 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Diversified Financial Services (Continued) | ||||||||||||
GE Capital Funding LLC |
| |||||||||||
4.40% (2) | 05/15/30 | $ | 1,405,000 | $ | 1,537,498 | |||||||
GE Capital International Funding Co. Unlimited Co. (Ireland) |
| |||||||||||
4.42% | 11/15/35 | 4,110,000 | 4,457,498 | |||||||||
Park Aerospace Holdings, Ltd. |
| |||||||||||
4.50% (2) | 03/15/23 | 2,715,000 | 2,747,356 | |||||||||
5.25% (2) | 08/15/22 | 425,000 | 437,855 | |||||||||
5.50% (2) | 02/15/24 | 385,000 | 398,333 | |||||||||
Raymond James Financial, Inc. |
| |||||||||||
4.95% | 07/15/46 | 965,000 | 1,286,818 | |||||||||
|
| |||||||||||
15,963,755 | ||||||||||||
|
| |||||||||||
Electric — 1.9% | ||||||||||||
Appalachian Power Co. |
| |||||||||||
4.45% | 06/01/45 | 690,000 | 852,615 | |||||||||
Dominion Energy, Inc. |
| |||||||||||
0.65% (3 mo. USD LIBOR + 0.400%) (2)(1) | 12/01/20 | 4,595,000 | 4,596,103 | |||||||||
Duke Energy Progress LLC |
| |||||||||||
3.70% | 10/15/46 | 1,325,000 | 1,544,089 | |||||||||
El Paso Electric Co. |
| |||||||||||
3.30% | 12/15/22 | 2,065,000 | 2,113,585 | |||||||||
Entergy Mississippi, Inc. |
| |||||||||||
3.10% | 07/01/23 | 2,755,000 | 2,918,978 | |||||||||
Indiana Michigan Power Co. |
| |||||||||||
4.55% | 03/15/46 | 920,000 | 1,168,045 | |||||||||
ITC Holdings Corp. |
| |||||||||||
2.95% (2) | 05/14/30 | 2,000,000 | 2,147,026 | |||||||||
KCP&L Greater Missouri Operations Co. |
| |||||||||||
8.27% | 11/15/21 | 1,100,000 | 1,180,863 | |||||||||
Metropolitan Edison Co. |
| |||||||||||
3.50% (2) | 03/15/23 | 3,030,000 | 3,184,396 | |||||||||
MidAmerican Energy Co. |
| |||||||||||
5.80% | 10/15/36 | 1,655,000 | 2,351,988 | |||||||||
Niagara Mohawk Power Corp. |
| |||||||||||
2.72% (2) | 11/28/22 | 920,000 | 958,295 | |||||||||
Public Service Co. of Oklahoma |
| |||||||||||
4.40% | 02/01/21 | 1,840,000 | 1,857,858 | |||||||||
Puget Energy, Inc. |
| |||||||||||
6.00% | 09/01/21 | 1,820,000 | 1,897,934 | |||||||||
Tucson Electric Power Co. |
| |||||||||||
4.00% | 06/15/50 | 1,500,000 | 1,772,895 | |||||||||
5.15% | 11/15/21 | 1,000,000 | 1,037,260 | |||||||||
|
| |||||||||||
29,581,930 | ||||||||||||
|
| |||||||||||
Food — 0.8% | ||||||||||||
Kraft Heinz Foods Co. |
| |||||||||||
4.38% | 06/01/46 | 3,275,000 | 3,368,894 | |||||||||
4.88% (2) | 10/01/49 | 3,365,000 | 3,561,684 | |||||||||
5.00% | 07/15/35 | 720,000 | 826,789 |
See accompanying Notes to Financial Statements.
18
Table of Contents
TCW Core Fixed Income Fund
October 31, 2020 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Food (Continued) | ||||||||||||
5.00% | 06/04/42 | $ | 2,133,000 | $ | 2,347,280 | |||||||
5.20% | 07/15/45 | 775,000 | 859,790 | |||||||||
Kroger Co. (The) |
| |||||||||||
5.40% | 01/15/49 | 1,320,000 | 1,835,065 | |||||||||
|
| |||||||||||
12,799,502 | ||||||||||||
|
| |||||||||||
Gas — 0.3% | ||||||||||||
CenterPoint Energy Resources Corp. |
| |||||||||||
6.25% | 02/01/37 | 1,610,000 | 2,236,717 | |||||||||
KeySpan Gas East Corp. |
| |||||||||||
5.82% (2) | 04/01/41 | 1,551,000 | 2,121,799 | |||||||||
|
| |||||||||||
4,358,516 | ||||||||||||
|
| |||||||||||
Healthcare-Services — 2.0% | ||||||||||||
Advocate Health & Hospitals Corp. |
| |||||||||||
3.01% | 06/15/50 | 1,500,000 | 1,516,637 | |||||||||
Anthem, Inc. |
| |||||||||||
3.65% | 12/01/27 | 2,405,000 | 2,720,796 | |||||||||
Banner Health |
| |||||||||||
3.18% | 01/01/50 | 1,500,000 | 1,564,661 | |||||||||
Centene Corp. |
| |||||||||||
3.00% | 10/15/30 | 6,269,000 | 6,517,898 | |||||||||
CommonSpirit Health |
| |||||||||||
2.78% | 10/01/30 | 790,000 | 790,142 | |||||||||
Hartford HealthCare Corp. |
| |||||||||||
5.75% | 04/01/44 | 2,545,000 | 3,037,754 | |||||||||
HCA, Inc. |
| |||||||||||
4.13% | 06/15/29 | 380,000 | 431,243 | |||||||||
4.50% | 02/15/27 | 455,000 | 514,872 | |||||||||
5.00% | 03/15/24 | 620,000 | 694,214 | |||||||||
5.13% | 06/15/39 | 665,000 | 810,985 | |||||||||
5.25% | 04/15/25 | 1,770,000 | 2,051,337 | |||||||||
5.25% | 06/15/49 | 1,525,000 | 1,861,078 | |||||||||
NYU Hospitals Center |
| |||||||||||
4.43% | 07/01/42 | 2,755,000 | 3,043,019 | |||||||||
Partners Healthcare System, Inc. |
| |||||||||||
3.34% | 07/01/60 | 685,000 | 736,286 | |||||||||
Saint Barnabas Health Care System |
| |||||||||||
4.00% | 07/01/28 | 3,290,000 | 3,569,732 | |||||||||
UnitedHealth Group, Inc. |
| |||||||||||
3.70% | 08/15/49 | 795,000 | 954,175 | |||||||||
3.88% | 08/15/59 | 335,000 | 409,671 | |||||||||
|
| |||||||||||
31,224,500 | ||||||||||||
|
| |||||||||||
Insurance — 1.0% | ||||||||||||
Berkshire Hathaway Finance Corp. |
| |||||||||||
4.25% | 01/15/49 | 515,000 | 656,882 | |||||||||
Farmers Exchange Capital |
| |||||||||||
7.20% (2) | 07/15/48 | 1,495,000 | 1,984,634 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Insurance (Continued) | ||||||||||||
Farmers Exchange Capital II |
| |||||||||||
6.15% (3 mo. USD LIBOR + 3.744%) (1)(2) | 11/01/53 | $ | 2,065,000 | $ | 2,576,087 | |||||||
Nationwide Mutual Insurance Co. |
| |||||||||||
2.54% (3 mo. USD LIBOR + 2.290%) (1)(2) | 12/15/24 | 4,000,000 | 3,998,906 | |||||||||
New York Life Insurance Co. |
| |||||||||||
3.75% (2) | 05/15/50 | 2,430,000 | 2,717,749 | |||||||||
Prudential Financial, Inc. |
| |||||||||||
4.50% | 11/15/20 | 920,000 | 921,328 | |||||||||
Teachers Insurance & Annuity Association of America |
| |||||||||||
3.30% (2) | 05/15/50 | 2,980,000 | 3,053,240 | |||||||||
4.27% (2) | 05/15/47 | 130,000 | 153,947 | |||||||||
|
| |||||||||||
16,062,773 | ||||||||||||
|
| |||||||||||
Media — 0.9% | ||||||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital |
| |||||||||||
4.91% | 07/23/25 | 1,250,000 | 1,440,388 | |||||||||
5.38% | 04/01/38 | 1,475,000 | 1,774,631 | |||||||||
Time Warner Cable LLC |
| |||||||||||
5.88% | 11/15/40 | 2,200,000 | 2,736,866 | |||||||||
ViacomCBS, Inc. |
| |||||||||||
3.70% | 06/01/28 | 1,150,000 | 1,285,334 | |||||||||
4.20% | 05/19/32 | 1,900,000 | 2,191,460 | |||||||||
Walt Disney Co. (The) |
| |||||||||||
2.65% | 01/13/31 | 825,000 | 886,982 | |||||||||
3.60% | 01/13/51 | 3,560,000 | 3,979,456 | |||||||||
|
| |||||||||||
14,295,117 | ||||||||||||
|
| |||||||||||
Miscellaneous Manufacturers — 0.3% | ||||||||||||
General Electric Co. |
| |||||||||||
0.76% (3 mo. USD LIBOR + 0.480%) (1) | 08/15/36 | 3,045,000 | 2,087,926 | |||||||||
4.25% | 05/01/40 | 1,250,000 | 1,319,302 | |||||||||
6.75% | 03/15/32 | 1,000,000 | 1,289,801 | |||||||||
|
| |||||||||||
4,697,029 | ||||||||||||
|
| |||||||||||
Oil & Gas — 0.7% | ||||||||||||
BP Capital Markets America, Inc. |
| |||||||||||
3.63% | 04/06/30 | 1,850,000 | 2,086,362 | |||||||||
EQT Corp. |
| |||||||||||
3.90% | 10/01/27 | 265,000 | 254,982 | |||||||||
Exxon Mobil Corp. |
| |||||||||||
3.48% | 03/19/30 | 1,025,000 | 1,160,430 | |||||||||
4.23% | 03/19/40 | 400,000 | 480,860 | |||||||||
4.33% | 03/19/50 | 2,280,000 | 2,761,512 | |||||||||
Petroleos Mexicanos |
| |||||||||||
5.95% | 01/28/31 | 995,000 | 835,302 | |||||||||
6.63% | 06/15/35 | 1,105,000 | 917,631 | |||||||||
6.75% | 09/21/47 | 2,625,000 | 2,046,187 |
See accompanying Notes to Financial Statements.
19
Table of Contents
TCW Core Fixed Income Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Oil & Gas (Continued) | ||||||||||||
6.95% | 01/28/60 | $ | 510,000 | $ | 402,008 | |||||||
7.69% | 01/23/50 | 850,000 | 708,645 | |||||||||
|
| |||||||||||
11,653,919 | ||||||||||||
|
| |||||||||||
Packaging & Containers — 0.1% | ||||||||||||
Amcor Finance USA, Inc. |
| |||||||||||
3.63% | 04/28/26 | 1,380,000 | 1,527,826 | |||||||||
|
| |||||||||||
Pharmaceuticals — 2.0% | ||||||||||||
AbbVie, Inc. |
| |||||||||||
3.80% (2) | 03/15/25 | 1,653,000 | 1,835,904 | |||||||||
4.05% (2) | 11/21/39 | 555,000 | 637,917 | |||||||||
4.25% (2) | 11/21/49 | 1,445,000 | 1,692,398 | |||||||||
4.40% | 11/06/42 | 2,100,000 | 2,500,554 | |||||||||
4.45% | 05/14/46 | 1,035,000 | 1,231,215 | |||||||||
Bayer US Finance II LLC |
| |||||||||||
4.25% (2) | 12/15/25 | 845,000 | 961,388 | |||||||||
4.38% (2) | 12/15/28 | 4,540,000 | 5,238,341 | |||||||||
4.63% (2) | 06/25/38 | 500,000 | 588,455 | |||||||||
4.88% (2) | 06/25/48 | 2,430,000 | 2,927,059 | |||||||||
Becton Dickinson and Co. |
| |||||||||||
2.82% | 05/20/30 | 1,000,000 | 1,069,810 | |||||||||
Cigna Corp. |
| |||||||||||
3.40% | 03/15/50 | 500,000 | 527,452 | |||||||||
4.13% | 11/15/25 | 4,545,000 | 5,200,603 | |||||||||
CVS Health Corp. |
| |||||||||||
3.88% | 07/20/25 | 1,477,000 | 1,665,744 | |||||||||
5.05% | 03/25/48 | 4,180,000 | 5,311,317 | |||||||||
|
| |||||||||||
31,388,157 | ||||||||||||
|
| |||||||||||
Pipelines — 1.6% | ||||||||||||
Enbridge Energy Partners LP |
| |||||||||||
5.88% | 10/15/25 | 333,000 | 397,589 | |||||||||
Energy Transfer Operating LP |
| |||||||||||
4.95% | 06/15/28 | 200,000 | 215,049 | |||||||||
5.00% | 05/15/50 | 1,852,000 | 1,735,324 | |||||||||
6.50% | 02/01/42 | 1,400,000 | 1,497,557 | |||||||||
Energy Transfer Partners LP |
| |||||||||||
5.15% | 03/15/45 | 1,870,000 | 1,745,676 | |||||||||
5.95% | 10/01/43 | 630,000 | 635,250 | |||||||||
Plains All American Pipeline LP / PAA Finance Corp. |
| |||||||||||
4.65% | 10/15/25 | 2,115,000 | 2,259,983 | |||||||||
Rockies Express Pipeline LLC |
| |||||||||||
4.95% (2) | 07/15/29 | 2,000,000 | 1,970,440 | |||||||||
6.88% (2) | 04/15/40 | 350,000 | 361,746 | |||||||||
Ruby Pipeline LLC |
| |||||||||||
7.75% (2) | 04/01/22 | 1,477,652 | 1,252,309 | |||||||||
Sabine Pass Liquefaction LLC |
| |||||||||||
4.50% (2) | 05/15/30 | 3,000,000 | 3,367,860 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Pipelines (Continued) | ||||||||||||
Southern Natural Gas Co. LLC |
| |||||||||||
7.35% | 02/15/31 | $ | 2,380,000 | $ | 3,160,549 | |||||||
Sunoco Logistics Partners Operations LP |
| |||||||||||
5.40% | 10/01/47 | 1,763,000 | 1,701,013 | |||||||||
TC PipeLines LP |
| |||||||||||
4.38% | 03/13/25 | 1,840,000 | 2,029,501 | |||||||||
Texas Eastern Transmission LP |
| |||||||||||
2.80% (2) | 10/15/22 | 920,000 | 948,207 | |||||||||
TransCanada PipeLines, Ltd. (Canada) |
| |||||||||||
6.10% | 06/01/40 | 375,000 | 495,930 | |||||||||
Williams Partners LP |
| |||||||||||
6.30% | 04/15/40 | 1,150,000 | 1,405,197 | |||||||||
|
| |||||||||||
25,179,180 | ||||||||||||
|
| |||||||||||
REIT — 1.2% | ||||||||||||
American Campus Communities Operating Partnership LP |
| |||||||||||
3.30% | 07/15/26 | 1,000,000 | 1,075,361 | |||||||||
4.13% | 07/01/24 | 1,425,000 | 1,541,746 | |||||||||
Boston Properties LP |
| |||||||||||
3.25% | 01/30/31 | 1,395,000 | 1,495,426 | |||||||||
CyrusOne LP / CyrusOne Finance Corp. |
| |||||||||||
2.15% | 11/01/30 | 1,570,000 | 1,514,736 | |||||||||
GLP Capital LP / GLP Financing II, Inc. |
| |||||||||||
4.00% | 01/15/31 | 560,000 | 586,275 | |||||||||
5.30% | 01/15/29 | 1,280,000 | 1,431,680 | |||||||||
5.38% | 04/15/26 | 1,528,000 | 1,699,923 | |||||||||
5.75% | 06/01/28 | 1,600,000 | 1,824,552 | |||||||||
HCP, Inc. |
| |||||||||||
3.88% | 08/15/24 | 2,110,000 | 2,327,194 | |||||||||
Healthcare Trust of America Holdings LP |
| |||||||||||
2.00% | 03/15/31 | 2,350,000 | 2,275,953 | |||||||||
Healthpeak Properties, Inc. |
| |||||||||||
4.25% | 11/15/23 | 23,000 | 25,240 | |||||||||
SL Green Operating Partnership LP |
| |||||||||||
3.25% | 10/15/22 | 2,380,000 | 2,430,432 | |||||||||
Ventas Realty LP |
| |||||||||||
3.85% | 04/01/27 | 690,000 | 751,399 | |||||||||
Welltower, Inc. |
| |||||||||||
3.75% | 03/15/23 | 555,000 | 588,887 | |||||||||
|
| |||||||||||
19,568,804 | ||||||||||||
|
| |||||||||||
Retail — 0.1% | ||||||||||||
Alimentation Couche-Tard, Inc. (Canada) |
| |||||||||||
3.55% (2) | 07/26/27 | 1,710,000 | 1,903,932 | |||||||||
3.80% (2) | 01/25/50 | 405,000 | 444,642 | |||||||||
|
| |||||||||||
2,348,574 | ||||||||||||
|
| |||||||||||
Savings & Loans — 0.1% | ||||||||||||
Nationwide Building Society (United Kingdom) |
| |||||||||||
3.62% (3 mo. USD LIBOR + 1.181%) (2)(1) | 04/26/23 | 800,000 | 831,743 |
See accompanying Notes to Financial Statements.
20
Table of Contents
TCW Core Fixed Income Fund
October 31, 2020 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Savings & Loans (Continued) | ||||||||||||
3.77% (3 mo. USD LIBOR + 1.064%) (2)(1) | 03/08/24 | $ | 500,000 | $ | 530,873 | |||||||
4.36% (3 mo. USD LIBOR + 1.392%) (2)(1) | 08/01/24 | 400,000 | 433,733 | |||||||||
|
| |||||||||||
1,796,349 | ||||||||||||
|
| |||||||||||
Semiconductors — 0.3% | ||||||||||||
Broadcom Corp. / Broadcom Cayman Finance, Ltd. |
| |||||||||||
3.63% | 01/15/24 | 1,225,000 | 1,317,610 | |||||||||
Broadcom, Inc. |
| |||||||||||
3.63% | 10/15/24 | 1,100,000 | 1,200,922 | |||||||||
Intel Corp. |
| |||||||||||
4.10% | 05/19/46 | 1,000,000 | 1,244,430 | |||||||||
4.75% | 03/25/50 | 755,000 | 1,033,447 | |||||||||
|
| |||||||||||
4,796,409 | ||||||||||||
|
| |||||||||||
Software — 0.1% | ||||||||||||
Oracle Corp. |
| |||||||||||
3.60% | 04/01/50 | 2,000,000 | 2,203,894 | |||||||||
|
| |||||||||||
Telecommunications — 2.0% | ||||||||||||
AT&T, Inc. |
| |||||||||||
3.30% | 02/01/52 | 1,900,000 | 1,748,376 | |||||||||
3.50% (2) | 09/15/53 | 1,000,000 | 960,611 | |||||||||
4.30% | 02/15/30 | 215,000 | 251,081 | |||||||||
4.50% | 03/09/48 | 1,380,000 | 1,548,857 | |||||||||
4.75% | 05/15/46 | 1,130,000 | 1,305,716 | |||||||||
4.80% | 06/15/44 | 3,000,000 | 3,503,021 | |||||||||
4.85% | 03/01/39 | 1,554,000 | 1,856,766 | |||||||||
5.25% | 03/01/37 | 2,155,000 | 2,697,047 | |||||||||
Qwest Corp. |
| |||||||||||
7.25% | 09/15/25 | 920,000 | 1,063,750 | |||||||||
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC |
| |||||||||||
3.36% (2) | 03/20/23 | 685,000 | 691,850 | |||||||||
4.74% (2) | 09/20/29 | 3,940,000 | 4,297,929 | |||||||||
5.15% (2) | 09/20/29 | 2,000,000 | 2,335,420 | |||||||||
T-Mobile USA, Inc. |
| |||||||||||
2.55% (2) | 02/15/31 | 887,000 | 905,050 | |||||||||
3.88% (2) | 04/15/30 | 2,080,000 | 2,339,189 | |||||||||
4.38% (2) | 04/15/40 | 1,990,000 | 2,303,505 | |||||||||
Vodafone Group PLC (United Kingdom) |
| |||||||||||
4.25% | 09/17/50 | 430,000 | 498,207 | |||||||||
4.88% | 06/19/49 | 1,897,000 | 2,351,557 | |||||||||
5.25% | 05/30/48 | 1,390,000 | 1,802,949 | |||||||||
|
| |||||||||||
32,460,881 | ||||||||||||
|
| |||||||||||
Water — 0.2% | ||||||||||||
American Water Capital Corp. |
| |||||||||||
3.45% | 05/01/50 | 2,385,000 | 2,704,232 | |||||||||
|
| |||||||||||
Total Corporate Bonds |
| |||||||||||
(Cost: $327,717,768) |
| 353,028,231 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
MUNICIPAL BONDS — 1.5% | ||||||||||||
City of Atlanta GA Water and Wastewater Revenue, Revenue Bond |
| |||||||||||
2.26% | 11/01/35 | $ | 1,200,000 | $ | 1,208,190 | |||||||
Commonwealth of Massachusetts, General Obligation Unltd |
| |||||||||||
3.00% | 03/01/49 | 1,980,000 | 2,100,186 | |||||||||
County of Miami-Dade FL Aviation Revenue, Revenue Bond |
| |||||||||||
5.00% | 10/01/49 | 675,000 | 791,822 | |||||||||
Greater Orlando Aviation Authority, Revenue Bond |
| |||||||||||
4.00% | 10/01/49 | 720,000 | 793,678 | |||||||||
Health and Educational Facilities Authority of the State of Missouri, Revenue Bond |
| |||||||||||
3.65% | 08/15/57 | 540,000 | 646,040 | |||||||||
Los Angeles Community College District/CA, General Obligation |
| |||||||||||
2.11% | 08/01/32 | 1,590,000 | 1,590,000 | |||||||||
Los Angeles Unified School District/CA, General Obligation |
| |||||||||||
5.76% | 07/01/29 | 2,500,000 | 3,148,125 | |||||||||
Maricopa County Industrial Development Authority, Revenue Bond |
| |||||||||||
3.00% | 01/01/49 | 1,500,000 | 1,512,345 | |||||||||
Metropolitan Transportation Authority, Revenue Bond |
| |||||||||||
5.18% | 11/15/49 | 845,000 | 866,488 | |||||||||
New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bond |
| |||||||||||
2.00% | 08/01/35 | 1,000,000 | 938,800 | |||||||||
2.40% | 11/01/32 | 585,000 | 585,845 | |||||||||
4.00% | 05/01/43 | 750,000 | 856,530 | |||||||||
New York City Water and Sewer System, Revenue Bond |
| |||||||||||
4.00% | 06/15/50 | 690,000 | 793,155 | |||||||||
4.00% | 06/15/50 | 690,000 | 792,286 | |||||||||
New York State Dormitory Authority, Revenue Bond |
| |||||||||||
4.00% | 03/15/44 | 2,095,000 | 2,377,385 | |||||||||
4.00% | 07/01/50 | 1,185,000 | 1,320,203 | |||||||||
Regents of the University of California Medical Center Pooled, Revenue Bond |
| |||||||||||
3.26% | 05/15/60 | 3,420,000 | 3,486,040 | |||||||||
San Francisco City and County Airport Comm-San Francisco International Airport, Revenue Bond |
| |||||||||||
5.00% | 05/01/49 | 655,000 | 774,498 | |||||||||
State of California, General Obligation |
| |||||||||||
7.95% | 03/01/36 | 315 | 288 | |||||||||
|
| |||||||||||
Total Municipal Bonds |
| |||||||||||
(Cost: $23,994,628) |
| 24,581,904 | ||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES — 3.7% | ||||||||||||
321 Henderson Receivables I LLC (13-3A-A) |
| |||||||||||
4.08% (2) | 01/17/73 | 1,347,899 | 1,539,347 | |||||||||
321 Henderson Receivables I LLC (14-2A-A) |
| |||||||||||
3.61% (2) | 01/17/73 | 1,618,516 | 1,788,099 |
See accompanying Notes to Financial Statements.
21
Table of Contents
TCW Core Fixed Income Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (Continued) | ||||||||||||
Babson CLO, Ltd. (16-2A-AR) |
| |||||||||||
1.30% (3 mo. USD LIBOR + 1.080%) (2)(1) | 07/20/28 | $ | 3,100,000 | $ | 3,085,129 | |||||||
Brazos Education Loan Authority, Inc. (12-1-A1) |
| |||||||||||
0.85% (1 mo. USD LIBOR + 0.700%) (1) | 12/26/35 | 679,875 | 671,440 | |||||||||
Brazos Higher Education Authority, Inc. (10-1-A2) |
| |||||||||||
1.45% (3 mo. USD LIBOR + 1.200%) (1) | 02/25/35 | 675,000 | 679,177 | |||||||||
Brazos Higher Education Authority, Inc. (11-1-A3) |
| |||||||||||
1.30% (3 mo. USD LIBOR + 1.050%) (1) | 11/25/33 | 1,695,000 | 1,687,484 | |||||||||
Dryden XXVI Senior Loan Fund (13-26A-AR) |
| |||||||||||
1.14% (3 mo. USD LIBOR + 0.900%) (2)(1) | 04/15/29 | 2,200,000 | 2,175,580 | |||||||||
Educational Funding of the South, Inc. (11-1-A2) |
| |||||||||||
0.86% (3 mo. USD LIBOR + 0.650%) (1) | 04/25/35 | 926,315 | 917,457 | |||||||||
Educational Services of America, Inc. (12-2-A) |
| |||||||||||
0.88% (1 mo. USD LIBOR + 0.730%) (2)(1) | 04/25/39 | 450,607 | 446,003 | |||||||||
GCO Education Loan Funding Master Trust (06-2AR-A1RN) |
| |||||||||||
0.80% (1 mo. USD LIBOR + 0.650%) (2)(1) | 08/27/46 | 2,503,501 | 2,398,978 | |||||||||
Global SC Finance SRL (14-1A-A2) |
| |||||||||||
3.09% (2) | 07/17/29 | 1,156,875 | 1,170,197 | |||||||||
GoldenTree Loan Opportunities IX, Ltd. (14-9A-AR2) |
| |||||||||||
1.32% (3 mo. USD LIBOR + 1.110%) (2)(1) | 10/29/29 | 3,100,000 | 3,076,750 | |||||||||
Higher Education Funding I (14-1-A) |
| |||||||||||
1.30% (3 mo. USD LIBOR + 1.050%) (2)(1) | 05/25/34 | 2,169,571 | 2,177,905 | |||||||||
Navient Student Loan Trust (14-3-A) |
| |||||||||||
0.77% (1 mo. USD LIBOR + 0.620%) (1) | 03/25/83 | 3,319,335 | 3,220,905 | |||||||||
Navient Student Loan Trust (14-4-A) |
| |||||||||||
0.77% (1 mo. USD LIBOR + 0.620%) (1) | 03/25/83 | 1,574,470 | 1,524,413 | |||||||||
Nelnet Student Loan Trust (14-4A-A2) |
| |||||||||||
1.10% (1 mo. USD LIBOR + 0.950%) (2)(1) | 11/25/48 | 2,965,000 | 2,911,951 | |||||||||
OCP CLO, Ltd. (20-19A-A1) |
| |||||||||||
2.07% (3 mo. USD LIBOR + 1.750%) (2)(1) | 07/20/31 | 3,600,000 | 3,607,560 | |||||||||
Octagon Investment Partners 25, Ltd. (15-1A-AR) |
| |||||||||||
1.02% (3 mo. USD LIBOR + 0.800%) (2)(1) | 10/20/26 | 2,865,588 | 2,841,517 | |||||||||
PHEAA Student Loan Trust (15-1A-A) |
| |||||||||||
0.75% (1 mo. USD LIBOR + 0.600%) (2)(1) | 10/25/41 | 1,476,077 | 1,443,246 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (Continued) | ||||||||||||
SLM Student Loan Trust (03-7A-A5A) |
| |||||||||||
1.45% (3 mo. USD LIBOR + 1.200%) (2)(1) | 12/15/33 | $ | 2,465,122 | $ | 2,375,799 | |||||||
SLM Student Loan Trust (08-2-B) |
| |||||||||||
1.41% (3 mo. USD LIBOR + 1.200%) (1) | 01/25/83 | 710,000 | 627,421 | |||||||||
SLM Student Loan Trust (08-3-B) |
| |||||||||||
1.41% (3 mo. USD LIBOR + 1.200%) (1) | 04/26/83 | 710,000 | 634,090 | |||||||||
SLM Student Loan Trust (08-4-A4) |
| |||||||||||
1.86% (3 mo. USD LIBOR + 1.650%) (1) | 07/25/22 | 4,176,081 | 4,129,280 | |||||||||
SLM Student Loan Trust (08-4-B) |
| |||||||||||
2.06% (3 mo. USD LIBOR + 1.850%) (1) | 04/25/73 | 710,000 | 648,216 | |||||||||
SLM Student Loan Trust (08-5-B) |
| |||||||||||
2.06% (3 mo. USD LIBOR + 1.850%) (1) | 07/25/73 | 710,000 | 653,804 | |||||||||
SLM Student Loan Trust (08-6-A4) |
| |||||||||||
1.31% (3 mo. USD LIBOR + 1.100%) (1) | 07/25/23 | 3,453,535 | 3,369,144 | |||||||||
SLM Student Loan Trust (08-6-B) |
| |||||||||||
2.06% (3 mo. USD LIBOR + 1.850%) (1) | 07/26/83 | 710,000 | 668,731 | |||||||||
SLM Student Loan Trust (08-7-B) |
| |||||||||||
2.06% (3 mo. USD LIBOR + 1.850%) (1) | 07/26/83 | 710,000 | 671,892 | |||||||||
SLM Student Loan Trust (08-8-B) |
| |||||||||||
2.46% (3 mo. USD LIBOR + 2.250%) (1) | 10/25/75 | 710,000 | 694,719 | |||||||||
SLM Student Loan Trust (08-9-A) |
| |||||||||||
1.71% (3 mo. USD LIBOR + 1.500%) (1) | 04/25/23 | 1,265,475 | 1,245,303 | |||||||||
SLM Student Loan Trust (08-9-B) |
| |||||||||||
2.46% (3 mo. USD LIBOR + 2.250%) (1) | 10/25/83 | 710,000 | 699,951 | |||||||||
SLM Student Loan Trust (11-2-A2) |
| |||||||||||
1.35% (1 mo. USD LIBOR + 1.200%) (1) | 10/25/34 | 2,000,000 | 2,014,390 | |||||||||
SLM Student Loan Trust (12-7-A3) |
| |||||||||||
0.80% (1 mo. USD LIBOR + 0.650%) (1) | 05/26/26 | 1,832,997 | 1,725,094 | |||||||||
Voya CLO, Ltd. (14-3A-A1R) |
| |||||||||||
0.93% (3 mo. USD LIBOR + 0.720%) (2)(1) | 07/25/26 | 834,669 | 831,110 | |||||||||
|
| |||||||||||
Total Asset-backed Securities |
| |||||||||||
(Cost: $58,681,763) |
| 58,352,082 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY — 1.3% | ||||||||||||
Fannie Mae (20-M10-X1) (I/O) |
| |||||||||||
1.80% (3) | 12/25/30 | 1,998,686 | 274,190 |
See accompanying Notes to Financial Statements.
22
Table of Contents
TCW Core Fixed Income Fund
October 31, 2020 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae (20-M10-X8) (I/O) |
| |||||||||||
0.72% (3) | 12/25/27 | $ | 2,750,000 | $ | 105,373 | |||||||
Fannie Mae, Pool #AM8645 |
| |||||||||||
2.69% | 05/01/27 | 4,487,753 | 4,896,997 | |||||||||
Fannie Mae, Pool #AN0245 |
| |||||||||||
3.42% | 11/01/35 | 2,050,659 | 2,346,458 | |||||||||
Fannie Mae, Pool #AN5977 |
| |||||||||||
3.49% | 02/01/33 | 3,000,000 | 3,542,164 | |||||||||
Fannie Mae, Pool #BL6060 |
| |||||||||||
2.46% | 04/01/40 | 1,840,000 | 1,928,149 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (K158 -A3) |
| |||||||||||
3.90% (3) | 10/25/33 | 2,250,000 | 2,768,023 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (K155-A3) |
| |||||||||||
3.75% | 04/25/33 | 4,045,000 | 4,914,807 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — Agency |
| |||||||||||
(Cost: $17,949,208) |
| 20,776,161 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY —1.3% |
| |||||||||||
BAMLL Commercial Mortgage Securities Trust (18-PARK-A) |
| |||||||||||
4.09% (2)(3) | 08/10/38 | 1,930,000 | 2,229,660 | |||||||||
BX Trust (19-OC11-A) |
| |||||||||||
3.20% (2) | 12/09/41 | 585,000 | 611,775 | |||||||||
CALI Mortgage Trust (19-101C-A) |
| |||||||||||
3.96% (2) | 03/10/39 | 1,285,000 | 1,451,609 | |||||||||
CPT Mortgage Trust (19-CPT-A) |
| |||||||||||
2.87% (2) | 11/13/39 | 1,105,000 | 1,197,052 | |||||||||
DC Office Trust (19-MTC-A) |
| |||||||||||
2.97% (2) | 09/15/45 | 1,180,000 | 1,287,577 | |||||||||
Hudson Yards Mortgage Trust (19-30HY-A) |
| |||||||||||
3.23% (2) | 07/10/39 | 2,185,000 | 2,432,990 | |||||||||
Hudson Yards Mortgage Trust (19-55HY-A) |
| |||||||||||
2.94% (2)(3) | 12/10/41 | 1,180,000 | 1,290,641 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust (19-OSB-A) |
| |||||||||||
3.40% (2) | 06/05/39 | 1,160,000 | 1,319,978 | |||||||||
Manhattan West (20-1MW-A) |
| |||||||||||
2.13% (2) | 09/10/39 | 1,720,000 | 1,773,099 | |||||||||
MKT Mortgage Trust (20-525M-A) |
| |||||||||||
2.69% (2) | 02/12/40 | 1,540,000 | 1,615,463 | |||||||||
Natixis Commercial Mortgage Securities Trust (20-2PAC-A) |
| |||||||||||
2.97% (2) | 12/15/38 | 1,215,000 | 1,271,436 | |||||||||
One Bryant Park Trust (19-OBP-A) |
| |||||||||||
2.52% (2) | 09/15/54 | 1,495,000 | 1,585,485 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
SFAVE Commercial Mortgage Securities Trust (15-5AVE-A1) |
| |||||||||||
3.87% (2)(3) | 01/05/43 | $ | 1,710,000 | $ | 1,775,625 | |||||||
SFAVE Commercial Mortgage Securities Trust (15-5AVE-A2B) |
| |||||||||||
4.14% (2)(3) | 01/05/43 | 70,000 | 67,881 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — Non-Agency |
| |||||||||||
(Cost: $18,782,178) |
| 19,910,271 | ||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — |
| |||||||||||
Fannie Mae, Pool #FM2318 |
| |||||||||||
3.50% | 09/01/49 | 615,136 | 668,367 | |||||||||
Fannie Mae, Pool #MA4152 |
| |||||||||||
2.00% | 10/01/40 | 7,511,855 | 7,766,127 | |||||||||
Fannie Mae (19-79-FA) |
| |||||||||||
0.65% (1 mo. USD LIBOR + 0.500%) (1) | 01/25/50 | 3,231,804 | 3,257,653 | |||||||||
Fannie Mae (01-14-SH) (I/F) |
| |||||||||||
27.30% (-1.00 x 1 mo. USD LIBOR + 27.825%) (1) | 03/25/30 | 100,226 | 163,685 | |||||||||
Fannie Mae (01-34-FV) |
| |||||||||||
0.65% (1 mo. USD LIBOR + 0.500%) (1) | 08/25/31 | 123,152 | 123,623 | |||||||||
Fannie Mae (04-W10-A6) (PAC) |
| |||||||||||
5.75% | 08/25/34 | 1,342,275 | 1,512,024 | |||||||||
Fannie Mae (07-89-GF) |
| |||||||||||
0.67% (1 mo. USD LIBOR + 0.520%) (1) | 09/25/37 | 524,241 | 530,441 | |||||||||
Fannie Mae (08-30-SA) (I/O) (I/F) |
| |||||||||||
6.70% (-1.00 x 1 mo. USD LIBOR + 6.850%) (1) | 04/25/38 | 85,664 | 22,178 | |||||||||
Fannie Mae (08-62-SN) (I/O) (I/F) |
| |||||||||||
6.05% (-1.00 x 1 mo. USD LIBOR + 6.200%) (1) | 07/25/38 | 87,124 | 16,117 | |||||||||
Fannie Mae (09-64-TB) |
| |||||||||||
4.00% | 08/25/29 | 1,162,833 | 1,244,761 | |||||||||
Fannie Mae (09-68-SA) (I/O) (I/F) |
| |||||||||||
6.60% (-1.00 x 1 mo. USD LIBOR + 6.750%) (1) | 09/25/39 | 70,080 | 16,449 | |||||||||
Fannie Mae (10-26-AS) (I/O) (I/F) |
| |||||||||||
6.18% (-1.00 x 1 mo. USD LIBOR + 6.330%) (1) | 03/25/40 | 995,460 | 162,168 | |||||||||
Fannie Mae (11-111-DB) |
| |||||||||||
4.00% | 11/25/41 | 2,898,703 | 3,215,099 | |||||||||
Fannie Mae (18-38-LA) |
| |||||||||||
3.00% | 06/25/48 | 2,788,271 | 2,927,449 | |||||||||
Fannie Mae (18-43-CT) |
| |||||||||||
3.00% | 06/25/48 | 2,150,125 | 2,276,200 |
See accompanying Notes to Financial Statements.
23
Table of Contents
TCW Core Fixed Income Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae, Pool #254634 |
| |||||||||||
5.50% | 02/01/23 | $ | 4,091 | $ | 4,551 | |||||||
Fannie Mae, Pool #596686 |
| |||||||||||
6.50% | 11/01/31 | 10,448 | 11,985 | |||||||||
Fannie Mae, Pool #679263 |
| |||||||||||
4.50% | 11/01/24 | 5,236 | 5,653 | |||||||||
Fannie Mae, Pool #727575 |
| |||||||||||
5.00% | 06/01/33 | 34,030 | 37,467 | |||||||||
Fannie Mae, Pool #748751 |
| |||||||||||
5.50% | 10/01/33 | 86,744 | 95,846 | |||||||||
Fannie Mae, Pool #AB2127 |
| |||||||||||
3.50% | 01/01/26 | 528,809 | 559,292 | |||||||||
Fannie Mae, Pool #AL0209 |
| |||||||||||
4.50% | 05/01/41 | 514,874 | 590,135 | |||||||||
Fannie Mae, Pool #AL0851 |
| |||||||||||
6.00% | 10/01/40 | 496,287 | 588,283 | |||||||||
Fannie Mae, Pool #AS9830 |
| |||||||||||
4.00% | 06/01/47 | 1,974,382 | 2,118,953 | |||||||||
Fannie Mae, Pool #CA1710 |
| |||||||||||
4.50% | 05/01/48 | 3,905,849 | 4,235,111 | |||||||||
Fannie Mae, Pool #CA1711 |
| |||||||||||
4.50% | 05/01/48 | 2,772,250 | 3,005,950 | |||||||||
Fannie Mae, Pool #CA2208 |
| |||||||||||
4.50% | 08/01/48 | 2,349,109 | 2,540,272 | |||||||||
Fannie Mae, Pool #CA2327 |
| |||||||||||
4.00% | 09/01/48 | 907,439 | 1,002,908 | |||||||||
Fannie Mae, Pool #FM2870 |
| |||||||||||
3.00% | 03/01/50 | 3,240,330 | 3,477,930 | |||||||||
Fannie Mae, Pool #MA1146 |
| |||||||||||
4.00% | 08/01/42 | 1,418,710 | 1,560,024 | |||||||||
Fannie Mae, Pool #MA1561 |
| |||||||||||
3.00% | 09/01/33 | 2,255,840 | 2,396,126 | |||||||||
Fannie Mae, Pool #MA1584 |
| |||||||||||
3.50% | 09/01/33 | 3,410,830 | 3,684,347 | |||||||||
Fannie Mae, Pool #MA3182 |
| |||||||||||
3.50% | 11/01/47 | 900,927 | 955,604 | |||||||||
Fannie Mae, Pool #MA3846 |
| |||||||||||
3.00% | 11/01/49 | 3,445,317 | 3,537,500 | |||||||||
Fannie Mae, Pool #MA4093 |
| |||||||||||
2.00% | 08/01/40 | 6,684,288 | 6,910,460 | |||||||||
Freddie Mac, Pool #ZM1779 |
| |||||||||||
3.00% | 09/01/46 | 2,676,659 | 2,822,199 | |||||||||
Freddie Mac (2439-KZ) |
| |||||||||||
6.50% | 04/15/32 | 103,301 | 121,372 | |||||||||
Freddie Mac (2575-FD) (PAC) |
| |||||||||||
0.60% (1 mo. USD LIBOR + 0.450%)(1) | 02/15/33 | 252,690 | 255,308 | |||||||||
Freddie Mac (2662-MT) (TAC) |
| |||||||||||
4.50% | 08/15/33 | 136,415 | 146,860 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac (3315-S) (I/O) (I/F) |
| |||||||||||
6.26% (-1.00 x 1 mo. USD LIBOR + 6.410%) (1) | 05/15/37 | $ | 20,569 | $ | 3,318 | |||||||
Freddie Mac (3339-JS) (I/F) |
| |||||||||||
41.87% (-1.00 x 1 mo. USD LIBOR + 42.835%) (1) | 07/15/37 | 368,845 | 818,548 | |||||||||
Freddie Mac (3351-ZC) |
| |||||||||||
5.50% | 07/15/37 | 249,939 | 292,806 | |||||||||
Freddie Mac (3380-SM) (I/O) (I/F) |
| |||||||||||
6.26% (-1.00 x 1 mo. USD LIBOR + 6.410%) (1) | 10/15/37 | 393,452 | 88,146 | |||||||||
Freddie Mac (3382-FL) |
| |||||||||||
0.85% (1 mo. USD LIBOR + 0.700%) (1) | 11/15/37 | 121,035 | 120,576 | |||||||||
Freddie Mac (3439-SC) (I/O) (I/F) |
| |||||||||||
5.75% (-1.00 x 1 mo. USD LIBOR + 5.900%) (1) | 04/15/38 | 1,541,680 | 275,152 | |||||||||
Freddie Mac (3578-DI) (I/O) (I/F) |
| |||||||||||
6.50% (-1.00 x 1 mo. USD LIBOR + 6.650%) (1) | 04/15/36 | 601,934 | 120,924 | |||||||||
Freddie Mac (4818-CA) |
| |||||||||||
3.00% | 04/15/48 | 1,467,675 | 1,528,594 | |||||||||
Freddie Mac, Pool #A97179 |
| |||||||||||
4.50% | 03/01/41 | 1,580,514 | 1,833,817 | |||||||||
Freddie Mac, Pool #C90526 |
| |||||||||||
5.50% | 02/01/22 | 1,743 | 1,772 | |||||||||
Freddie Mac, Pool #G06360 |
| |||||||||||
4.00% | 03/01/41 | 1,941,253 | 2,215,548 | |||||||||
Freddie Mac, Pool #G06498 |
| |||||||||||
4.00% | 04/01/41 | 1,399,795 | 1,569,821 | |||||||||
Freddie Mac, Pool #G06499 |
| |||||||||||
4.00% | 03/01/41 | 946,085 | 1,046,394 | |||||||||
Freddie Mac, Pool #G07849 |
| |||||||||||
3.50% | 05/01/44 | 1,136,512 | 1,254,849 | |||||||||
Freddie Mac, Pool #G07924 |
| |||||||||||
3.50% | 01/01/45 | 2,023,053 | 2,226,746 | |||||||||
Freddie Mac, Pool #G08710 |
| |||||||||||
3.00% | 06/01/46 | 2,997,778 | 3,161,975 | |||||||||
Freddie Mac, Pool #G08711 |
| |||||||||||
3.50% | 06/01/46 | 5,192,239 | 5,560,675 | |||||||||
Freddie Mac, Pool #G08715 |
| |||||||||||
3.00% | 08/01/46 | 5,613,767 | 5,921,247 | |||||||||
Freddie Mac, Pool #G08716 |
| |||||||||||
3.50% | 08/01/46 | 3,553,984 | 3,806,172 | |||||||||
Freddie Mac, Pool #G08721 |
| |||||||||||
3.00% | 09/01/46 | 4,555,120 | 4,804,616 | |||||||||
Freddie Mac, Pool #G08722 |
| |||||||||||
3.50% | 09/01/46 | 1,384,400 | 1,482,636 | |||||||||
Freddie Mac, Pool #G08726 |
| |||||||||||
3.00% | 10/01/46 | 4,361,544 | 4,600,437 |
See accompanying Notes to Financial Statements.
24
Table of Contents
TCW Core Fixed Income Fund
October 31, 2020 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac, Pool #G08732 |
| |||||||||||
3.00% | 11/01/46 | $ | 4,329,635 | $ | 4,566,780 | |||||||
Freddie Mac, Pool #G08792 |
| |||||||||||
3.50% | 12/01/47 | 4,226,223 | 4,479,887 | |||||||||
Freddie Mac, Pool #G08816 |
| |||||||||||
3.50% | 06/01/48 | 947,758 | 1,003,892 | |||||||||
Freddie Mac, Pool #G08826 |
| |||||||||||
5.00% | 06/01/48 | 796,638 | 874,715 | |||||||||
Freddie Mac, Pool #G08843 |
| |||||||||||
4.50% | 10/01/48 | 3,277,997 | 3,545,966 | |||||||||
Freddie Mac, Pool #G16584 |
| |||||||||||
3.50% | 08/01/33 | 3,102,609 | 3,279,752 | |||||||||
Freddie Mac, Pool #G18592 |
| |||||||||||
3.00% | 03/01/31 | 1,350,879 | 1,425,346 | |||||||||
Freddie Mac, Pool #G18670 |
| |||||||||||
3.00% | 12/01/32 | 959,139 | 1,009,852 | |||||||||
Freddie Mac, Pool #G18713 |
| |||||||||||
3.50% | 11/01/33 | 2,233,099 | 2,360,597 | |||||||||
Freddie Mac, Pool #G60038 |
| |||||||||||
3.50% | 01/01/44 | 1,864,511 | 2,023,108 | |||||||||
Freddie Mac, Pool #G60344 |
| |||||||||||
4.00% | 12/01/45 | 948,773 | 1,057,911 | |||||||||
Freddie Mac, Pool #G67700 |
| |||||||||||
3.50% | 08/01/46 | 1,450,072 | 1,588,370 | |||||||||
Freddie Mac, Pool #G67703 |
| |||||||||||
3.50% | 04/01/47 | 8,766,645 | 9,591,790 | |||||||||
Freddie Mac, Pool #G67706 |
| |||||||||||
3.50% | 12/01/47 | 5,878,624 | 6,440,122 | |||||||||
Freddie Mac, Pool #G67707 |
| |||||||||||
3.50% | 01/01/48 | 10,742,224 | 12,020,351 | |||||||||
Freddie Mac, Pool #G67708 |
| |||||||||||
3.50% | 03/01/48 | 11,205,101 | 12,229,924 | |||||||||
Freddie Mac, Pool #G67710 |
| |||||||||||
3.50% | 03/01/48 | 9,463,593 | 10,191,682 | |||||||||
Freddie Mac, Pool #G67711 |
| |||||||||||
4.00% | 03/01/48 | 3,199,558 | 3,517,076 | |||||||||
Freddie Mac, Pool #G67718 |
| |||||||||||
4.00% | 01/01/49 | 3,610,058 | 3,931,108 | |||||||||
Freddie Mac, Pool #Q05261 |
| |||||||||||
3.50% | 12/01/41 | 1,658,571 | 1,857,417 | |||||||||
Freddie Mac, Pool #Q20178 |
| |||||||||||
3.50% | 07/01/43 | 3,033,450 | 3,419,127 | |||||||||
Freddie Mac, Pool #SD7513 |
| |||||||||||
3.50% | 04/01/50 | 1,001,868 | 1,097,110 | |||||||||
Freddie Mac, Pool #ZT1703 |
| |||||||||||
4.00% | 01/01/49 | 2,457,911 | 2,676,831 | |||||||||
Ginnie Mae (08-27-SI) (I/O) (I/F) |
| |||||||||||
6.32% (-1.00 x 1 mo. USD LIBOR + 6.470%) (1) | 03/20/38 | 255,502 | 58,858 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Ginnie Mae (08-81-S) (I/O) (I/F) |
| |||||||||||
6.05% (-1.00 x 1 mo. USD LIBOR + 6.200%) (1) | 09/20/38 | $ | 975,050 | $ | 223,466 | |||||||
Ginnie Mae (10-1-S) (I/O) (I/F) |
| |||||||||||
5.60% (-1.00 x 1mo. USD LIBOR + 5.750%) (1) | 01/20/40 | 1,491,210 | 156,176 | |||||||||
Ginnie Mae (18-124-NW) |
| |||||||||||
3.50% | 09/20/48 | 1,826,347 | 1,967,420 | |||||||||
Ginnie Mae, Pool #608259 |
| |||||||||||
4.50% | 08/15/33 | 33,507 | 37,031 | |||||||||
Ginnie Mae, Pool #782114 |
| |||||||||||
5.00% | 09/15/36 | 101,791 | 117,348 | |||||||||
Ginnie Mae, Pool #MA3662 |
| |||||||||||
3.00% | 05/20/46 | 1,011,367 | 1,071,674 | |||||||||
Ginnie Mae, Pool #MA4127 |
| |||||||||||
3.50% | 12/20/46 | 2,905,875 | 3,112,286 | |||||||||
Ginnie Mae II, Pool #MA6030 |
| |||||||||||
3.50% | 07/20/49 | 619,906 | 642,316 | |||||||||
Ginnie Mae II, Pool #MA3521 |
| |||||||||||
3.50% | 03/20/46 | 2,258,153 | 2,420,236 | |||||||||
Ginnie Mae II, Pool #MA3597 |
| |||||||||||
3.50% | 04/20/46 | 2,196,196 | 2,353,832 | |||||||||
Ginnie Mae II, Pool #MA3663 |
| |||||||||||
3.50% | 05/20/46 | 2,190,989 | 2,347,567 | |||||||||
Ginnie Mae II, Pool #MA4126 |
| |||||||||||
3.00% | 12/20/46 | 5,793,106 | 6,138,544 | |||||||||
Ginnie Mae II, Pool #MA4196 |
| |||||||||||
3.50% | 01/20/47 | 1,841,062 | 1,971,482 | |||||||||
Ginnie Mae II, Pool #MA4454 |
| |||||||||||
5.00% | 05/20/47 | 731,108 | 812,986 | |||||||||
Ginnie Mae II, Pool #MA4510 |
| |||||||||||
3.50% | 06/20/47 | 988,059 | 1,056,509 | |||||||||
Ginnie Mae II, Pool #MA4589 |
| |||||||||||
5.00% | 07/20/47 | 1,872,572 | 2,075,437 | |||||||||
Ginnie Mae II, Pool #MA4722 |
| |||||||||||
5.00% | 09/20/47 | 660,318 | 730,202 | |||||||||
Ginnie Mae II, Pool #MA4777 |
| |||||||||||
3.00% | 10/20/47 | 773,423 | 816,409 | |||||||||
Ginnie Mae II, Pool #MA4836 |
| |||||||||||
3.00% | 11/20/47 | 3,033,035 | 3,203,635 | |||||||||
Ginnie Mae II, Pool #MA4837 |
| |||||||||||
3.50% | 11/20/47 | 6,646,436 | 7,094,535 | |||||||||
Ginnie Mae II, Pool #MA4838 |
| |||||||||||
4.00% | 11/20/47 | 1,973,612 | 2,132,666 | |||||||||
Ginnie Mae II, Pool #MA4901 |
| |||||||||||
4.00% | 12/20/47 | 3,318,084 | 3,595,841 | |||||||||
Ginnie Mae II, Pool #MA5078 |
| |||||||||||
4.00% | 03/20/48 | 2,687,932 | 2,893,720 |
See accompanying Notes to Financial Statements.
25
Table of Contents
TCW Core Fixed Income Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Ginnie Mae II, Pool #MA5399 |
| |||||||||||
4.50% | 08/20/48 | $ | 5,524,217 | $ | 5,999,186 | |||||||
Ginnie Mae II, Pool #MA5466 |
| |||||||||||
4.00% | 09/20/48 | 176,773 | 189,925 | |||||||||
Ginnie Mae II, Pool #MA5467 |
| |||||||||||
4.50% | 09/20/48 | 340,942 | 370,255 | |||||||||
Ginnie Mae II, Pool #MA6209 |
| |||||||||||
3.00% | 10/20/49 | 3,639,650 | 3,748,550 | |||||||||
Ginnie Mae II TBA, 30 Year |
| |||||||||||
2.00% (4) | 01/31/50 | 30,375,000 | 31,555,591 | |||||||||
2.50% (4) | 01/31/50 | 6,925,000 | 7,253,937 | |||||||||
2.50% (4) | 01/31/50 | 14,025,000 | 14,642,429 | |||||||||
Uniform Mortgage-Backed Securities TBA, 15 Year |
| |||||||||||
1.50% | 07/31/35 | 7,675,000 | 7,837,369 | |||||||||
2.00% (4) | 05/31/35 | 450,000 | 466,805 | |||||||||
2.00% | 05/31/35 | 11,275,000 | 11,681,076 | |||||||||
Uniform Mortgage-Backed Securities TBA, 30 Year |
| |||||||||||
2.00% (4) | 03/31/50 | 67,175,000 | 69,291,011 | |||||||||
2.00% (4) | 03/31/50 | 26,925,000 | 27,707,714 | |||||||||
2.50% (4) | 12/01/49 | 14,750,000 | 15,371,860 | |||||||||
2.50% (4) | 12/01/49 | 30,275,000 | 31,502,754 | |||||||||
|
| |||||||||||
Total Residential Mortgage-Backed |
| |||||||||||
(Cost: $461,589,669) |
| 476,138,598 | ||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 4.5% | ||||||||||||
Aames Mortgage Investment Trust (06-1-A4) |
| |||||||||||
0.71% (1 mo. USD LIBOR + 0.560%) (1) | 04/25/36 | 4,150,867 | 4,100,572 | |||||||||
Aegis Asset Backed Securities Trust (05-5-2A) |
| |||||||||||
0.40% (1 mo. USD LIBOR + 0.250%) (1) | 12/25/35 | 1,905,260 | 1,902,744 | |||||||||
Ajax Mortgage Loan Trust (19-F-A1) |
| |||||||||||
2.86% (2) | 07/25/59 | 4,140,997 | 4,270,631 | |||||||||
Banc of America Funding Trust (15-R2-9A1) |
| |||||||||||
0.36% (1 mo. USD LIBOR + 0.215%) (2)(1) | 03/27/36 | 592,181 | 595,230 | |||||||||
Centex Home Equity (02-C-AF6) |
| |||||||||||
4.50% (3) | 09/25/32 | 424 | 424 | |||||||||
CIM Trust (17-7-A) |
| |||||||||||
3.00% (2)(3) | 04/25/57 | 4,055,449 | 4,152,285 | |||||||||
Citigroup Mortgage Loan Trust, Inc. |
| |||||||||||
(05-5-2A2) 5.75% (5) | 08/25/35 | 257,602 | 201,472 | |||||||||
Conseco Financial Corp. (98-6-A8) |
| |||||||||||
6.66% (3) | 06/01/30 | 177,230 | 179,764 | |||||||||
Credit Suisse First Boston Mortgage Securities Corp. (03-8-4PPA) |
| |||||||||||
5.75% | 04/22/33 | 6,958 | 7,357 | |||||||||
CSMC Series, Ltd. (10-3R-2A3) |
| |||||||||||
4.35% (2)(3) | 12/26/36 | 2,048,622 | 2,081,547 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
CSMC Series, Ltd. (15-5R-1A1) |
| |||||||||||
1.94% (2)(3) | 09/27/46 | $ | 1,967,378 | $ | 1,976,873 | |||||||
CSMC Trust (14-7R-8A1) |
| |||||||||||
3.17% (2)(3) | 07/27/37 | 1,164,523 | 1,159,686 | |||||||||
CSMC Trust (18-RPL9-A) |
| |||||||||||
3.85% (2)(3) | 09/25/57 | 4,264,683 | 4,671,244 | |||||||||
GS Mortgage-Backed Securities Trust (18-RPL1-A1A) |
| |||||||||||
3.75% (2) | 10/25/57 | 4,391,892 | 4,579,580 | |||||||||
GSAA Home Equity Trust (05-11-2A2) |
| |||||||||||
0.47% (1 mo. USD LIBOR + 0.320%) (1) | 10/25/35 | 1,520,813 | 1,520,528 | |||||||||
Home Equity Asset Trust (06-3-1A1) |
| |||||||||||
0.35% (1 mo. USD LIBOR + 0.200%) (1) | 07/25/36 | 340,111 | 340,433 | |||||||||
Indymac Index Mortgage Loan Trust (05-AR6-2A1) |
| |||||||||||
0.63% (1 mo. USD LIBOR + 0.480%) (1) | 04/25/35 | 685,773 | 600,172 | |||||||||
Mid-State Trust (04-1-B) |
| |||||||||||
8.90% | 08/15/37 | 797,249 | 904,663 | |||||||||
Morgan Stanley Capital, Inc. (04-WMC2-M1) |
| |||||||||||
1.06% (1 mo. USD LIBOR + 0.915%) (1) | 07/25/34 | 950,319 | 903,478 | |||||||||
Morgan Stanley Mortgage Loan Trust (04-3-4A) |
| |||||||||||
5.62% (3) | 04/25/34 | 139,949 | 152,006 | |||||||||
New Century Home Equity Loan Trust (05-D-A1) |
| |||||||||||
0.37% (1 mo. USD LIBOR + 0.220%) (1) | 02/25/36 | 4,049,146 | 4,017,184 | |||||||||
Nomura Resecuritization Trust (15-5R-2A1) |
| |||||||||||
3.24% (2)(3) | 03/26/35 | 439,639 | 443,797 | |||||||||
Option One Mortgage Loan Trust (05-2-M1) |
| |||||||||||
0.81% (1 mo. USD LIBOR + 0.660%) (1) | 05/25/35 | 2,260,459 | 2,260,596 | |||||||||
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates (05-WCW2-M3) |
| |||||||||||
0.97% (1 mo. USD LIBOR + 0.825%) (1) | 07/25/35 | 10,000,000 | 9,763,631 | |||||||||
RASC Series Trust (06-KS7-A4) |
| |||||||||||
0.39% (1 mo. USD LIBOR + 0.240%) (1) | 09/25/36 | 1,844,711 | 1,829,323 | |||||||||
Structured Asset Investment Loan Trust (04-6-A3) |
| |||||||||||
0.95% (1 mo. USD LIBOR + 0.800%) (1) | 07/25/34 | 2,868,862 | 2,644,212 | |||||||||
Structured Asset Securities Corp. (03-34A-5A4) |
| |||||||||||
2.72% (3) | 11/25/33 | 296,564 | 296,544 | |||||||||
WaMu Mortgage Pass-Through Certificates (05-AR15-A1A1) |
| |||||||||||
0.41% (1 mo. USD LIBOR + 0.260%) (1) | 11/25/45 | 6,480,389 | 6,034,875 | |||||||||
WaMu Mortgage Pass-Through Certificates (05-AR3-A2) |
| |||||||||||
3.62% (3) | 03/25/35 | 956,012 | 982,248 |
See accompanying Notes to Financial Statements.
26
Table of Contents
TCW Core Fixed Income Fund
October 31, 2020 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Wells Fargo Alternative Loan Trust (07-PA3-2A1) |
| |||||||||||
6.00% (5) | 07/25/37 | $ | 70,430 | $ | 70,103 | |||||||
Wells Fargo Home Equity Asset-Backed Securities Trust (05-3-M6) |
| |||||||||||
1.15% (1 mo. USD LIBOR + 1.005%) (1) | 11/25/35 | 4,087,681 | 4,048,383 | |||||||||
Wells Fargo Home Equity Trust (04-2-A33) |
| |||||||||||
1.15% (1 mo. USD LIBOR + 1.000%) (1) | 10/25/34 | 4,376,491 | 4,299,081 | |||||||||
|
| |||||||||||
Total Residential Mortgage-Backed Securities — Non-Agency |
| |||||||||||
(Cost: $69,701,276) |
| 70,990,666 | ||||||||||
|
| |||||||||||
U.S. TREASURY SECURITIES — 36.1% |
| |||||||||||
U.S. Treasury Bond | ||||||||||||
1.13% | 08/15/40 | 4,465,000 | 4,248,727 | |||||||||
1.38% | 08/15/50 | 69,518,000 | 65,298,041 | |||||||||
U.S. Treasury Inflation Indexed Bond |
| |||||||||||
0.13% (6) | 07/15/30 | 6,784,359 | 7,449,566 | |||||||||
0.25% (6) | 02/15/50 | 4,828,974 | 5,547,005 | |||||||||
U.S. Treasury Note |
| |||||||||||
0.13% | 08/31/22 | 59,665,000 | 59,631,206 | |||||||||
0.13% | 09/30/22 | 130,335,000 | 130,263,722 | |||||||||
0.13% | 10/31/22 | 95,105,000 | 95,053,087 | |||||||||
0.25% | 09/30/25 | 95,697,000 | 95,121,325 | |||||||||
0.25% | 10/31/25 | 81,805,000 | 81,280,937 | |||||||||
0.38% | 09/30/27 | 17,500,000 | 17,208,789 | |||||||||
0.63% | 08/15/30 | 12,037,000 | 11,774,631 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $575,742,111) |
| 572,877,036 | ||||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $1,554,158,601) |
| 1,596,654,949 | ||||||||||
|
|
Issues | Shares | Value | ||||||||||
MONEY MARKET INVESTMENTS — 10.6% |
| |||||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (7) | 167,469,229 | $ | 167,469,229 | |||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $167,469,229) | 167,469,229 | |||||||||||
|
| |||||||||||
Maturity Date | Principal Amount | |||||||||||
SHORT TERM INVESTMENTS — 13.5% |
| |||||||||||
U.S. TREASURY SECURITIES — 13.5% |
| |||||||||||
U.S. Cash Management Bill |
| |||||||||||
0.13% (8) | 01/26/21 | $ | 15,000,000 | 14,995,396 | ||||||||
U.S. Treasury Bill |
| |||||||||||
0.09% (8) | 02/04/21 | 10,000,000 | 9,997,520 | |||||||||
0.09% (8) | 11/19/20 | 30,000,000 | 29,999,008 | |||||||||
0.08% (8) | 12/10/20 | 25,000,000 | 24,997,690 | |||||||||
0.07% (8) | 12/03/20 | 40,000,000 | 39,997,417 | |||||||||
0.09% (8) | 01/14/21 | 45,000,000 | 44,992,017 | |||||||||
0.09% (8) | 01/21/21 | 25,000,000 | 24,995,139 | |||||||||
0.09% (8) | 01/28/21 | 25,000,000 | 24,994,411 | |||||||||
Total U.S. Treasury Securities (Cost: $214,954,523) |
| 214,968,598 | ||||||||||
|
| |||||||||||
Total Short Term Investments |
| |||||||||||
(Cost: $214,954,523) | 214,968,598 | |||||||||||
|
| |||||||||||
Total Investments (124.7%) (Cost: $1,936,582,353) |
| 1,979,092,776 | ||||||||||
Liabilities In Excess Of Other Assets (-24.7%) |
| (392,366,801 | ) | |||||||||
|
| |||||||||||
Net Assets (100.0%) | $ | 1,586,725,975 | ||||||||||
|
|
FUTURES CONTRACTS | ||||||||||||||||||
Number of Contracts | Type | Expiration Date | Notional | Value | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Long Futures |
| |||||||||||||||||
3 | U.S. Ultra Long Bond Futures | 12/21/20 | $ | 666,874 | $ | 645,000 | $ | (21,874 | ) | |||||||||
|
|
|
|
|
| |||||||||||||
Short Futures |
| |||||||||||||||||
26 | 10-Year U.S. Ultra Treasury Note Futures | 12/21/20 | $ | (4,132,444 | ) | $ | (4,089,313 | ) | $ | 43,131 | ||||||||
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
27
Table of Contents
TCW Core Fixed Income Fund
Schedule of Investments (Continued)
Notes to the Schedule of Investments:
ABS | Asset-Backed Securities. |
CLO | Collateralized Loan Obligation. |
EETC | Enhanced Equipment Trust Certificate. |
I/F | Inverse Floating rate security whose interest rate moves in the opposite direction of prevailing interest rates. |
I/O | Interest Only Security. |
PAC | Planned Amortization Class. |
REIT | Real Estate Investment Trust. |
SOFR | Secured Overnight Financing Rate. |
TAC | Target Amortization Class. |
TBA | To Be Announced. |
(1) | Floating or variable rate security. The interest shown reflects the rate in effect at October 31, 2020. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only to qualified institutional buyers. At October 31, 2020, the value of these securities amounted to $158,739,272 or 10.0% of net assets. These securities are determined to be liquid by the Fund’s investment advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(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 purchased on a forward commitment with an approximate principal amount. The actual principal amount and maturity date will be determined upon settlement when the security is delivered. |
(5) | A portion of the principal balance has been written-off during the period due to defaults in the underlying loans. Cost basis has been adjusted. |
(6) | Interest rate for this security is a stated rate. Interest payments are determined based on the inflation-adjusted principal. |
(7) | Rate disclosed is the 7-day net yield as of October 31, 2020. |
(8) | Rate shown represents yield-to-maturity. |
See accompanying Notes to Financial Statements.
28
Table of Contents
TCW Core Fixed Income Fund
Investments by Sector | October 31, 2020 |
Sector | Percentage of Net Assets | |||
U.S. Treasury Securities | 49.6 | % | ||
Residential Mortgage-Backed Securities — Agency | 30.0 | |||
Corporate Bonds | 22.2 | |||
Money Market Investments | 10.6 | |||
Residential Mortgage-Backed Securities — Non-Agency | 4.5 | |||
Asset-Backed Securities | 3.7 | |||
Municipal Bonds | 1.5 | |||
Commercial Mortgage-Backed Securities — Agency | 1.3 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 1.3 | |||
Other* | (24.7 | ) | ||
|
| |||
Total | 100.0 | % | ||
|
|
* | Includes futures, pending trades, interest receivable, fund share transactions and accrued expenses payable. |
See accompanying Notes to Financial Statements.
29
Table of Contents
TCW Core Fixed Income Fund
Fair Valuation Summary | October 31, 2020 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 2020 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* | $ | — | $ | 353,028,231 | $ | — | $ | 353,028,231 | ||||||||
Municipal Bonds | — | 24,581,904 | — | 24,581,904 | ||||||||||||
Asset-Backed Securities | — | 58,352,082 | — | 58,352,082 | ||||||||||||
Commercial Mortgage-Backed Securities — Agency | — | 20,776,161 | — | 20,776,161 | ||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 19,910,271 | — | 19,910,271 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 476,138,598 | — | 476,138,598 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 70,990,666 | — | 70,990,666 | ||||||||||||
U.S. Treasury Securities | 559,880,465 | 12,996,571 | — | 572,877,036 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | 559,880,465 | 1,036,774,484 | — | 1,596,654,949 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 167,469,229 | — | — | 167,469,229 | ||||||||||||
Short-Term Investments | 214,968,598 | — | — | 214,968,598 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 942,318,292 | $ | 1,036,774,484 | $ | — | $ | 1,979,092,776 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | 43,131 | — | — | 43,131 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 942,361,423 | $ | 1,036,774,484 | $ | — | $ | 1,979,135,907 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | $ | (21,874 | ) | $ | — | $ | — | $ | (21,874 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (21,874 | ) | $ | — | $ | — | $ | (21,874 | ) | ||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
See accompanying Notes to Financial Statements.
30
Table of Contents
TCW Enhanced Commodity Strategy Fund
Consolidated Schedule of Investments | October 31, 2020 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 53.0% |
| |||||||||||
ASSET-BACKED SECURITIES — 8.5% | ||||||||||||
Aimco CLO, Ltd. (20-11A-A1) |
| |||||||||||
1.60% (3 mo. USD LIBOR + 1.380%) (1)(2) | 10/15/31 | $ | 5,000 | $ | 4,976 | |||||||
AMMC CLO, Ltd. (20-23A-A1L) |
| |||||||||||
0.00% (3 mo. USD LIBOR + 1.400%) (1)(2) | 10/17/31 | 5,000 | 5,002 | |||||||||
BlueMountain CLO, Ltd. (13-1A-A1R2) |
| |||||||||||
1.45% (3 mo. USD LIBOR + 1.230%) (1)(2) | 01/20/29 | 6,851 | 6,827 | |||||||||
Chase Issuance Trust (12-A7-A7) |
| |||||||||||
2.16% | 09/15/24 | 10,000 | 10,365 | |||||||||
Educational Services of America, Inc. (12-2-A) |
| |||||||||||
0.88% (1 mo. USD LIBOR + 0.730%) (1)(2) | 04/25/39 | 4,506 | 4,460 | |||||||||
Nelnet Student Loan Trust (12-5A-A) |
| |||||||||||
0.75% (1 mo. USD LIBOR + 0.600%) (1)(2) | 10/27/36 | 3,102 | 3,041 | |||||||||
SLM Student Loan Trust (05-4-A3) |
| |||||||||||
0.33% (3 mo. USD LIBOR + 0.120%) (2) | 01/25/27 | 8,297 | 8,205 | |||||||||
SLM Student Loan Trust (07-2-B) |
| |||||||||||
0.38% (3 mo. USD LIBOR + 0.170%) (2) | 07/25/25 | 15,000 | 12,926 | |||||||||
SLM Student Loan Trust (08-1-A4) |
| |||||||||||
0.86% (3 mo. USD LIBOR + 0.650%) (2) | 01/25/22 | 8,689 | 8,302 | |||||||||
SLM Student Loan Trust (08-3-A3) |
| |||||||||||
1.21% (3 mo. USD LIBOR + 1.000%) (2) | 10/25/21 | 8,856 | 8,540 | |||||||||
SLM Student Loan Trust (08-3-B) |
| |||||||||||
1.41% (3 mo. USD LIBOR + 1.200%) (2) | 04/26/83 | 10,000 | 8,931 | |||||||||
SLM Student Loan Trust (13-4-A) |
| |||||||||||
0.70% (1 mo. USD LIBOR + 0.550%) (2) | 06/25/43 | 8,140 | 7,965 | |||||||||
SLM Student Loan Trust (13-6-A3) |
| |||||||||||
0.80% (1 mo. USD LIBOR + 0.650%) (2) | 06/25/55 | 9,339 | 9,177 | |||||||||
|
| |||||||||||
Total Asset-Backed Securities | ||||||||||||
(Cost: $100,780) |
| 98,717 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY — 3.3% | ||||||||||||
Fannie Mae (11-M5-A2) (ACES)(I/O) |
| |||||||||||
1.07% (3) | 07/25/21 | 656,619 | 3,360 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (KC01-X1) (I/O) |
| |||||||||||
0.68% (3) | 12/25/22 | 569,177 | 2,503 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (K026-X1) (I/O) |
| |||||||||||
0.96% (3) | 11/25/22 | 141,186 | 2,315 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (K033-X1) (I/O) |
| |||||||||||
0.29% (3) | 07/25/23 | $ | 537,218 | $ | 3,943 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (KS07-X) (I/O) |
| |||||||||||
0.65% (3) | 09/25/25 | 499,311 | 14,004 | |||||||||
Ginnie Mae (11-53-IO) (I/O) |
| |||||||||||
0.00% (3) | 05/16/51 | 295,192 | 444 | |||||||||
Ginnie Mae (12-123-IO) (I/O) |
| |||||||||||
0.76% (3) | 12/16/51 | 263,568 | 7,324 | |||||||||
Ginnie Mae (13-1-IO) (I/O) |
| |||||||||||
0.56% (3) | 02/16/54 | 115,796 | 2,687 | |||||||||
United States Small Business Administration (01-20I-1) |
| |||||||||||
6.12% | 09/01/21 | 1,908 | 1,933 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — Agency |
| |||||||||||
(Cost: $39,079) |
| 38,513 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 5.4% | ||||||||||||
Citigroup Commercial Mortgage Trust (13-GC11-AAB) |
| |||||||||||
2.69% | 04/10/46 | 4,734 | 4,826 | |||||||||
COMM Mortgage Trust (12-CR2-ASB) |
| |||||||||||
2.75% | 08/15/45 | 1,424 | 1,431 | |||||||||
COMM Mortgage Trust (12-CR4-XA) (I/O) |
| |||||||||||
1.69% (3) | 10/15/45 | 397,371 | 10,832 | |||||||||
COMM Mortgage Trust (13-LC6-XB) (I/O) |
| |||||||||||
0.38% (1)(3) | 01/10/46 | 100,000 | 836 | |||||||||
GS Mortgage Securities Trust (11-GC5-XA) (I/O) |
| |||||||||||
1.32% (1)(3) | 08/10/44 | 1,174,124 | 5,057 | |||||||||
GS Mortgage Securities Trust (13-GC13-AAB) |
| |||||||||||
3.72% (3) | 07/10/46 | 5,057 | 5,232 | |||||||||
JPMBB Commercial Mortgage Securities Trust (13-C17-XA) (I/O) |
| |||||||||||
0.75% (3) | 01/15/47 | 128,982 | 2,575 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust (11-C4-XA) (I/O) |
| |||||||||||
1.13% (1)(3) | 07/15/46 | 177,285 | 408 | |||||||||
LB-UBS Commercial Mortgage Trust (06-C6-XCL) (I/O) |
| |||||||||||
0.69% (1)(3)(4) | 09/15/39 | 492,512 | 1,997 | |||||||||
Morgan Stanley Capital I Trust (11-C3-A4) |
| |||||||||||
4.12% | 07/15/49 | 6,577 | 6,607 | |||||||||
Morgan Stanley Capital I Trust (15-MS1-ASB) |
| |||||||||||
3.46% | 05/15/48 | 9,491 | 10,028 | |||||||||
Morgan Stanley Capital I Trust (18-H3-A1) |
| |||||||||||
3.18% | 07/15/51 | 9,599 | 9,855 | |||||||||
WFRBS Commercial Mortgage Trust (12-C9-XA) (I/O) |
| |||||||||||
1.88% (1)(3) | 11/15/45 | 109,059 | 3,120 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — Non-Agency |
| |||||||||||
(Cost: $60,384) |
| 62,804 | ||||||||||
|
|
See accompanying Notes to Financial Statements.
31
Table of Contents
TCW Enhanced Commodity Strategy Fund
Consolidated Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY — 0.8% (Cost: $9,046) |
| |||||||||||
Fannie Mae (05-W3-2AF) |
| |||||||||||
0.37% (1 mo. USD LIBOR + 0.220%) (2) | 03/25/45 | $ | 9,277 | $ | 9,251 | |||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 7.5% | ||||||||||||
Centex Home Equity Loan Trust (05-A-AF5) |
| |||||||||||
5.78% | 01/25/35 | 32,578 | 32,340 | |||||||||
Credit-Based Asset Servicing and Securitization LLC (03-CB5-M1) |
| |||||||||||
1.17% (1 mo. USD LIBOR + 1.020%) (2) | 11/25/33 | 7,967 | 7,794 | |||||||||
First Franklin Mortgage Loan Asset-Backed Certificates (04-FF5-A3C) |
| |||||||||||
1.15% (1 mo. USD LIBOR + 1.000%) (2) | 08/25/34 | 6,258 | 6,324 | |||||||||
JPMorgan Mortgage Trust (05-A5-TA1) |
| |||||||||||
3.22% (3) | 08/25/35 | 924 | 908 | |||||||||
JPMorgan Mortgage Trust (05-A6-7A1) |
| |||||||||||
3.10% (3)(5) | 08/25/35 | 11,983 | 10,973 | |||||||||
MASTR Seasoned Securitization Trust (05-1-4A1) |
| |||||||||||
2.63% (3) | 10/25/32 | 12,770 | 12,830 | |||||||||
Mid-State Trust (04-1-M1) |
| |||||||||||
6.50% | 08/15/37 | 14,704 | 15,597 | |||||||||
Morgan Stanley Mortgage Loan Trust (04-6AR-1A) |
| |||||||||||
1.05% (1 mo. USD LIBOR + 0.900%) (2) | 07/25/34 | 719 | 720 | |||||||||
|
| |||||||||||
Total Residential Mortgage-Backed Securities — Non-Agency |
| |||||||||||
(Cost: $80,258) |
| 87,486 | ||||||||||
|
| |||||||||||
CORPORATE BONDS — 27.1% | ||||||||||||
Airlines — 0.5% | ||||||||||||
Continental Airlines, Inc. Pass-Through Certificates (00-1-A1) (EETC) |
| |||||||||||
8.05% | 05/01/22 | 5 | 5 | |||||||||
US Airways Group, Inc. Pass-Through Certificates (12-1-A) (EETC) |
| �� | ||||||||||
5.90% | 04/01/26 | 6,222 | 5,817 | |||||||||
|
| |||||||||||
5,822 | ||||||||||||
|
| |||||||||||
Auto Manufacturers — 2.2% | ||||||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
4.25% | 09/20/22 | 10,000 | 10,158 | |||||||||
5.75% | 02/01/21 | 10,000 | 10,103 | |||||||||
General Motors Financial Co., Inc. |
| |||||||||||
3.55% | 04/09/21 | 5,000 | 5,057 | |||||||||
|
| |||||||||||
25,318 | ||||||||||||
|
| |||||||||||
Banks — 7.1% | ||||||||||||
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 | 10,366 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Banks (Continued) | ||||||||||||
Citigroup, Inc. |
| |||||||||||
1.16% (3 mo. USD LIBOR + 0.950%) (2) | 07/24/23 | $ | 22,000 | $ | 22,167 | |||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||||
2.91% (3 mo. USD LIBOR + 0.990%) (2) | 07/24/23 | 5,000 | 5,195 | |||||||||
HSBC Holdings PLC |
| |||||||||||
2.01% (SOFR + 1.732%) (2) | 09/22/28 | 5,000 | 4,984 | |||||||||
JPMorgan Chase & Co. |
| |||||||||||
1.24% (3 mo. USD LIBOR + 1.000%) (2) | 01/15/23 | 25,000 | 25,245 | |||||||||
Lloyds TSB Bank PLC (United Kingdom) |
| |||||||||||
6.38% | 01/21/21 | 10,000 | 10,132 | |||||||||
Wells Fargo & Co. |
| |||||||||||
2.39% (SOFR + 2.100%) (2) | 06/02/28 | 5,000 | 5,201 | |||||||||
|
| |||||||||||
83,290 | ||||||||||||
|
| |||||||||||
Commercial Services — 0.5% | ||||||||||||
IHS Markit, Ltd. |
| |||||||||||
5.00% (1) | 11/01/22 | 5,000 | 5,359 | |||||||||
|
| |||||||||||
Diversified Financial Services — 0.2% | ||||||||||||
Park Aerospace Holdings, Ltd. |
| |||||||||||
4.50% (1) | 03/15/23 | 2,000 | 2,024 | |||||||||
|
| |||||||||||
Food — 0.7% | ||||||||||||
Kraft Heinz Foods Co. |
| |||||||||||
4.38% | 06/01/46 | 5,000 | 5,143 | |||||||||
5.00% | 07/15/35 | 3,000 | 3,445 | |||||||||
|
| |||||||||||
8,588 | ||||||||||||
|
| |||||||||||
Healthcare-Services — 1.0% | ||||||||||||
Centene Corp. |
| |||||||||||
3.00% | 10/15/30 | 6,000 | 6,238 | |||||||||
HCA, Inc. |
| |||||||||||
5.00% | 03/15/24 | 5,000 | 5,599 | |||||||||
|
| |||||||||||
11,837 | ||||||||||||
|
| |||||||||||
Insurance — 6.0% | ||||||||||||
Nationwide Mutual Insurance Co. |
| |||||||||||
2.54% (3 mo. USD LIBOR + 2.290%) (1)(2) | 12/15/24 | 70,000 | 69,981 | |||||||||
|
| |||||||||||
Media — 0.4% | ||||||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital |
| |||||||||||
1.86% (3 mo. USD LIBOR + 1.650%) (2) | 02/01/24 | 4,000 | 4,102 | |||||||||
|
| |||||||||||
Miscellaneous Manufacturers — 0.6% | ||||||||||||
General Electric Co. |
| |||||||||||
0.76% (3 mo. USD LIBOR + 0.480%) (2) | 08/15/36 | 10,000 | 6,857 | |||||||||
|
|
See accompanying Notes to Financial Statements.
32
Table of Contents
TCW Enhanced Commodity Strategy Fund
October 31, 2020 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Pharmaceuticals — 2.2% | ||||||||||||
Bausch Health Cos, Inc. (Canada) |
| |||||||||||
7.00% (1) | 03/15/24 | $ | 5,000 | $ | 5,187 | |||||||
Bayer US Finance II LLC |
| |||||||||||
3.88% (1) | 12/15/23 | 3,000 | 3,270 | |||||||||
4.38% (1) | 12/15/28 | 5,000 | 5,769 | |||||||||
CVS Health Corp. |
| |||||||||||
0.96% (3 mo. USD LIBOR + 0.720%) (2) | 03/09/21 | 8,000 | 8,016 | |||||||||
4.30% | 03/25/28 | 3,000 | 3,476 | |||||||||
|
| |||||||||||
25,718 | ||||||||||||
|
| |||||||||||
Pipelines — 0.6% | ||||||||||||
Energy Transfer Operating LP |
| |||||||||||
4.95% | 06/15/28 | 5,000 | 5,376 | |||||||||
Plains All American Pipeline LP / PAA Finance Corp. |
| |||||||||||
4.50% | 12/15/26 | 2,000 | 2,126 | |||||||||
|
| |||||||||||
7,502 | ||||||||||||
|
| |||||||||||
REIT — 3.1% | ||||||||||||
American Campus Communities Operating Partnership LP |
| |||||||||||
3.75% | 04/15/23 | 5,000 | 5,273 | |||||||||
Boston Properties LP |
| |||||||||||
4.13% | 05/15/21 | 5,000 | 5,040 | |||||||||
Camden Property Trust |
| |||||||||||
2.95% | 12/15/22 | 5,000 | 5,214 | |||||||||
CyrusOne LP / CyrusOne Finance Corp. |
| |||||||||||
2.90% | 11/15/24 | 5,000 | 5,315 | |||||||||
GLP Capital LP / GLP Financing II, Inc. |
| |||||||||||
5.38% | 11/01/23 | 5,000 | 5,369 | |||||||||
SL Green Operating Partnership LP |
| |||||||||||
3.25% | 10/15/22 | 5,000 | 5,106 | |||||||||
WEA Finance LLC |
| |||||||||||
3.15% (1) | 04/05/22 | 5,000 | 5,079 | |||||||||
|
| |||||||||||
36,396 | ||||||||||||
|
| |||||||||||
Savings & Loans — 0.5% | ||||||||||||
Nationwide Building Society (United Kingdom) |
| |||||||||||
4.36% (3 mo. USD LIBOR + 1.392%) (1)(2) | 08/01/24 | 5,000 | 5,422 | |||||||||
|
| |||||||||||
Telecommunications — 1.5% | ||||||||||||
AT&T, Inc. |
| |||||||||||
1.43% (3 mo. USD LIBOR + 1.180%) (2) | 06/12/24 | 10,000 | 10,216 | |||||||||
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC |
| |||||||||||
3.36% (1) | 03/20/23 | 2,500 | 2,525 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Telecommunications (Continued) | ||||||||||||
Vodafone Group PLC (United Kingdom) |
| |||||||||||
3.75% | 01/16/24 | $ | 4,000 | $ | 4,368 | |||||||
|
| |||||||||||
17,109 | ||||||||||||
|
| |||||||||||
Total Corporate Bonds |
| |||||||||||
(Cost: $307,480) |
| 315,325 | ||||||||||
|
| |||||||||||
MUNICIPAL BOND — 0.4% (Cost: $5,000) |
| |||||||||||
Regents of the University of California Medical Center Pooled, Revenue Bond |
| |||||||||||
3.26% | 05/15/60 | 5,000 | 5,096 | |||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $602,027) |
| 617,192 | ||||||||||
|
| |||||||||||
Security | Shares | |||||||||||
MONEY MARKET INVESTMENTS — 27.3% | ||||||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class (6)(7) |
| 318,188 | 318,188 | |||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $318,188) |
| 318,188 | ||||||||||
|
| |||||||||||
Issues | Principal Amount | |||||||||||
SHORT TERM INVESTMENTS — 25.3% | ||||||||||||
U.S. TREASURY SECURITIES — 25.3% | ||||||||||||
U.S. Cash Management Bill |
| |||||||||||
0.08% (8) | 01/19/21 | $ | 85,000 | 84,986 | ||||||||
0.08% (8) | 02/16/21 | 20,000 | 19,995 | |||||||||
U.S. Treasury Bill |
| |||||||||||
0.06% (8) | 12/10/20 | 15,000 | 14,999 | |||||||||
0.07% (8) | 12/03/20 | 45,000 | 44,997 | |||||||||
0.08% (8) | 01/07/21 | 50,000 | 49,993 | |||||||||
0.10% (8) | 02/04/21 | 60,000 | 59,985 | |||||||||
0.10% (8) | 01/14/21 | 20,000 | 19,996 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $294,926) |
| 294,951 | ||||||||||
|
| |||||||||||
Total Investments (105.6%) | ||||||||||||
(Cost: $1,215,141) |
| 1,230,331 | ||||||||||
Liabilities In Excess Of Other Assets (-5.6%) |
| (64,827 | ) | |||||||||
|
| |||||||||||
Net Assets (100.0%) |
| $ | 1,165,504 | |||||||||
|
|
See accompanying Notes to Financial Statements.
33
Table of Contents
TCW Enhanced Commodity Strategy Fund
Consolidated Schedule of Investments (Continued)
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 | ||||||||||||||||||||||||||||
$ | 1,193,358 | 11/17/20 | Credit Suisse International | 3-Month U.S. Treasury Bills plus 0.2% | Credit Suisse Custom 24 Total Return Index (9) | Monthly | $ | (24,161 | ) | $ | — | $ | (24,161 | ) | ||||||||||||||
|
|
|
|
|
|
Notes to the Schedule of Investments:
CLO | Collateralized Loan Obligation. |
EETC | Enhanced Equipment Trust Certificate. |
I/O | Interest Only Security. |
REIT | Real Estate Investment Trust. |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only to qualified institutional buyers. At October 31, 2020, the value of these securities amounted to $140,340 or 12.0% of net assets. These securities are determined to be liquid by the Fund’s investment advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(2) | Floating or variable rate security. The interest shown reflects the rate in effect at October 31, 2020. |
(3) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(4) | Restricted security (Note 11). |
(5) | A portion of the principal balance has been written-off during the period due to defaults in the underlying loans. Cost basis has been adjusted. |
(6) | Rate disclosed is the 7-day net yield as of October 31, 2020. |
(7) | All or a portion of this security is owned by TCW Cayman Enhanced Commodity Fund, Ltd. |
(8) | Rate shown represents yield-to-maturity. |
(9) | Custom Index has exposure to the following commodities as shown on the next page. |
See accompanying Notes to Financial Statements.
34
Table of Contents
TCW Enhanced Commodity Strategy Fund
Components of Total Return Swap | October 31, 2020 |
Description (1) | Notional Amount | Weight % | Unrealized Appreciation (Depreciation) | |||||||||
Gold | $ | 191,653 | 16.06 | % | $ | (2,651 | ) | |||||
Natural Gas | 150,482 | 12.61 | % | 2,717 | ||||||||
Copper High Grade | 89,263 | 7.48 | % | (464 | ) | |||||||
Soybeans | 73,988 | 6.20 | % | 419 | ||||||||
Corn | 71,840 | 6.02 | % | 42 | ||||||||
Silver | 57,401 | 4.81 | % | (1,794 | ) | |||||||
WTI Crude Oil | 54,179 | 4.54 | % | (7,754 | ) | |||||||
Aluminium Primary | 51,911 | 4.35 | % | (546 | ) | |||||||
Soybean Meal | 47,734 | 4.00 | % | 1,202 | ||||||||
Brent Crude Oil | 46,780 | 3.92 | % | (5,962 | ) | |||||||
Zinc High Grade | 43,200 | 3.62 | % | 1,432 | ||||||||
Live Cattle | 41,171 | 3.45 | % | (484 | ) | |||||||
SRW Wheat | 38,903 | 3.26 | % | (1,622 | ) | |||||||
Sugar#11 | 37,352 | 3.13 | % | (175 | ) | |||||||
Nickel Primary | 35,085 | 2.94 | % | (1,132 | ) | |||||||
Soybean Oil | 32,817 | 2.75 | % | 464 | ||||||||
Coffee ‘C’ Arabica | 27,805 | 2.33 | % | (791 | ) | |||||||
HRW Wheat | 20,049 | 1.68 | % | (657 | ) | |||||||
Lean Hogs | 19,810 | 1.66 | % | (1,265 | ) | |||||||
Cotton | 17,542 | 1.47 | % | (184 | ) | |||||||
RBOB Gasoline | 15,752 | 1.32 | % | (1,837 | ) | |||||||
Gasoil | 15,275 | 1.28 | % | (1,949 | ) | |||||||
Heating Oil | 13,366 | 1.12 | % | (1,216 | ) | |||||||
United States Treasury Bill | — | — | 46 | |||||||||
|
|
|
|
|
| |||||||
$ | 1,193,358 | 100.00 | % | $ | (24,161 | ) | ||||||
|
|
|
|
|
|
(1) | Commodity Exposures of the Credit Suisse Custom 24 Total Return Index. |
See accompanying Notes to Financial Statements.
35
Table of Contents
TCW Enhanced Commodity Strategy Fund
Consolidated Investments by Sector | October 31, 2020 |
Sector | Percentage of Net Assets | |||
Money Market Investments | 27.3 | % | ||
Corporate Bonds | 27.1 | |||
U.S. Treasury Securities | 25.3 | |||
Asset-Backed Securities | 8.5 | |||
Residential Mortgage-Backed Securities — Non-Agency | 7.5 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 5.4 | |||
Commercial Mortgage-Backed Securities — Agency | 3.3 | |||
Residential Mortgage-Backed Securities — Agency | 0.8 | |||
Municipal Bonds | 0.4 | |||
Other* | (5.6 | ) | ||
|
| |||
Total | 100.0 | % | ||
|
|
* | Includes swaps, interest receivable and accrued expenses payable. |
See accompanying Notes to Financial Statements.
36
Table of Contents
TCW Enhanced Commodity Strategy Fund
Fair Valuation Summary | October 31, 2020 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 2020 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 | $ | — | $ | 98,717 | $ | — | $ | 98,717 | ||||||||
Commercial Mortgage-Backed Securities — Agency | — | 38,513 | — | 38,513 | ||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 62,804 | — | 62,804 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 9,251 | — | 9,251 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 87,486 | — | 87,486 | ||||||||||||
Corporate Bonds* | — | 315,325 | — | 315,325 | ||||||||||||
Municipal Bonds | — | 5,096 | — | 5,096 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 617,192 | — | 617,192 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 318,188 | — | — | 318,188 | ||||||||||||
Short-Term Investments | 294,951 | — | — | 294,951 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 613,139 | $ | 617,192 | $ | — | $ | 1,230,331 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Swap Agreements | ||||||||||||||||
Commodity Risk | $ | — | $ | (24,161 | ) | $ | — | $ | (24,161 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (24,161 | ) | $ | — | $ | (24,161 | ) | ||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
See accompanying Notes to Financial Statements.
37
Table of Contents
Schedule of Investments
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 99.6% of Net Assets |
| |||||||||||
CORPORATE BONDS — 20.9% |
| |||||||||||
Agriculture — 0.7% | ||||||||||||
BAT Capital Corp. |
| |||||||||||
4.54% | 08/15/47 | $ | 10,000 | $ | 10,542 | |||||||
BAT International Finance PLC (United Kingdom) |
| |||||||||||
2.25% (1) | 01/16/30 | 100,000 | 126,288 | |||||||||
Reynolds American, Inc. |
| |||||||||||
5.85% | 08/15/45 | 20,000 | 24,344 | |||||||||
|
| |||||||||||
161,174 | ||||||||||||
|
| |||||||||||
Airlines — 0.9% | ||||||||||||
Continental Airlines, Inc. Pass-Through Trust (01-1A-1) (EETC) |
| |||||||||||
6.70% | 12/15/22 | 11,260 | 11,006 | |||||||||
Delta Air Lines, Inc. Pass-Through Certificates (02-1G1) (EETC) |
| |||||||||||
6.72% | 07/02/24 | 54,245 | 52,303 | |||||||||
Delta Air Lines, Inc. Pass-Through Certificates (20-1A-AA) |
| |||||||||||
2.00% | 12/10/29 | 90,000 | 87,198 | |||||||||
US Airways Group, Inc. Pass-Through Certificates (10-1A) (EETC) |
| |||||||||||
6.25% | 10/22/24 | 9,667 | 8,720 | |||||||||
US Airways Group, Inc. Pass-Through Certificates (12-1-A) (EETC) |
| |||||||||||
5.90% | 04/01/26 | 31,110 | 29,088 | |||||||||
|
| |||||||||||
188,315 | ||||||||||||
|
| |||||||||||
Auto Manufacturers — 1.7% | ||||||||||||
Daimler Finance North America LLC |
| |||||||||||
2.20% (2) | 10/30/21 | 60,000 | 61,002 | |||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
1.04% (3 mo. USD LIBOR + 0.810%) (3) | 04/05/21 | 15,000 | 14,885 | |||||||||
1.30% (3 mo. USD LIBOR + 1.080%) (3) | 08/03/22 | 25,000 | 24,109 | |||||||||
1.50% (3 mo. USD LIBOR + 1.270%) (3) | 03/28/22 | 20,000 | 19,309 | |||||||||
2.34% | 11/02/20 | 70,000 | 70,147 | |||||||||
3.20% | 01/15/21 | 40,000 | 39,925 | |||||||||
3.22% | 01/09/22 | 20,000 | 19,925 | |||||||||
3.81% | 10/12/21 | 5,000 | 5,034 | |||||||||
5.75% | 02/01/21 | 5,000 | 5,052 | |||||||||
General Motors Financial Co., Inc. |
| |||||||||||
3.15% | 06/30/22 | 20,000 | 20,623 | |||||||||
3.20% | 07/06/21 | 15,000 | 15,204 | |||||||||
3.45% | 04/10/22 | 5,000 | 5,147 | |||||||||
3.55% | 07/08/22 | 10,000 | 10,390 | |||||||||
4.20% | 11/06/21 | 30,000 | 30,951 | |||||||||
4.38% | 09/25/21 | 20,000 | 20,621 | |||||||||
|
| |||||||||||
362,324 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Banks — 2.0% | ||||||||||||
Citigroup, Inc. |
| |||||||||||
2.57% (SOFR + 2.107%) (3) | 06/03/31 | $ | 40,000 | $ | 41,737 | |||||||
2.67% (SOFR + 1.146%) (3) | 01/29/31 | 20,000 | 21,042 | |||||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||||
3.69% (3 mo. USD LIBOR + 1.510%) (3) | 06/05/28 | 10,000 | 11,306 | |||||||||
3.81% (3 mo. USD LIBOR + 1.158%) (3) | 04/23/29 | 5,000 | 5,713 | |||||||||
HSBC Holdings PLC |
| |||||||||||
2.01% (SOFR + 1.732%) (3) | 09/22/28 | 55,000 | 54,828 | |||||||||
JPMorgan Chase & Co. |
| |||||||||||
2.18% (SOFR + 1.890%) (3) | 06/01/28 | 35,000 | 36,544 | |||||||||
Lloyds Banking Group PLC (United Kingdom) |
| |||||||||||
3.87% (1-year Treasury Constant Maturity Rate + 3.500%) (3) | 07/09/25 | 50,000 | 54,584 | |||||||||
3.90% | 03/12/24 | 10,000 | 10,894 | |||||||||
Santander UK Group Holdings PLC (United Kingdom) |
| |||||||||||
4.80% (3 mo. USD LIBOR +1.570%) (3) | 11/15/24 | 40,000 | 44,179 | |||||||||
Santander UK PLC (United Kingdom) |
| |||||||||||
5.00% (2) | 11/07/23 | 20,000 | 21,904 | |||||||||
Wells Fargo & Co. |
| |||||||||||
2.39% (SOFR + 2.100%) (3) | 06/02/28 | 20,000 | 20,805 | |||||||||
2.57% (3 mo. USD LIBOR + 1.000%) (3) | 02/11/31 | 40,000 | 41,706 | |||||||||
2.88% (3 mo. USD LIBOR + 1.170%) (3) | 10/30/30 | 50,000 | 53,233 | |||||||||
3.07% (SOFR + 2.530%) (3) | 04/30/41 | 15,000 | 15,565 | |||||||||
|
| |||||||||||
434,040 | ||||||||||||
|
| |||||||||||
Beverages — 0.3% | ||||||||||||
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc. |
| |||||||||||
4.90% | 02/01/46 | 20,000 | 24,538 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. |
| |||||||||||
4.60% | 04/15/48 | 20,000 | 23,826 | |||||||||
4.75% | 01/23/29 | 10,000 | 12,119 | |||||||||
Bacardi, Ltd. |
| |||||||||||
4.70% (2) | 05/15/28 | 15,000 | 17,326 | |||||||||
|
| |||||||||||
77,809 | ||||||||||||
|
| |||||||||||
Commercial Services — 0.2% | ||||||||||||
IHS Markit, Ltd. |
| |||||||||||
4.75% | 08/01/28 | 30,000 | 35,337 | |||||||||
|
| |||||||||||
Diversified Financial Services — 0.8% | ||||||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Ireland) |
| |||||||||||
3.50% | 05/26/22 | 25,000 | 25,439 | |||||||||
3.88% | 01/23/28 | 10,000 | 9,433 | |||||||||
3.95% | 02/01/22 | 25,000 | 25,427 | |||||||||
4.13% | 07/03/23 | 15,000 | 15,424 |
See accompanying Notes to Financial Statements.
38
Table of Contents
TCW Global Bond Fund
October 31, 2020 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Diversified Financial Services (Continued) | ||||||||||||
Air Lease Corp. |
| |||||||||||
3.25% | 03/01/25 | $ | 20,000 | $ | 20,449 | |||||||
Avolon Holdings Funding, Ltd. |
| |||||||||||
2.88% (2) | 02/15/25 | 30,000 | 28,182 | |||||||||
5.13% (2) | 10/01/23 | 5,000 | 5,094 | |||||||||
Park Aerospace Holdings, Ltd. |
| |||||||||||
4.50% (2) | 03/15/23 | 20,000 | 20,238 | |||||||||
5.25% (2) | 08/15/22 | 5,000 | 5,151 | |||||||||
5.50% (2) | 02/15/24 | 20,000 | 20,693 | |||||||||
|
| |||||||||||
175,530 | ||||||||||||
|
| |||||||||||
Electric — 0.7% | ||||||||||||
AEP Texas Central Co. |
| |||||||||||
3.85% (2) | 10/01/25 | 50,000 | 55,253 | |||||||||
ITC Holdings Corp. |
| |||||||||||
3.65% | 06/15/24 | 40,000 | 43,820 | |||||||||
Pennsylvania Electric Co. |
| |||||||||||
3.25% (2) | 03/15/28 | 50,000 | 52,804 | |||||||||
|
| |||||||||||
151,877 | ||||||||||||
|
| |||||||||||
Engineering & Construction — 0.1% | ||||||||||||
PowerTeam Services LLC |
| |||||||||||
9.03% (2) | 12/04/25 | 12,000 | 12,758 | |||||||||
|
| |||||||||||
Entertainment — 0.1% | ||||||||||||
Churchill Downs, Inc. |
| |||||||||||
5.50% (2) | 04/01/27 | 13,000 | 13,472 | |||||||||
Colt Merger Sub, Inc. |
| |||||||||||
6.25% (2) | 07/01/25 | 6,000 | 6,185 | |||||||||
Live Nation Entertainment, Inc. |
| |||||||||||
4.75% (2) | 10/15/27 | 5,000 | 4,603 | |||||||||
|
| |||||||||||
24,260 | ||||||||||||
|
| |||||||||||
Environmental Control — 0.1% | ||||||||||||
GFL Environmental, Inc. (Canada) |
| |||||||||||
5.13% (2) | 12/15/26 | 9,000 | 9,460 | |||||||||
Waste Pro USA, Inc. |
| |||||||||||
5.50% (2) | 02/15/26 | 5,000 | 5,065 | |||||||||
|
| |||||||||||
14,525 | ||||||||||||
|
| |||||||||||
Food — 0.8% | ||||||||||||
Kraft Heinz Foods Co. |
| |||||||||||
4.38% | 06/01/46 | 90,000 | 92,580 | |||||||||
4.88% (2) | 10/01/49 | 10,000 | 10,584 | |||||||||
5.00% | 07/15/35 | 30,000 | 34,450 | |||||||||
5.00% | 06/04/42 | 5,000 | 5,502 | |||||||||
Pilgrim’s Pride Corp. |
| |||||||||||
5.88% (2) | 09/30/27 | 16,000 | 16,924 | |||||||||
Post Holdings, Inc. |
| |||||||||||
4.63% (2) | 04/15/30 | 25,000 | 25,719 | |||||||||
|
| |||||||||||
185,759 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Healthcare-Services — 1.3% | ||||||||||||
Centene Corp. |
| |||||||||||
3.00% | 10/15/30 | $ | 88,000 | $ | 91,494 | |||||||
4.63% | 12/15/29 | 19,000 | 20,710 | |||||||||
CommonSpirit Health |
| |||||||||||
2.78% | 10/01/30 | 10,000 | 10,002 | |||||||||
Encompass Health Corp. |
| |||||||||||
4.75% | 02/01/30 | 8,000 | 8,346 | |||||||||
HCA, Inc. |
| |||||||||||
5.00% | 03/15/24 | 28,000 | 31,352 | |||||||||
5.25% | 04/15/25 | 2,000 | 2,318 | |||||||||
5.25% | 06/15/49 | 24,000 | 29,289 | |||||||||
Humana, Inc. |
| |||||||||||
4.95% | 10/01/44 | 10,000 | 13,167 | |||||||||
Molina Healthcare, Inc. |
| |||||||||||
5.38% | 11/15/22 | 8,000 | 8,328 | |||||||||
NYU Langone Hospitals |
| |||||||||||
3.38% | 07/01/55 | 10,000 | 9,663 | |||||||||
Partners Healthcare System, Inc. |
| |||||||||||
3.34% | 07/01/60 | 20,000 | 21,497 | |||||||||
Tenet Healthcare Corp. |
| |||||||||||
4.88% (2) | 01/01/26 | 28,000 | 28,439 | |||||||||
5.13% (2) | 11/01/27 | 4,000 | 4,129 | |||||||||
|
| |||||||||||
278,734 | ||||||||||||
|
| |||||||||||
Insurance — 0.6% | ||||||||||||
Farmers Exchange Capital II |
| |||||||||||
6.15% (3 mo. USD LIBOR + 3.744%) (2)(3) | 11/01/53 | 80,000 | 99,800 | |||||||||
Teachers Insurance & Annuity Association of America |
| |||||||||||
3.30% (2) | 05/15/50 | 40,000 | 40,983 | |||||||||
|
| |||||||||||
140,783 | ||||||||||||
|
| |||||||||||
Iron & Steel — 0.3% | ||||||||||||
Vale Overseas, Ltd. |
| |||||||||||
3.75% | 07/08/30 | 65,000 | 68,309 | |||||||||
|
| |||||||||||
Media — 0.7% | ||||||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. |
| |||||||||||
4.25% (2) | 02/01/31 | 4,000 | 4,103 | |||||||||
4.50% (2) | 08/15/30 | 32,000 | 33,368 | |||||||||
4.50% (2) | 05/01/32 | 6,000 | 6,210 | |||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital |
| |||||||||||
5.38% | 05/01/47 | 31,000 | 37,117 | |||||||||
CSC Holdings LLC |
| |||||||||||
6.50% (2) | 02/01/29 | 7,000 | 7,780 | |||||||||
Sirius XM Radio, Inc. |
| |||||||||||
3.88% (2) | 08/01/22 | 15,000 | 15,131 | |||||||||
Virgin Media Secured Finance PLC (United Kingdom) |
| |||||||||||
5.50% (2) | 05/15/29 | 16,000 | 17,120 |
See accompanying Notes to Financial Statements.
39
Table of Contents
TCW Global Bond Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Media (Continued) | ||||||||||||
Walt Disney Co. (The) |
| |||||||||||
3.60% | 01/13/51 | $ 30,000 | $ | 33,535 | ||||||||
|
| |||||||||||
154,364 | ||||||||||||
|
| |||||||||||
Miscellaneous Manufacturers — 1.2% | ||||||||||||
General Electric Co. |
| |||||||||||
0.63% (3 mo. USD LIBOR + 0.38%) (3) | 05/05/26 | 125,000 | 116,511 | |||||||||
0.76% (3 mo. USD LIBOR + 0.480%) (3) | 08/15/36 | 200,000 | 137,138 | |||||||||
|
| |||||||||||
253,649 | ||||||||||||
|
| |||||||||||
Multi-National — 0.3% | ||||||||||||
International Bank for Reconstruction & Development |
| |||||||||||
1.75% (1) | 03/13/25 | NOK | 650,000 | 71,278 | ||||||||
|
| |||||||||||
Oil & Gas — 2.0% | ||||||||||||
Antero Resources Corp. |
| |||||||||||
5.00% | 03/01/25 | $ | 20,000 | 14,845 | ||||||||
5.13% | 12/01/22 | 6,000 | 5,565 | |||||||||
BP Capital Markets America, Inc. |
| |||||||||||
3.63% | 04/06/30 | 15,000 | 16,916 | |||||||||
EQT Corp. |
| |||||||||||
3.90% | 10/01/27 | 18,000 | 17,320 | |||||||||
Exxon Mobil Corp. |
| |||||||||||
3.48% | 03/19/30 | 10,000 | 11,321 | |||||||||
4.23% | 03/19/40 | 15,000 | 18,032 | |||||||||
4.33% | 03/19/50 | 20,000 | 24,224 | |||||||||
Petrobras Global Finance B.V. |
| |||||||||||
5.09% | 01/15/30 | 85,000 | 89,453 | |||||||||
5.60% | 01/03/31 | 25,000 | 27,006 | |||||||||
Petroleos Mexicanos |
| |||||||||||
5.50% (1) | 02/24/25 | EUR | 117,000 | 140,270 | ||||||||
5.95% | 01/28/31 | $ | 20,000 | 16,790 | ||||||||
Shell International Finance BV (Netherlands) |
| |||||||||||
2.38% | 11/07/29 | 15,000 | 15,837 | |||||||||
4.38% | 05/11/45 | 25,000 | 30,239 | |||||||||
Transocean Pontus, Ltd. |
| |||||||||||
6.13% (2) | 08/01/25 | 12,480 | 11,064 | |||||||||
Transocean Poseidon, Ltd. |
| |||||||||||
6.88% (2) | 02/01/27 | 7,000 | 5,267 | |||||||||
|
| |||||||||||
444,149 | ||||||||||||
|
| |||||||||||
Oil & Gas Services — 0.1% | ||||||||||||
Transocean Phoenix 2, Ltd. |
| |||||||||||
7.75% (2) | 10/15/24 | 7,800 | 7,137 | |||||||||
USA Compression Partners LP / USA Compression Finance Corp. |
| |||||||||||
6.88% | 09/01/27 | 4,000 | 4,028 | |||||||||
|
| |||||||||||
11,165 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Packaging & Containers — 0.3% | ||||||||||||
Bemis Co., Inc. |
| |||||||||||
3.10% | 09/15/26 | $ | 25,000 | $ | 27,293 | |||||||
Graphic Packaging International LLC |
| |||||||||||
4.88% | 11/15/22 | 8,000 | 8,308 | |||||||||
Sealed Air Corp. |
| |||||||||||
5.50% (2) | 09/15/25 | 14,000 | 15,661 | |||||||||
Trivium Packaging Finance BV (Netherlands) |
| |||||||||||
5.50% (2) | 08/15/26 | 16,000 | 16,839 | |||||||||
|
| |||||||||||
68,101 | ||||||||||||
|
| |||||||||||
Pharmaceuticals — 1.6% | ||||||||||||
AbbVie, Inc. |
| |||||||||||
4.25% (2) | 11/21/49 | 50,000 | 58,560 | |||||||||
4.50% | 05/14/35 | 25,000 | 30,420 | |||||||||
Bayer US Finance II LLC |
| |||||||||||
4.25% (2) | 12/15/25 | 35,000 | 39,821 | |||||||||
4.38% (2) | 12/15/28 | 25,000 | 28,845 | |||||||||
4.63% (2) | 06/25/38 | 25,000 | 29,423 | |||||||||
4.88% (2) | 06/25/48 | 5,000 | 6,023 | |||||||||
Becton Dickinson and Co. |
| |||||||||||
2.89% | 06/06/22 | 15,000 | 15,524 | |||||||||
Cigna Corp. |
| |||||||||||
3.40% | 03/15/50 | 35,000 | 36,922 | |||||||||
CVS Health Corp. |
| |||||||||||
5.05% | 03/25/48 | 75,000 | 95,299 | |||||||||
|
| |||||||||||
340,837 | ||||||||||||
|
| |||||||||||
Pipelines — 0.6% | ||||||||||||
Energy Transfer Operating LP |
| |||||||||||
3.75% | 05/15/30 | 5,000 | 4,925 | |||||||||
5.00% | 05/15/50 | 22,000 | 20,614 | |||||||||
6.50% | 02/01/42 | 27,000 | 28,881 | |||||||||
Energy Transfer Partners LP |
| |||||||||||
5.15% | 03/15/45 | 50,000 | 46,676 | |||||||||
Kinder Morgan Energy Partners LP |
| |||||||||||
5.00% | 08/15/42 | 15,000 | 16,492 | |||||||||
Sabine Pass Liquefaction LLC |
| |||||||||||
5.75% | 05/15/24 | 15,000 | 16,904 | |||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. |
| |||||||||||
6.88% | 01/15/29 | 5,000 | 5,382 | |||||||||
|
| |||||||||||
139,874 | ||||||||||||
|
| |||||||||||
REIT — 1.3% | ||||||||||||
American Campus Communities Operating Partnership LP (REIT) |
| |||||||||||
4.13% | 07/01/24 | 30,000 | 32,458 | |||||||||
CyrusOne LP / CyrusOne Finance Corp. |
| |||||||||||
2.90% | 11/15/24 | 45,000 | 47,830 | |||||||||
3.45% | 11/15/29 | 45,000 | 47,959 |
See accompanying Notes to Financial Statements.
40
Table of Contents
TCW Global Bond Fund
October 31, 2020 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
REIT (Continued) | ||||||||||||
GLP Capital LP / GLP Financing II, Inc. |
| |||||||||||
3.35% | 09/01/24 | $ | 45,000 | $ | 46,247 | |||||||
5.30% | 01/15/29 | 15,000 | 16,777 | |||||||||
5.38% | 04/15/26 | 25,000 | 27,813 | |||||||||
5.75% | 06/01/28 | 5,000 | 5,702 | |||||||||
Lexington Realty Trust (REIT) |
| |||||||||||
2.70% | 09/15/30 | 20,000 | 20,235 | |||||||||
SL Green Operating Partnership LP |
| |||||||||||
1.26% (3 mo. USD LIBOR + 0.98%) (3) | 08/16/21 | 50,000 | 49,620 | |||||||||
|
| |||||||||||
294,641 | ||||||||||||
|
| |||||||||||
Savings & Loans — 0.1% | ||||||||||||
Nationwide Building Society (United Kingdom) |
| |||||||||||
3.77% (3 mo. USD LIBOR +1.064%) (2)(3) | 03/08/24 | 15,000 | 15,926 | |||||||||
|
| |||||||||||
Semiconductors — 0.1% | ||||||||||||
Intel Corp. |
| |||||||||||
4.75% | 03/25/50 | 20,000 | 27,376 | |||||||||
|
| |||||||||||
Telecommunications — 2.0% | ||||||||||||
AT&T, Inc. |
| |||||||||||
3.30% | 02/01/52 | 30,000 | 27,606 | |||||||||
3.88% | 01/15/26 | 25,000 | 28,220 | |||||||||
4.75% | 05/15/46 | 65,000 | 75,108 | |||||||||
4.80% | 06/15/44 | 44,000 | 51,378 | |||||||||
CenturyLink, Inc. |
| |||||||||||
4.00% (2) | 02/15/27 | 4,000 | 4,095 | |||||||||
Intelsat Jackson Holdings S. A. (Luxembourg) |
| |||||||||||
8.50% (2)(4) | 10/15/24 | 21,000 | 13,072 | |||||||||
9.75% (2)(4) | 07/15/25 | 15,000 | 9,313 | |||||||||
Level 3 Financing, Inc. |
| |||||||||||
4.63% (2) | 09/15/27 | 3,000 | 3,065 | |||||||||
Qwest Corp. |
| |||||||||||
7.25% | 09/15/25 | 14,000 | 16,187 | |||||||||
Sprint Corp. |
| |||||||||||
7.88% | 09/15/23 | 3,000 | 3,426 | |||||||||
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC |
| |||||||||||
3.36% (2) | 03/20/23 | 43,750 | 44,187 | |||||||||
T-Mobile USA, Inc. |
| |||||||||||
2.55% (2) | 02/15/31 | 20,000 | 20,407 | |||||||||
3.88% (2) | 04/15/30 | 20,000 | 22,492 | |||||||||
4.38% (2) | 04/15/40 | 20,000 | 23,151 | |||||||||
6.00% | 04/15/24 | 26,000 | 26,493 | |||||||||
Vodafone Group PLC (United Kingdom) |
| |||||||||||
4.88% | 06/19/49 | 48,000 | 59,502 | |||||||||
|
| |||||||||||
427,702 | ||||||||||||
|
| |||||||||||
Total Corporate Bonds |
| |||||||||||
(Cost: $4,410,023) |
| 4,560,596 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
MUNICIPAL BONDS — 1.4% | ||||||||||||
Alabama Economic Settlement Authority, Revenue Bond |
| |||||||||||
4.26% | 09/15/32 | $ 40,000 | $ | 47,041 | ||||||||
City and County of Denver Co. Airport System Revenue, Revenue Bond |
| |||||||||||
2.24% | 11/15/30 | 20,000 | 19,822 | |||||||||
Commonwealth of Massachusetts |
| |||||||||||
3.00% | 03/01/48 | 20,000 | 21,239 | |||||||||
Greater Orlando Aviation Authority, Revenue Bond |
| |||||||||||
5.00% | 10/01/44 | 10,000 | 12,011 | |||||||||
Metropolitan Transportation Authority, Revenue Bond |
| |||||||||||
5.18% | 11/15/49 | 25,000 | 25,636 | |||||||||
New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bond |
| |||||||||||
4.00% | 08/01/38 | 25,000 | 27,939 | |||||||||
New York City Water and Sewer System, Revenue Bond |
| |||||||||||
3.00% | 06/15/50 | 25,000 | 25,776 | |||||||||
New York State Dormitory Authority, Revenue Bond |
| |||||||||||
4.00% | 03/15/44 | 30,000 | 34,044 | |||||||||
Regents of the University of California Medical Center Pooled, Revenue Bond |
| |||||||||||
3.26% | 05/15/60 | 45,000 | 45,869 | |||||||||
San Francisco City and County Airport Comm-San Francisco International Airport, Revenue Bond |
| |||||||||||
5.00% | 05/01/49 | 35,000 | 41,385 | |||||||||
|
| |||||||||||
Total Municipal Bonds |
| |||||||||||
(Cost: $286,617) |
| 300,762 | ||||||||||
|
| |||||||||||
FOREIGN GOVERNMENT BONDS — 46.5% | ||||||||||||
Abu Dhabi Government International Bond |
| |||||||||||
1.70% (2) | 03/02/31 | 200,000 | 197,822 | |||||||||
Australia Government Bond |
| |||||||||||
1.25% | 05/21/32 | AUD | 107,000 | 77,810 | ||||||||
2.50% (1) | 05/21/30 | AUD | 153,000 | 124,466 | ||||||||
2.75% (1) | 05/21/41 | AUD | 219,000 | 186,332 | ||||||||
3.25% (1) | 04/21/29 | AUD | 170,000 | 144,664 | ||||||||
Brazil Letras do Tesouro Nacional |
| |||||||||||
0.00% (5) | 10/01/22 | BRL | 390,000 | 61,773 | ||||||||
0.00% (5) | 01/01/24 | BRL | 660,000 | 94,182 | ||||||||
Canada Housing Trust No 1 |
| |||||||||||
1.75% (2) | 06/15/30 | CAD | 170,000 | 135,900 | ||||||||
Canadian Government Bond |
| |||||||||||
1.50% | 09/01/24 | CAD | 125,000 | 97,935 | ||||||||
2.75% | 12/01/48 | CAD | 35,000 | 35,989 | ||||||||
China Development Bank |
| |||||||||||
3.18% | 04/05/26 | CNY | 5,050,000 | 741,582 | ||||||||
3.30% | 02/01/24 | CNY | 600,000 | 89,479 | ||||||||
4.24% | 08/24/27 | CNY | 1,200,000 | 186,935 |
See accompanying Notes to Financial Statements.
41
Table of Contents
TCW Global Bond Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
FOREIGN GOVERNMENT BONDS (Continued) | ||||||||||||
China Government Bond |
| |||||||||||
2.64% | 08/13/22 | CNY | 890,000 | $ | 132,396 | |||||||
2.85% | 06/04/27 | CNY | 1,250,000 | 182,189 | ||||||||
3.13% | 11/21/29 | CNY | 1,460,000 | 216,840 | ||||||||
3.22% | 12/06/25 | CNY | 1,790,000 | 270,386 | ||||||||
3.86% | 07/22/49 | CNY | 1,320,000 | 196,139 | ||||||||
Colombian TES |
| |||||||||||
7.75% | 09/18/30 | COP | 107,900,000 | 32,095 | ||||||||
Czech Republic Government Bond |
| |||||||||||
0.45% (1) | 10/25/23 | CZK | 3,870,000 | 166,027 | ||||||||
French Republic Government Bond OAT |
| |||||||||||
1.25% (1) | 05/25/34 | EUR | 45,000 | 62,661 | ||||||||
Hungary Government Bond |
| |||||||||||
2.50% | 10/24/24 | HUF | 44,100,000 | 146,304 | ||||||||
3.00% | 08/21/30 | HUF | 2,250,000 | 7,681 | ||||||||
Indonesia Government International Bond |
| |||||||||||
1.40% | 10/30/31 | EUR | 100,000 | 115,428 | ||||||||
Indonesia Treasury Bond |
| |||||||||||
6.50% | 06/15/25 | IDR | 1,270,000,000 | 90,441 | ||||||||
8.25% | 05/15/29 | IDR | 890,000,000 | 67,366 | ||||||||
Ireland Government Bond |
| |||||||||||
0.90% (1) | 05/15/28 | EUR | 115,000 | 147,551 | ||||||||
1.30% (1) | 05/15/33 | EUR | 34,000 | 46,844 | ||||||||
2.00% (1) | 02/18/45 | EUR | 9,000 | 14,934 | ||||||||
Israel Government Bond |
| |||||||||||
1.00% | 03/31/30 | ILS | 390,000 | 117,055 | ||||||||
Italy Buoni Poliennali Del Tesoro |
| |||||||||||
0.35% (1) | 02/01/25 | EUR | 150,000 | 177,340 | ||||||||
3.10% (1) | 03/01/40 | EUR | 32,000 | 48,627 | ||||||||
Japan Government Ten-Year Bond |
| |||||||||||
1.00% | 09/20/21 | JPY | 50,150,000 | 484,482 | ||||||||
Japan Government Thirty Year Bond |
| |||||||||||
0.40% | 03/20/50 | JPY | 15,950,000 | 143,675 | ||||||||
0.70% | 12/20/48 | JPY | 12,150,000 | 119,367 | ||||||||
2.00% | 03/20/42 | JPY | 41,200,000 | 518,291 | ||||||||
Japan Government Twenty Year Bond |
| |||||||||||
0.50% | 09/20/36 | JPY | 11,500,000 | 113,513 | ||||||||
Kingdom of Belgium Government Bond |
| |||||||||||
1.70% (1) | 06/22/50 | EUR | 45,000 | 72,879 | ||||||||
Korea Treasury Bond |
| |||||||||||
1.75% | 06/10/28 | KRW | 68,073,813 | 64,405 | ||||||||
1.88% | 06/10/26 | KRW | 180,000,000 | 163,422 | ||||||||
1.88% | 06/10/29 | KRW | 302,840,000 | 273,499 | ||||||||
Malaysia Government Bond |
| |||||||||||
3.44% | 02/15/21 | MYR | 400,000 | 96,809 | ||||||||
4.64% | 11/07/33 | MYR | 156,000 | 43,793 | ||||||||
Mexican Bonos |
| |||||||||||
7.75% | 11/23/34 | MXN | 1,980,000 | 102,507 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
FOREIGN GOVERNMENT BONDS (Continued) | ||||||||||||
New Zealand Government Bond |
| |||||||||||
1.75% | 05/15/41 | NZD | 112,000 | $ | 81,123 | |||||||
2.75% (1) | 04/15/37 | NZD | 50,000 | 41,904 | ||||||||
Norway Government Bond |
| |||||||||||
1.75% (1) | 09/06/29 | NOK | 699,000 | 80,130 | ||||||||
3.00% (1) | 03/14/24 | NOK | 730,000 | 83,384 | ||||||||
Panama Government International Bond |
| |||||||||||
3.75% (1) | 04/17/26 | USD | 18,000 | 19,468 | ||||||||
Peruvian Government Bond |
| |||||||||||
5.40% | 08/12/34 | PEN | 331,000 | 96,614 | ||||||||
Peruvian Government International Bond |
| |||||||||||
5.40% (1) | 08/12/34 | PEN | 150,000 | 43,813 | ||||||||
Poland Government Bond |
| |||||||||||
1.75% | 07/25/21 | PLN | 200,000 | 51,116 | ||||||||
2.25% | 10/25/24 | PLN | 275,000 | 74,992 | ||||||||
2.75% | 10/25/29 | PLN | 331,000 | 95,516 | ||||||||
3.25% | 07/25/25 | PLN | 490,000 | 140,214 | ||||||||
Portugal Obrigacoes do Tesouro OT |
| |||||||||||
0.48% (1) | 10/18/30 | EUR | 101,000 | 122,038 | ||||||||
2.13% (1) | 10/17/28 | EUR | 64,000 | 87,820 | ||||||||
2.25% (1) | 04/18/34 | EUR | 95,000 | 138,410 | ||||||||
Province of Ontario Canada |
| |||||||||||
2.05% | 06/02/30 | CAD | 70,000 | 55,828 | ||||||||
2.60% | 06/02/25 | CAD | 45,000 | 36,557 | ||||||||
2.65% | 02/05/25 | CAD | 75,000 | 60,920 | ||||||||
Romanian Government International Bond |
| |||||||||||
2.00% (1) | 01/28/32 | EUR | 87,000 | 101,605 | ||||||||
3.62% (2) | 05/26/30 | EUR | 50,000 | 66,979 | ||||||||
Saudi Government International Bond |
| |||||||||||
2.00% (1) | 07/09/39 | EUR | 100,000 | 123,430 | ||||||||
Singapore Government Bond |
| |||||||||||
2.25% | 08/01/36 | SGD | 175,000 | 149,263 | ||||||||
2.75% | 03/01/46 | SGD | 33,000 | 32,842 | ||||||||
2.88% | 09/01/30 | SGD | 200,000 | 174,871 | ||||||||
Slovenia Government Bond |
| |||||||||||
1.00% (1) | 03/06/28 | EUR | 40,000 | 51,322 | ||||||||
Spain Government Bond |
| |||||||||||
0.60% (1) | 10/31/29 | EUR | 90,000 | 110,224 | ||||||||
1.00% (1) | 10/31/50 | EUR | 44,000 | 52,126 | ||||||||
1.85% (1) | 07/30/35 | EUR | 100,000 | 139,775 | ||||||||
2.35% (1) | 07/30/33 | EUR | 195,000 | 284,769 | ||||||||
United Kingdom Gilt |
| |||||||||||
1.25% (1) | 10/22/41 | GBP | 86,000 | 121,138 | ||||||||
1.50% (1) | 01/22/21 | GBP | 90,000 | 116,761 | ||||||||
1.63% (1) | 10/22/28 | GBP | 145,000 | 209,863 | ||||||||
1.75% (1) | 09/07/37 | GBP | 216,000 | 327,479 | ||||||||
2.75% (1) | 09/07/24 | GBP | 110,000 | 157,678 | ||||||||
|
| |||||||||||
Total Foreign Government Bonds |
| |||||||||||
(Cost: $9,744,618) |
| 10,139,787 | ||||||||||
|
|
See accompanying Notes to Financial Statements.
42
Table of Contents
TCW Global Bond Fund
October 31, 2020 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES — 1.3% | ||||||||||||
BlueMountain CLO, Ltd. (13-1A-A1R2) |
| |||||||||||
1.45% (3 mo. USD LIBOR + 1.23%) (2)(3) | 01/20/29 | $ | 44,045 | $ | 43,886 | |||||||
CoreVest American Finance Trust (20-1-A2) |
| |||||||||||
2.30% (2) | 03/15/50 | 30,000 | 29,953 | |||||||||
Educational Funding of the South, Inc. (11-1-A2) |
| |||||||||||
0.86% (3 mo. USD LIBOR + 0.650%) (3) | 04/25/35 | 14,556 | 14,417 | |||||||||
LCM XIII LP (13A-ARR) |
| |||||||||||
1.36% (3 mo. USD LIBOR + 1.140%) (2)(3) | 07/19/27 | 45,000 | 44,645 | |||||||||
Palmer Square CLO, Ltd. (19-1A-A1) |
| |||||||||||
1.27% (3 mo. USD LIBOR + 1.05%) (2)(3) | 04/20/27 | 25,264 | 25,154 | |||||||||
SLC Student Loan Trust (06-1-A6) |
| |||||||||||
0.41% (3 mo. USD LIBOR + 0.160%) (3) | 03/15/55 | 100,000 | 93,968 | |||||||||
Student Loan Consolidation Center (02-2-B2) |
| |||||||||||
1.65% (28-Day Auction Rate) (2)(3) | 07/01/42 | 50,000 | 44,002 | |||||||||
|
| |||||||||||
Total Asset-Backed Securities |
| |||||||||||
(Cost: $294,091) |
| 296,025 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY — 1.4% | ||||||||||||
Fannie Mae (16-M2-X3) (I/O) |
| |||||||||||
2.03% (6) | 04/25/36 | 1,406,870 | 19,312 | |||||||||
Fannie Mae (16-M4-X2) (I/O) |
| |||||||||||
2.66% (6) | 01/25/39 | 1,027,846 | 68,130 | |||||||||
Freddie Mac Multifamily Structured Pass Through Certificates (K028-X1) (I/O) |
| |||||||||||
0.26% (6) | 02/25/23 | 3,456,058 | 17,722 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (K022-X3) (I/O) |
| |||||||||||
1.81% (6) | 08/25/40 | 800,000 | 23,893 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (K025-X3) (I/O) |
| |||||||||||
1.75% (6) | 11/25/40 | 2,850,000 | 92,710 | |||||||||
Ginnie Mae (11-147-IO) (I/O) |
| |||||||||||
0.00% (5)(6) | 10/16/44 | 2,683,276 | 5,401 | |||||||||
Ginnie Mae (12-144-IO) (I/O) |
| |||||||||||
0.39% (6) | 01/16/53 | 3,494,278 | 69,099 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed |
| |||||||||||
(Cost: $368,316) |
| 296,267 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 3.1% | ||||||||||||
Bank of America-First Union NB Commercial Mortgage |
| |||||||||||
1.30% (2)(6)(7) | 04/11/37 | 1,105,214 | 19,998 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
COMM Mortgage Trust (13-CR7-XA) (I/O) |
| |||||||||||
1.22% (6) | 03/10/46 | $ | 725,557 | $ | 17,216 | |||||||
COMM Mortgage Trust (12-CR4-XA) (I/O) |
| |||||||||||
1.69% (6) | 10/15/45 | 834,027 | 22,734 | |||||||||
CPT Mortgage Trust (19-CPT-A) |
| |||||||||||
2.87% (2) | 11/13/39 | 35,000 | 37,916 | |||||||||
DC Office Trust (19-MTC-A) |
| |||||||||||
2.97% (2) | 09/15/45 | 35,000 | 38,191 | |||||||||
GS Mortgage Securities Trust (10-C1-X) (I/O) |
| |||||||||||
1.06% (2)(6) | 08/10/43 | 2,838,372 | 34,380 | |||||||||
GS Mortgage Securities Trust (11-GC3-X) (I/O) |
| |||||||||||
0.52% (2)(6) | 03/10/44 | 2,733,714 | 4,888 | |||||||||
GS Mortgage Securities Trust (13-GC12-XA) (I/O) |
| |||||||||||
1.41% (6) | 06/10/46 | 4,922,819 | 143,498 | |||||||||
GS Mortgage Securities Trust (14-GC20-XA) (I/O) |
| |||||||||||
1.05% (6) | 04/10/47 | 1,308,910 | 32,116 | |||||||||
Hudson Yards Mortgage Trust (19-55HY-A) |
| |||||||||||
2.94% (2)(6) | 12/10/41 | 35,000 | 38,282 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust (11-C3-XB) (I/O) |
| |||||||||||
0.51% (2)(6) | 02/15/46 | 6,548,087 | 71,000 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust (14-C19-XA) (I/O) |
| |||||||||||
0.74% (6) | 04/15/47 | 3,000,195 | 53,561 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust (13-C7-XA) (I/O) |
| |||||||||||
1.33% (6) | 02/15/46 | 2,146,318 | 51,284 | |||||||||
One Bryant Park Trust (19-OBP-A) |
| |||||||||||
2.52% (2) | 09/15/54 | 40,000 | 42,421 | |||||||||
WFRBS Commercial Mortgage Trust (12-C9-XA) (I/O) |
| |||||||||||
1.88% (2)(6) | 11/15/45 | 2,632,451 | 75,310 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed |
| |||||||||||
(Cost: $483,947) |
| 682,795 | ||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY — 14.1% | ||||||||||||
Fannie Mae, Pool #MA4152 |
| |||||||||||
2.00% | 10/01/40 | 99,627 | 102,999 | |||||||||
Fannie Mae (07-52-LS) (I/O) (I/F) |
| |||||||||||
5.90% (-1.00 X1 mo. USD LIBOR + 6.05%) (3) | 06/25/37 | 60,656 | 7,997 | |||||||||
Fannie Mae (08-18-SM) (I/O) (I/F) |
| |||||||||||
6.85% (-1.00 X 1 mo. USD LIBOR + 7.00%) (3) | 03/25/38 | 55,263 | 10,110 | |||||||||
Fannie Mae (09-115-SB) (I/O) (I/F) |
| |||||||||||
6.10% (-1.00 X 1 mo. USD LIBOR + 6.25%) (3) | 01/25/40 | 41,087 | 7,822 | |||||||||
Fannie Mae (10-116-SE) (I/O) (I/F) |
| |||||||||||
6.45% (-1.00 X1 mo. USD LIBOR + 6.60%) (3) | 10/25/40 | 78,352 | 12,917 |
See accompanying Notes to Financial Statements.
43
Table of Contents
TCW Global Bond Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae, Pool #AB3679 |
| |||||||||||
3.50% | 10/01/41 | $ | 74,613 | $ | 83,124 | |||||||
Fannie Mae, Pool #AB4045 |
| |||||||||||
3.50% | 12/01/41 | 104,829 | 117,248 | |||||||||
Fannie Mae, Pool #AT5914 |
| |||||||||||
3.50% | 06/01/43 | 38,451 | 41,900 | |||||||||
Fannie Mae, Pool #BD7081 |
| |||||||||||
4.00% | 03/01/47 | 45,370 | 49,124 | |||||||||
Fannie Mae, Pool #CA0996 |
| |||||||||||
3.50% | 01/01/48 | 103,598 | 113,247 | |||||||||
Fannie Mae, Pool #CA2208 |
| |||||||||||
4.50% | 08/01/48 | 4,561 | 4,933 | |||||||||
Fannie Mae, Pool #MA1527 |
| |||||||||||
3.00% | 08/01/33 | 22,111 | 23,486 | |||||||||
Fannie Mae, Pool #MA1652 |
| |||||||||||
3.50% | 11/01/33 | 35,323 | 38,188 | |||||||||
Fannie Mae, Pool #MA2705 |
| |||||||||||
3.00% | 08/01/46 | 143,575 | 151,394 | |||||||||
Freddie Mac (3439-SC) (I/O) (I/F) |
| |||||||||||
5.75% (-1.00 X1 mo. USD LIBOR + 5.90%) (3) | 04/15/38 | 58,871 | 10,507 | |||||||||
Freddie Mac, Pool #G08681 |
| |||||||||||
3.50% | 12/01/45 | 43,259 | 46,546 | |||||||||
Freddie Mac, Pool #G08698 |
| |||||||||||
3.50% | 03/01/46 | 41,737 | 44,764 | |||||||||
Freddie Mac, Pool #G08716 |
| |||||||||||
3.50% | 08/01/46 | 42,768 | 45,802 | |||||||||
Freddie Mac, Pool #G08721 |
| |||||||||||
3.00% | 09/01/46 | 7,827 | 8,255 | |||||||||
Freddie Mac, Pool #G08722 |
| |||||||||||
3.50% | 09/01/46 | 4,260 | 4,562 | |||||||||
Freddie Mac, Pool #G08732 |
| |||||||||||
3.00% | 11/01/46 | 10,885 | 11,482 | |||||||||
Freddie Mac, Pool #G08762 |
| |||||||||||
4.00% | 05/01/47 | 41,965 | 45,150 | |||||||||
Freddie Mac, Pool #G08833 |
| |||||||||||
5.00% | 07/01/48 | 7,173 | 7,876 | |||||||||
Freddie Mac, Pool #G18592 |
| |||||||||||
3.00% | 03/01/31 | 6,122 | 6,459 | |||||||||
Freddie Mac, Pool #ZT1703 |
| |||||||||||
4.00% | 01/01/49 | 98,316 | 107,073 | |||||||||
Ginnie Mae (11-146-EI) (I/O) (PAC) |
| |||||||||||
5.00% | 11/16/41 | 55,583 | 11,503 | |||||||||
Ginnie Mae (11-69-GI) (I/O) |
| |||||||||||
5.00% | 05/16/40 | 34,407 | 753 | |||||||||
Ginnie Mae, Pool #MA3662 |
| |||||||||||
3.00% | 05/20/46 | 72,985 | 77,337 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Ginnie Mae II, Pool #MA3597 |
| |||||||||||
3.50% | 04/20/46 | $ | 25,838 | $ | 27,692 | |||||||
Ginnie Mae II, Pool #MA3663 |
| |||||||||||
3.50% | 05/20/46 | 3,791 | 4,062 | |||||||||
Ginnie Mae II, Pool #MA3803 |
| |||||||||||
3.50% | 07/20/46 | 18,058 | 19,349 | |||||||||
Ginnie Mae II, Pool #MA4454 |
| |||||||||||
5.00% | 05/20/47 | 18,015 | 20,033 | |||||||||
Ginnie Mae II, Pool #MA4900 |
| |||||||||||
3.50% | 12/20/47 | 92,877 | 99,138 | |||||||||
Ginnie Mae II, Pool #MA5399 |
| |||||||||||
4.50% | 08/20/48 | 46,099 | 50,063 | |||||||||
Ginnie Mae II TBA, 30 Year |
| |||||||||||
2.00% (8) | 03/31/50 | 200,000 | 207,774 | |||||||||
2.50% (8) | 01/31/50 | 50,000 | 52,375 | |||||||||
2.50% (8) | 01/31/50 | 100,000 | 104,402 | |||||||||
Uniform Mortgage-Backed Securities TBA, 15 Year |
| |||||||||||
1.50% (8) | 07/31/35 | 25,000 | 25,529 | |||||||||
Uniform Mortgage-Backed Securities TBA, 30 Year |
| |||||||||||
2.00% (8) | 01/31/50 | 250,000 | 257,268 | |||||||||
2.00% (8) | 03/31/50 | 650,000 | 670,475 | |||||||||
2.50% (8) | 12/01/49 | 150,000 | 156,324 | |||||||||
2.50% (8) | 12/01/49 | 175,000 | 182,097 | |||||||||
|
| |||||||||||
Total Residential Mortgage-Backed |
| |||||||||||
(Cost: $2,914,380) |
| 3,069,139 | ||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 5.6% | ||||||||||||
ACE Securities Corp. Home Equity Loan Trust (05-HE3-M2) |
| |||||||||||
0.82% (1 mo. USD LIBOR + 0.675%) (3) | 05/25/35 | 322 | 322 | |||||||||
Banc of America Funding Trust (05-C-A3) |
| |||||||||||
0.45% (1 mo. USD LIBOR + 0.300%) (3) | 05/20/35 | 29,312 | 29,159 | |||||||||
BCMSC Trust (00-A-A4) |
| |||||||||||
8.29% (6) | 06/15/30 | 189,525 | 55,093 | |||||||||
Bear Stearns ALT-A Trust (04-8-M2) |
| |||||||||||
1.87% (1 mo. USD LIBOR + 1.725%) (3) | 09/25/34 | 102,093 | 101,191 | |||||||||
Bear Stearns ALT-A Trust (05-8-11A1) |
| |||||||||||
0.69% (1 mo. USD LIBOR + 0.540%) (3) | 10/25/35 | 39,819 | 35,958 | |||||||||
Carrington Mortgage Loan Trust (06-RFC1-A4) |
| |||||||||||
0.39% (1 mo. USD LIBOR + 0.240%) (3) | 03/25/36 | 80,584 | 80,062 | |||||||||
First Horizon Mortgage Pass-Through Trust (05-AR4-2A1) |
| |||||||||||
2.89% (6)(9) | 10/25/35 | 32,558 | 31,988 | |||||||||
Green Tree Financial Corp. (98-6-A8) |
| |||||||||||
6.66% (6) | 06/01/30 | 6,076 | 6,163 |
See accompanying Notes to Financial Statements.
44
Table of Contents
TCW Global Bond Fund
October 31, 2020 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Homestar Mortgage Acceptance Corp. (04-6-M4) |
| |||||||||||
1.35% (1 mo. USD LIBOR + 1.200%) (3) | 01/25/35 | $ | 100,000 | $ | 99,018 | |||||||
IndyMac INDX Mortgage Loan Trust (05-AR15-A2) |
| |||||||||||
3.18% (6) | 09/25/35 | 64,356 | 58,497 | |||||||||
JPMorgan Mortgage Trust (05-A6-7A1) |
| |||||||||||
3.10% (6)(9) | 08/25/35 | 21,247 | 19,457 | |||||||||
Long Beach Mortgage Loan Trust (06-WL1-2A4) |
| |||||||||||
0.83% (1 mo. USD LIBOR + 0.340%) (3) | 01/25/46 | 31,648 | 31,656 | |||||||||
Merrill Lynch Alternative Note Asset Trust (07-A3-A2D) |
| |||||||||||
0.48% (1 mo. USD LIBOR + 0.330%) (3)(10) | 04/25/37 | 1,251,739 | 108,147 | |||||||||
Mid-State Trust (04-1-A) |
| |||||||||||
6.01% | 08/15/37 | 80,873 | 86,552 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust (05-HE2-M2) |
| |||||||||||
0.81% (1 mo. USD LIBOR + 0.660%) (3) | 01/25/35 | 133,819 | 129,017 | |||||||||
MortgageIT Trust (05-1-1A1) |
| |||||||||||
0.79% (1 mo. USD LIBOR + 0.640%) (3) | 02/25/35 | 29,529 | 29,824 | |||||||||
Nationstar Home Equity Loan Trust (07-B-2AV4) |
| |||||||||||
0.47% (1 mo. USD LIBOR + 0.320%) (3) | 04/25/37 | 50,000 | 48,616 | |||||||||
Ownit Mortgage Loan Asset-Backed Certificates (06-3-A2D) |
| |||||||||||
0.42% (1 mo. USD LIBOR + 0.270%) (3) | 03/25/37 | 115,451 | 111,897 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust (04-18-4A1) |
| |||||||||||
3.23% (6)(9) | 12/25/34 | 25,337 | 25,703 | |||||||||
Structured Asset Mortgage Investments II Trust (05-AR6-2A1) |
| |||||||||||
0.77% (1 mo. USD LIBOR + 0.310%) (3) | 09/25/45 | 40,686 | 38,295 | |||||||||
Structured Asset Mortgage Investments, Inc. (06-AR3-22A1) |
| |||||||||||
2.88% (6) | 05/25/36 | 143,822 | 87,752 | |||||||||
|
| |||||||||||
Total Residential Mortgage-Backed |
| |||||||||||
(Cost: $1,285,175) |
| 1,214,367 | ||||||||||
|
| |||||||||||
U.S. TREASURY SECURITIES — 5.3% | ||||||||||||
U.S. Treasury Bond |
| |||||||||||
1.38% | 08/15/50 | 147,000 | 138,076 | |||||||||
U.S. Treasury Note |
| |||||||||||
0.13% | 09/30/22 | 730,000 | 729,601 | |||||||||
0.13% | 10/31/22 | 170,000 | 169,907 | |||||||||
0.25% | 09/30/25 | 60,000 | 59,639 | |||||||||
0.25% | 10/31/25 | 50,000 | 49,680 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
U.S. TREASURY SECURITIES (Continued) | ||||||||||||
0.63% | 08/15/30 | $ | 10,000 | $ | 9,782 | |||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $1,163,962) |
| 1,156,685 | ||||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $20,951,129) |
| 21,716,423 | ||||||||||
|
| |||||||||||
Security | Shares | |||||||||||
MONEY MARKET INVESTMENTS — 3.0% | ||||||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class (11) |
| 656,072 | 656,072 | |||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $656,072) |
| 656,072 | ||||||||||
|
| |||||||||||
INVESTMENT COMPANIES — 3.2% | ||||||||||||
TCW Emerging Markets Income Fund — I Class (12) |
| 87,214 | 691,609 | |||||||||
|
| |||||||||||
Total Investment Companies |
| |||||||||||
(Cost: $696,358) |
| 691,609 | ||||||||||
|
| |||||||||||
Issues | Principal Amount | |||||||||||
SHORT TERM INVESTMENTS — 2.2% |
| |||||||||||
FOREIGN GOVERNMENT BONDS — 0.3% (Cost: $56,968) | ||||||||||||
Japan Treasury Bill |
| |||||||||||
0.00% (5) | 01/12/21 | JPY | 6,000,000 | 57,408 | ||||||||
|
| |||||||||||
U.S. TREASURY SECURITIES — 1.9% | ||||||||||||
U.S. Treasury Bill |
| |||||||||||
0.09% (13) | 02/04/21 | $ | 420,000 | 419,896 | ||||||||
|
| |||||||||||
Total Short Term Investments |
| |||||||||||
(Cost: $476,839) |
| 477,304 | ||||||||||
|
| |||||||||||
Total Investments (108.0%) |
| |||||||||||
(Cost: $22,780,398) |
| 23,541,408 | ||||||||||
Liabilities In Excess Of Other Assets (-8.0%) |
| (1,747,343 | ) | |||||||||
|
| |||||||||||
Net Assets (100.0%) |
| $ | 21,794,065 | |||||||||
|
|
See accompanying Notes to Financial Statements.
45
Table of Contents
TCW Global Bond Fund
Schedule of Investments (Continued)
Forward Currency Exchange Contracts | ||||||||||||||||||||||||
Counterparty | Contracts to Deliver | Units of Currency | Settlement Date | In Exchange for U.S. Dollars | Contracts at Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
BUY (14) | ||||||||||||||||||||||||
Goldman Sachs & Co. | BRL | 215,000 | 03/17/21 | $ | 38,970 | $ | 37,109 | $ | (1,861 | ) | ||||||||||||||
State Street Bank & Trust Co. | CAD | 83,000 | 01/22/21 | 62,733 | 62,274 | (459 | ) | |||||||||||||||||
Goldman Sachs & Co. | CLP | 10,000,000 | 01/22/21 | 12,480 | 12,919 | 439 | ||||||||||||||||||
State Street Bank & Trust Co. | CNY | 510,000 | 01/22/21 | 75,891 | 75,607 | (284 | ) | |||||||||||||||||
State Street Bank & Trust Co. | CZK | 2,470,000 | 01/22/21 | 105,862 | �� | 105,630 | (232 | ) | ||||||||||||||||
State Street Bank & Trust Co. | EUR | 2,144,000 | 01/22/21 | 2,513,839 | 2,502,360 | (11,479 | ) | |||||||||||||||||
State Street Bank & Trust Co. | JPY | 168,680,000 | 01/22/21 | 1,602,518 | 1,615,476 | 12,958 | ||||||||||||||||||
Goldman Sachs & Co. | KRW | 87,000,000 | 01/22/21 | 76,702 | 76,681 | (21 | ) | |||||||||||||||||
Goldman Sachs & Co. | RUB | 3,450,000 | 01/22/21 | 43,414 | 43,059 | (355 | ) | |||||||||||||||||
State Street Bank & Trust Co. | SEK | 435,000 | 01/22/21 | 49,293 | 48,923 | (370 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 4,581,702 | $ | 4,580,038 | $ | (1,664 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
SELL (15) | ||||||||||||||||||||||||
State Street Bank & Trust Co. | AUD | 268,000 | 01/22/21 | $ | 191,558 | $ | 188,282 | $ | 3,276 | |||||||||||||||
Goldman Sachs & Co. | BRL | 215,000 | 03/17/21 | 43,112 | 37,109 | 6,003 | ||||||||||||||||||
Goldman Sachs & Co. | BRL | 720,000 | 08/31/21 | 128,258 | 122,912 | 5,346 | ||||||||||||||||||
State Street Bank & Trust Co. | CNY | 4,138,000 | 01/22/21 | 611,582 | 613,446 | (1,864 | ) | |||||||||||||||||
Goldman Sachs & Co. | COP | 54,000,000 | 01/22/21 | 13,943 | 13,958 | (15 | ) | |||||||||||||||||
State Street Bank & Trust Co. | HUF | 29,700,000 | 01/22/21 | 95,197 | 94,206 | 991 | ||||||||||||||||||
Goldman Sachs & Co. | ILS | 295,000 | 01/22/21 | 87,023 | 86,696 | 327 | ||||||||||||||||||
State Street Bank & Trust Co. | JPY | 5,700,000 | 01/22/21 | 54,408 | 54,590 | (182 | ) | |||||||||||||||||
Goldman Sachs & Co. | KRW | 284,665,000 | 01/22/21 | 249,254 | 250,901 | (1,647 | ) | |||||||||||||||||
State Street Bank & Trust Co. | MXN | 1,140,000 | 01/22/21 | 52,908 | 53,115 | (207 | ) | |||||||||||||||||
Goldman Sachs & Co. | MYR | 400,000 | 01/22/21 | 96,158 | 96,106 | 52 | ||||||||||||||||||
State Street Bank & Trust Co. | NOK | 628,000 | 01/22/21 | 67,031 | 65,684 | 1,347 | ||||||||||||||||||
State Street Bank & Trust Co. | NZD | 212,000 | 01/22/21 | 140,071 | 140,116 | (45 | ) | |||||||||||||||||
Goldman Sachs & Co. | PEN | 310,000 | 01/22/21 | 86,705 | 85,761 | 944 | ||||||||||||||||||
Goldman Sachs & Co. | PEN | 160,000 | 09/15/21 | 44,420 | 44,154 | 266 | ||||||||||||||||||
State Street Bank & Trust Co. | PLN | 470,000 | 01/22/21 | 121,219 | 118,601 | 2,618 | ||||||||||||||||||
State Street Bank & Trust Co. | SGD | 239,000 | 01/22/21 | 176,032 | 175,037 | 995 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 2,258,879 | $ | 2,240,674 | $ | 18,205 | |||||||||||||||||||
|
|
|
|
|
|
Futures Contracts | ||||||||||||||||||
Number of Contracts | Type | Expiration Date | Notional | Value | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Long Futures |
| |||||||||||||||||
3 | 5-Year U.S. Treasury Note Futures | 12/31/20 | $ | 377,715 | $ | 376,804 | $ | (911 | ) | |||||||||
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
46
Table of Contents
TCW Global Bond Fund
October 31, 2020 |
Notes to the Schedule of Investments:
ABS | Asset-Backed Securities. |
CLO | Collateralized Loan Obligation. |
EETC | Enhanced Equipment Trust Certificate. |
I/F | Inverse Floating rate security whose interest rate moves in the opposite direction of prevailing interest rates. |
I/O | Interest Only Security. |
PAC | Planned Amortization Class. |
REIT | Real Estate Investment Trust. |
SOFR | Secured Overnight Financing Rate. |
TBA | To Be Announced. |
AUD | Australian Dollar. |
BRL | Brazilian Real. |
CAD | Canadian Dollar. |
CLP | Chilean Peso. |
CNY | Chinese Yuan. |
COP | Colombian Peso. |
CZK | Czech Koruna. |
EUR | Euro Currency. |
GBP | British Pound Sterling. |
HUF | Hungarian Forint. |
IDR | Indonesian Rupiah. |
ILS | Israeli Shekel. |
JPY | Japanese Yen. |
KRW | South Korean Won. |
MXN | Mexican Peso. |
MYR | Malaysian Ringgit. |
NOK | Norwegian Krone. |
NZD | New Zealand Dollar. |
PEN | Peruvian Nuevo Sol. |
PLN | Polish Zloty. |
RUB | Russian Ruble. |
SEK | Swedish Krona. |
SGD | Singapore Dollar. |
USD | United States Dollar. |
(1) | Investments issued under Regulation S of the Securities Act of 1933, as amended, may not be offered, sold, or delivered within the United States except under special exemptions. At October 31, 2020, the value of these securities amounted to $3,943,298 or 18.1% of net assets. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only to qualified institutional buyers. At October 31, 2020, the value of these securities amounted to $1,974,555 or 9.1% 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) | Floating or variable rate security. The interest shown reflects the rate in effect at October 31, 2020. |
(4) | Security is currently in default due to bankruptcy or failure to make payment of principal or interest of the issuer. Income is not being accrued. |
(5) | Security is not accruing interest. |
(6) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(7) | Restricted security (Note 11). |
(8) | Security purchased on a forward commitment with an approximate principal amount. The actual principal amount and maturity date will be determined upon settlement when the security is delivered. |
(9) | A portion of the principal balance has been written-off during the period due to defaults in the underlying loans. Cost basis has been adjusted. |
(10) | For fair value measurement disclosure purposes, security is categorized as Level 3. Security is valued using significant unobservable inputs. |
(11) | Rate disclosed is the 7-day net yield as of October 31, 2020. |
(12) | Affiliated issuer. |
(13) | Rate shown represents yield-to-maturity. |
(14) | Fund buys foreign currency, sells U.S. Dollar. |
(15) | Fund sells foreign currency, buys U.S. Dollar. |
See accompanying Notes to Financial Statements.
47
Table of Contents
TCW Global Bond Fund
Schedule of Investments (Continued)
The summary of the TCW Global Bond Fund transactions in the affiliated fund for the year ended October 31, 2020 is as follows:
Name of | Value at October 31, 2019 | Purchases at Cost | Proceeds from Sales | Number of Shares Held October 31, 2020 | Value at October 31, 2020 | Dividends and Interest Income Received | Distributions Received from Net Realized Gain | Net Realized Gain/(Loss) on Investments | Net change in Unrealized Gain/(Loss) on Investments | |||||||||||||||||||||||||||
TCW Emerging Markets Income Fund—I Class |
| |||||||||||||||||||||||||||||||||||
$ | 401,675 | $ | 308,577 | $ | — | 87,214 | $ | 691,609 | $ | 23,443 | $ | — | $ | — | $ | (18,643 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total | $ | 691,609 | $ | 23,443 | $ | — | $ | — | $ | (18,643 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
48
Table of Contents
TCW Global Bond Fund
Investments by Sector | October 31, 2020 |
Sector | Percentage of Net Assets | |||
Foreign Government Bonds | 46.8 | % | ||
Corporate Bonds | 20.9 | |||
Residential Mortgage-Backed Securities — Agency | 14.1 | |||
U.S. Treasury Securities | 7.2 | |||
Residential Mortgage-Backed Securities — Non-Agency | 5.6 | |||
Investment Companies | 3.2 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 3.1 | |||
Money Market Investments | 3.0 | |||
Municipal Bonds | 1.4 | |||
Commercial Mortgage-Backed Securities — Agency | 1.4 | |||
Asset-Backed Securities | 1.3 | |||
Other* | (8.0 | ) | ||
|
| |||
Total | 100.0 | % | ||
|
|
* | Includes capstock, futures, pending trades, interest receivable and accrued expenses payable. |
See accompanying Notes to Financial Statements.
49
Table of Contents
TCW Global Bond Fund
Investments by Country | October 31, 2020 |
Country | Percentage of Net Assets | |||
Australia | 2.4 | % | ||
Belgium | 0.3 | |||
Bermuda | 0.2 | |||
Brazil | 1.2 | |||
Canada | 2.0 | |||
Cayman Islands | 1.0 | |||
China | 9.3 | |||
Colombia | 0.1 | |||
Czech Republic | 0.8 | |||
France | 0.3 | |||
Free Of Tax | 0.3 | |||
Great Britain | 6.1 | |||
Hungary | 0.7 | |||
Indonesia | 1.3 | |||
Ireland | 1.3 | |||
Israel | 0.5 | |||
Italy | 1.0 | |||
Japan | 6.6 | |||
Luxembourg | 0.1 | |||
Malaysia | 0.6 | |||
Mexico | 1.2 | |||
Netherlands | 0.7 | |||
New Zealand | 0.6 | |||
Norway | 0.8 | |||
Panama | 0.1 | |||
Peru | 0.6 | |||
Poland | 1.7 | |||
Portugal | 1.6 | |||
Romania | 0.8 | |||
Saudi Arabia | 0.6 | |||
Singapore | 1.6 | |||
Slovenia | 0.2 | |||
South Korea | 2.3 | |||
Spain | 2.7 | |||
United Arab Emirates | 0.9 | |||
United States | 55.5 | |||
|
| |||
Total | 108.0 | % | ||
|
|
See accompanying Notes to Financial Statements.
50
Table of Contents
TCW Global Bond Fund
Fair Valuation Summary | October 31, 2020 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 2020 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 | $ | — | $ | 4,560,596 | $ | — | $ | 4,560,596 | ||||||||
Municipal Bonds | — | 300,762 | — | 300,762 | ||||||||||||
Foreign Government Bonds | — | 10,139,787 | — | 10,139,787 | ||||||||||||
Asset-Backed Securities | — | 296,025 | — | 296,025 | ||||||||||||
Commercial Mortgage-Backed Securities — Agency | — | 296,267 | — | 296,267 | ||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 682,795 | — | 682,795 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 3,069,139 | — | 3,069,139 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 1,106,220 | 108,147 | 1,214,367 | ||||||||||||
U.S. Treasury Securities | 1,156,685 | — | — | 1,156,685 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | 1,156,685 | 20,451,591 | 108,147 | 21,716,423 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Companies | 691,609 | — | — | 691,609 | ||||||||||||
Money Market Investments | 656,072 | — | — | 656,072 | ||||||||||||
Short-Term Investments | 419,896 | 57,408 | — | 477,304 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 2,924,262 | $ | 20,508,999 | $ | 108,147 | $ | 23,541,408 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 35,562 | — | 35,562 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,924,262 | $ | 20,544,561 | $ | 108,147 | $ | 23,576,970 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (19,021 | ) | $ | — | $ | (19,021 | ) | ||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | (911 | ) | — | — | (911 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (911 | ) | $ | (19,021 | ) | $ | — | $ | (19,932 | ) | |||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
51
Table of Contents
Schedule of Investments
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 89.0% of Net Assets |
| |||||||||||
BANK LOANS — 8.7% | ||||||||||||
Aerospace/Defense — 0.1% | ||||||||||||
TransDigm, Inc. 2020 Term Loan E |
| |||||||||||
2.40% (1 mo. USD LIBOR +2.250%) (1) | 05/30/25 | $ | 114,412 | $ | 107,937 | |||||||
|
| |||||||||||
Alternative Investment — 0.2% | ||||||||||||
Zayo Group Holdings, Inc. USD Term Loan |
| |||||||||||
3.15% (1 mo. USD LIBOR + 3.000%) (1) | 03/09/27 | 179,100 | 172,951 | |||||||||
|
| |||||||||||
Biotechnology — 0.3% | ||||||||||||
Elanco Animal Health, Inc. Term Loan B |
| |||||||||||
1.90% (1 mo. USD LIBOR +1.750%) (1) | 08/01/27 | 280,287 | 274,622 | |||||||||
|
| |||||||||||
Chemicals — 0.0% | ||||||||||||
Axalta Coating Systems U.S. Holdings, Inc., Term Loan B3 |
| |||||||||||
1.97% (3 mo. USD LIBOR + 1.750%) (1) | 06/01/24 | 52,602 | 51,177 | |||||||||
|
| |||||||||||
Commercial Services — 0.7% | ||||||||||||
SBA Senior Finance II LLC, 2018 Term Loan B |
| |||||||||||
1.90% (1 mo. USD LIBOR + 1.750%) (1) | 04/11/25 | 266,201 | 258,516 | |||||||||
Scientific Games International, Inc., 2018 Term Loan B5 |
| |||||||||||
2.90% (6 mo. USD LIBOR + 2.750%) (1) | 08/14/24 | 32,138 | 29,982 | |||||||||
SS&C Technologies Holdings Europe S.A.R.L., 2018 Term Loan B4 |
| |||||||||||
1.90% (1 mo. USD LIBOR + 1.750%) (1) | 04/16/25 | 89,801 | 87,466 | |||||||||
SS&C Technologies, Inc., 2018 Term Loan B3 |
| |||||||||||
1.90% (1 mo. USD LIBOR + 1.750%) (1) | 04/16/25 | 127,818 | 124,495 | |||||||||
VICI Properties 1 LLC, Term Loan B |
| |||||||||||
1.90% (1 mo. USD LIBOR + 1.750%) (1) | 12/20/24 | 268,000 | 258,099 | |||||||||
|
| |||||||||||
758,558 | ||||||||||||
|
| |||||||||||
Computers — 0.2% | ||||||||||||
TierPoint LLC, 2017 1st Lien Term Loan |
| |||||||||||
4.75% (1 mo. USD LIBOR + 3.750%) (1) | 05/06/24 | 196,164 | 191,455 | |||||||||
|
| |||||||||||
Diversified Financial Services — 0.1% | ||||||||||||
Delos Finance Sarl 2018 Term Loan B |
| |||||||||||
1.97% (3 mo. USD LIBOR +1.75%) (1) | 10/06/23 | 100,000 | 97,052 | |||||||||
|
| |||||||||||
Electric — 0.1% | ||||||||||||
Vistra Energy Co., 1st Lien Term Loan B3 |
| |||||||||||
1.90% (1 mo. USD LIBOR + 1.750%) (1) | 12/31/25 | 67,870 | 66,478 | |||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Entertainment — 0.3% | ||||||||||||
Churchill Downs, Inc., 2017 Term Loan B |
| |||||||||||
2.15% (1 mo. USD LIBOR + 2.000%) (1) | 12/27/24 | $ | 64,175 | $ | 62,150 | |||||||
Crown Finance US, Inc. 2018 USD Term Loan |
| |||||||||||
2.77% (6 mo. USD LIBOR + 2.250%) (1) | 02/28/25 | 388,910 | 220,415 | |||||||||
Golden Nugget, Inc. 2020 Buy Back Term Loan |
| |||||||||||
13.00% (1 mo. USD LIBOR +12.00%) (1) | 10/04/23 | 36,980 | 42,712 | |||||||||
Golden Nugget, Inc. 2020 Initial Term Loan |
| |||||||||||
13.00% (3 mo. USD LIBOR + 12.00%) (1) | 10/04/23 | 3,020 | 3,427 | |||||||||
|
| |||||||||||
328,704 | ||||||||||||
|
| |||||||||||
Environmental Control — 0.1% | ||||||||||||
GFL Environmental, Inc., 2018 USD Term Loan B |
| |||||||||||
4.00% (3 mo. USD LIBOR + 3.000%) (1) | 05/30/25 | 77,741 | 77,196 | |||||||||
|
| |||||||||||
Food — 0.4% | ||||||||||||
Dhanani Group, Inc., 2018 Term Loan B |
| |||||||||||
3.90% (1 mo. USD LIBOR +3.750%) (1) | 07/20/25 | 245,946 | 235,903 | |||||||||
JBS USA Lux S.A., 2019 Term Loan B |
| |||||||||||
2.15% (2 mo. USD LIBOR + 2.000%) (1) | 05/01/26 | 229,633 | 224,669 | |||||||||
|
| |||||||||||
460,572 | ||||||||||||
|
| |||||||||||
Healthcare-Products — 0.2% | ||||||||||||
Auris Luxembourg III S.A.R.L., 2018 USD Term Loan B2 |
| |||||||||||
3.90% (1 mo. USD LIBOR + 3.750%) (1) | 02/27/26 | 16,253 | 15,237 | |||||||||
Avantor Funding, Inc. 2020 First Lien Term Loan B |
| |||||||||||
0.00% (2) | 10/29/27 | 250,000 | 248,437 | |||||||||
|
| |||||||||||
263,674 | ||||||||||||
|
| |||||||||||
Healthcare-Services — 1.0% | ||||||||||||
Acadia Healthcare Co., Inc., 2018 Term Loan B4 |
| |||||||||||
2.65% (1 mo. USD LIBOR + 2.500%) (1) | 02/16/23 | 238,596 | 237,105 | |||||||||
Amentum Government Services Holdings LLC 2020 Term Loan B |
| |||||||||||
0.00% (2) | 01/29/27 | 250,000 | 245,313 | |||||||||
Aveanna Healthcare LLC, 2017 1st Lien Term Loan |
| |||||||||||
5.25% (3 mo. USD LIBOR + 4.250%) (1) | 03/18/24 | 44,136 | 42,083 | |||||||||
Aveanna Healthcare LLC, 2017 2nd Lien Term Loan |
| |||||||||||
9.00% (3 mo. USD LIBOR + 8.000%) (1)(3) | 03/17/25 | 13,000 | 12,236 | |||||||||
Endo Luxembourg Finance Co., I S.a r.l. 2017 Term Loan B |
| |||||||||||
5.00% (3 mo. USD LIBOR + 4.250%) (1) | 04/29/24 | 62,019 | 59,125 |
See accompanying Notes to Financial Statements.
52
Table of Contents
TCW High Yield Bond Fund
October 31, 2020 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Healthcare-Services (Continued) | ||||||||||||
Gentiva Health Services, Inc., 2020 Term Loan |
| |||||||||||
3.44% (1 mo. USD LIBOR + 3.250%) (1) | 07/02/25 | $ | 186,481 | $ | 182,984 | |||||||
IQVIA, Inc., 2018 USD Term Loan B3 |
| |||||||||||
1.97% (3 mo. USD LIBOR + 1.750%) (1) | 06/11/25 | 190,795 | 187,873 | |||||||||
Surgery Center Holdings, Inc. 2020 Term Loan B |
| |||||||||||
9.00% (1 mo. USD LIBOR + 8.000%) (1) | 09/03/24 | 24,875 | 25,290 | |||||||||
|
| |||||||||||
992,009 | ||||||||||||
|
| |||||||||||
Lodging — 0.2% | ||||||||||||
CityCenter Holdings LLC, 2017 Term Loan B |
| |||||||||||
3.00% (1 mo. USD LIBOR + 2.500%) (1) | 04/18/24 | 239,744 | 226,259 | |||||||||
|
| |||||||||||
Machinery-Diversified — 0.2% | ||||||||||||
Titan Acquisition Ltd. 2018 Term Loan B |
| |||||||||||
3.36% (3 mo. USD LIBOR + 3.000%) (1) | 03/28/25 | 200,430 | 190,832 | |||||||||
|
| |||||||||||
Media — 1.3% | ||||||||||||
CSC Holdings, LLC 2017 Term Loan B1 |
| |||||||||||
2.40% (1 mo. USD LIBOR +2.250%) (1) | 07/17/25 | 1,033,323 | 1,000,386 | |||||||||
Nexstar Broadcasting, Inc. 2018 Term Loan B3 |
| |||||||||||
0.00% (2) | 01/17/24 | 350,000 | 341,687 | |||||||||
Sinclair Television Group, Inc., Term Loan B2B |
| |||||||||||
2.65% (1 mo. USD LIBOR + 2.500%) (1) | 09/30/26 | 19,800 | 19,264 | |||||||||
|
| |||||||||||
1,361,337 | ||||||||||||
|
| |||||||||||
Packaging & Containers — 1.3% | ||||||||||||
BWAY Holding Co. 2017 Term Loan B |
| |||||||||||
3.48% (3 mo. USD LIBOR +3.250%) (1) | 04/03/24 | 350,904 | 328,973 | |||||||||
Graham Packaging Co., Inc. Term Loan |
| |||||||||||
4.50% (1 mo. USD LIBOR +3.750%) (1) | 08/04/27 | 180,000 | 178,856 | |||||||||
Plaze, Inc. 2020 Incremental Term Loan |
| |||||||||||
5.25% (3 mo. USD LIBOR +4.250%) (1) | 08/03/26 | 215,000 | 210,835 | |||||||||
Proampac PG Borrower LLC 2020 Term Loan |
| |||||||||||
0.00% (2) | 11/03/25 | 380,000 | 376,485 | |||||||||
Reynolds Group Holdings, Inc., 2017 Term Loan |
| |||||||||||
2.90% (3 mo. USD LIBOR + 0.120%) (1) | 02/05/23 | 293,761 | 288,783 | |||||||||
|
| |||||||||||
1,383,932 | ||||||||||||
|
| |||||||||||
Pharmaceuticals — 0.1% | ||||||||||||
Alphabet Holding Co., Inc., 2017 1st Lien Term Loan |
| |||||||||||
3.65% (1 mo. USD LIBOR + 3.500%) (1) | 09/26/24 | 75,231 | 72,918 | |||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Retail — 0.1% | ||||||||||||
1011778 B.C. Unlimited Liability Co., Term Loan B4 |
| |||||||||||
1.90% (1 mo. USD LIBOR + 1.750%) (1) | 11/19/26 | $ | 80,024 | $ | 76,982 | |||||||
|
| |||||||||||
Software — 0.4% | ||||||||||||
Change Healthcare Holdings LLC 2017 Term Loan B |
| |||||||||||
3.50% (3 mo. USD LIBOR + 2.500%) (1) | 03/01/24 | 468,523 | 458,276 | |||||||||
|
| |||||||||||
Telecommunications — 1.4% | ||||||||||||
CenturyLink, Inc. 2020 Term Loan B |
| |||||||||||
2.40% (1 mo. USD LIBOR + 2.250%) (1) | 03/15/27 | 69,475 | 67,016 | |||||||||
Colorado Buyer, Inc. 2nd Lien Term Loan |
| |||||||||||
0.00% (2)(3) | 05/01/25 | 42,000 | 24,780 | |||||||||
Frontier Communications Corp., 2017 Term Loan B1 |
| |||||||||||
6.00% (3 mo. USD LIBOR + 3.750%) (1) | 06/15/24 | 722,412 | 712,110 | |||||||||
GTT Communications, Inc., 2018 USD Term Loan B |
| |||||||||||
2.97% (1 mo. USD LIBOR + 2.750%) (1) | 05/31/25 | 98,987 | 85,202 | |||||||||
Intelsat Jackson Holdings S.A., 2017 Term Loan B5 |
| |||||||||||
8.63% (6 mo. USD LIBOR + 8.625%) (1) | 01/02/24 | 14,000 | 14,130 | |||||||||
Level 3 Financing, Inc., 2019 Term Loan B |
| |||||||||||
1.90% (1 mo. USD LIBOR + 1.750%) (1) | 03/01/27 | 138,304 | 133,568 | |||||||||
Maxar Technologies Ltd., Term Loan B |
| |||||||||||
2.90% (1 mo. USD LIBOR + 2.750%) (1) | 10/04/24 | 216,250 | 208,839 | |||||||||
Securus Technologies Holdings, Inc., 2017 1st Lien Term Loan |
| |||||||||||
5.50% (6 mo. USD LIBOR + 4.500%) (1) | 11/01/24 | 227,651 | 191,719 | |||||||||
|
| |||||||||||
1,437,364 | ||||||||||||
|
| |||||||||||
Total Bank Loans |
| |||||||||||
(Cost: $9,154,163) | 9,050,285 | |||||||||||
|
| |||||||||||
CORPORATE BONDS — 78.4% | ||||||||||||
Advertising — 0.3% | ||||||||||||
Lamar Media Corp. |
| |||||||||||
5.75% | 02/01/26 | 24,000 | 24,953 | |||||||||
National CineMedia LLC |
| |||||||||||
5.88% (4) | 04/15/28 | 369,000 | 261,418 | |||||||||
Outfront Media Capital LLC / Outfront Media Capital Corp. |
| |||||||||||
4.63% (4) | 03/15/30 | 10,000 | 9,212 | |||||||||
|
| |||||||||||
295,583 | ||||||||||||
|
| |||||||||||
Aerospace/Defense — 0.2% | ||||||||||||
TransDigm, Inc. |
| |||||||||||
8.00% (4) | 12/15/25 | 149,000 | 161,486 | |||||||||
|
|
See accompanying Notes to Financial Statements.
53
Table of Contents
TCW High Yield Bond Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Agriculture — 0.5% | ||||||||||||
BAT Capital Corp. |
| |||||||||||
5.28% | 04/02/50 | $ | 401,000 | $ | 469,728 | |||||||
|
| |||||||||||
Airlines — 0.6% | ||||||||||||
Delta Air Lines, Inc. / SkyMiles IP, Ltd. |
| |||||||||||
4.75% (4) | 10/20/28 | 220,000 | 225,204 | |||||||||
Delta Air Lines, Inc. Pass-Through Certificates (02-1-G-1) (EETC) |
| |||||||||||
6.72% | 07/02/24 | 184,926 | 178,305 | |||||||||
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets, Ltd. |
| |||||||||||
6.50% (4) | 06/20/27 | 227,000 | 237,038 | |||||||||
|
| |||||||||||
640,547 | ||||||||||||
|
| |||||||||||
Auto Manufacturers — 2.5% | ||||||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
2.98% | 08/03/22 | 120,000 | 119,375 | |||||||||
3.10% | 05/04/23 | 835,000 | 825,606 | |||||||||
3.20% | 01/15/21 | 1,185,000 | 1,182,778 | |||||||||
4.27% | 01/09/27 | 479,000 | 479,300 | |||||||||
|
| |||||||||||
2,607,059 | ||||||||||||
|
| |||||||||||
Banks — 0.1% | ||||||||||||
Bank of America Corp. |
| |||||||||||
4.08% (3 mo. USD LIBOR + 3.150%) (1) | 03/20/51 | 57,000 | 69,918 | |||||||||
Wells Fargo & Co. |
| |||||||||||
5.01% (3 mo. USD LIBOR + 4.240%) (1) | 04/04/51 | 35,000 | 47,515 | |||||||||
|
| |||||||||||
117,433 | ||||||||||||
|
| |||||||||||
Beverages — 0.9% | ||||||||||||
Bacardi, Ltd. |
| |||||||||||
4.70% (4) | 05/15/28 | 437,000 | 504,764 | |||||||||
5.30% (4) | 05/15/48 | 359,000 | 458,946 | |||||||||
|
| |||||||||||
963,710 | ||||||||||||
|
| |||||||||||
Biotechnology — 0.7% | ||||||||||||
Emergent BioSolutions, Inc. |
| |||||||||||
3.88% (4) | 08/15/28 | 702,000 | 706,826 | |||||||||
|
| |||||||||||
Commercial Services — 1.9% | ||||||||||||
Gartner, Inc. |
| |||||||||||
3.75% (4) | 10/01/30 | 80,000 | 82,008 | |||||||||
4.50% (4) | 07/01/28 | 597,000 | 623,991 | |||||||||
IHS Markit, Ltd. |
| |||||||||||
4.75% (4) | 02/15/25 | 80,000 | 90,300 | |||||||||
5.00% (4) | 11/01/22 | 176,000 | 188,640 | |||||||||
Jaguar Holding Co. II / PPD Development LP |
| |||||||||||
5.00% (4) | 06/15/28 | 446,000 | 465,174 | |||||||||
Prime Security Services Borrower LLC / Prime Finance, Inc. |
| |||||||||||
3.38% (4) | 08/31/27 | 294,000 | 284,530 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Commercial Services (Continued) | ||||||||||||
Service Corp. International |
| |||||||||||
4.63% | 12/15/27 | $ | 65,000 | $ | 68,900 | |||||||
Service Corp. International/US |
| |||||||||||
3.38% | 08/15/30 | 180,000 | 182,763 | |||||||||
|
| |||||||||||
1,986,306 | ||||||||||||
|
| |||||||||||
Computers — 1.2% | ||||||||||||
Booz Allen Hamilton, Inc. |
| |||||||||||
3.88% (4) | 09/01/28 | 353,000 | 358,957 | |||||||||
NCR Corp. |
| |||||||||||
5.25% (4) | 10/01/30 | 337,000 | 334,262 | |||||||||
8.13% (4) | 04/15/25 | 328,000 | 361,082 | |||||||||
Science Applications International Corp. |
| |||||||||||
4.88% (4) | 04/01/28 | 230,000 | 241,224 | |||||||||
|
| |||||||||||
1,295,525 | ||||||||||||
|
| |||||||||||
Cosmetics/Personal Care — 0.4% | ||||||||||||
Edgewell Personal Care Co. |
| |||||||||||
5.50% (4) | 06/01/28 | 443,000 | 466,488 | |||||||||
|
| |||||||||||
Diversified Financial Services — 0.7% | ||||||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Ireland) |
| |||||||||||
3.50% | 01/15/25 | 172,000 | 169,995 | |||||||||
Avolon Holdings Funding, Ltd. |
| |||||||||||
5.13% (4) | 10/01/23 | 90,000 | 91,694 | |||||||||
GE Capital International Funding Co. Unlimited Co. (Ireland) |
| |||||||||||
4.42% | 11/15/35 | 127,000 | 137,738 | |||||||||
Mastercard, Inc. |
| |||||||||||
3.85% | 03/26/50 | 30,000 | 37,484 | |||||||||
Park Aerospace Holdings, Ltd. |
| |||||||||||
4.50% (4) | 03/15/23 | 251,000 | 253,991 | |||||||||
Raymond James Financial, Inc. |
| |||||||||||
4.65% | �� | 04/01/30 | 50,000 | 60,531 | ||||||||
|
| |||||||||||
751,433 | ||||||||||||
|
| |||||||||||
Electric — 0.3% | ||||||||||||
Vistra Operations Co. LLC |
| |||||||||||
3.55% (4) | 07/15/24 | 309,000 | 329,641 | |||||||||
|
| |||||||||||
Electrical Components & Equipment — 0.3% | ||||||||||||
Energizer Holdings, Inc. |
| |||||||||||
4.75% (4) | 06/15/28 | 344,000 | 356,539 | |||||||||
|
| |||||||||||
Engineering & Construction — 0.3% | ||||||||||||
PowerTeam Services LLC |
| |||||||||||
9.03% (4) | 12/04/25 | 301,000 | 320,005 | |||||||||
|
| |||||||||||
Entertainment — 2.7% | ||||||||||||
Banijay Entertainment SASU |
| |||||||||||
5.38% (4) | 03/01/25 | 469,000 | 476,527 | |||||||||
Caesars Resort Collection LLC / CRC Finco, Inc. |
| |||||||||||
5.25% (4) | 10/15/25 | 61,000 | 58,012 |
See accompanying Notes to Financial Statements.
54
Table of Contents
TCW High Yield Bond Fund
October 31, 2020 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Entertainment (Continued) | ||||||||||||
Churchill Downs, Inc. |
| |||||||||||
4.75% (4) | 01/15/28 | $ | 135,000 | $ | 137,337 | |||||||
5.50% (4) | 04/01/27 | 351,000 | 363,748 | |||||||||
Cinemark USA, Inc. |
| |||||||||||
8.75% (4) | 05/01/25 | 291,000 | 301,731 | |||||||||
Colt Merger Sub, Inc. |
| |||||||||||
6.25% (4) | 07/01/25 | 674,000 | 694,739 | |||||||||
Live Nation Entertainment, Inc. |
| |||||||||||
4.75% (4) | 10/15/27 | 194,000 | 178,601 | |||||||||
6.50% (4) | 05/15/27 | 170,000 | 182,118 | |||||||||
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp. |
| |||||||||||
5.13% (4) | 10/01/29 | 256,000 | 245,440 | |||||||||
7.75% (4) | 04/15/25 | 111,000 | 117,071 | |||||||||
|
| |||||||||||
2,755,324 | ||||||||||||
|
| |||||||||||
Environmental Control — 2.5% | ||||||||||||
Clean Harbors, Inc. |
| |||||||||||
4.88% (4) | 07/15/27 | 230,000 | 240,739 | |||||||||
5.13% (4) | 07/15/29 | 645,000 | 704,295 | |||||||||
GFL Environmental, Inc. (Canada) |
| |||||||||||
3.75% (4) | 08/01/25 | 575,000 | 576,078 | |||||||||
4.25% (4) | 06/01/25 | 165,000 | 168,609 | |||||||||
5.13% (4) | 12/15/26 | 189,000 | 198,665 | |||||||||
Waste Pro USA, Inc. |
| |||||||||||
5.50% (4) | 02/15/26 | 696,000 | 704,982 | |||||||||
|
| |||||||||||
2,593,368 | ||||||||||||
|
| |||||||||||
Food — 5.4% | ||||||||||||
Chobani LLC / Chobani Finance Corp, Inc. |
| |||||||||||
4.63% (4) | 11/15/28 | 355,000 | 355,919 | |||||||||
JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc. |
| |||||||||||
5.50% (4) | 01/15/30 | 623,000 | 678,291 | |||||||||
Kraft Heinz Foods Co. |
| |||||||||||
4.25% (4) | 03/01/31 | 110,000 | 119,515 | |||||||||
4.63% | 01/30/29 | 1,444,000 | 1,609,945 | |||||||||
Lamb Weston Holdings, Inc. |
| |||||||||||
4.88% (4) | 05/15/28 | 134,000 | 145,440 | |||||||||
Nathan’s Famous, Inc. |
| |||||||||||
6.63% (4) | 11/01/25 | 15,000 | 15,412 | |||||||||
Pilgrim’s Pride Corp. |
| |||||||||||
5.88% (4) | 09/30/27 | 845,000 | 893,790 | |||||||||
Post Holdings, Inc. |
| |||||||||||
4.63% (4) | 04/15/30 | 900,000 | 925,875 | |||||||||
5.63% (4) | 01/15/28 | 356,000 | 376,025 | |||||||||
5.75% (4) | 03/01/27 | 45,000 | 47,372 | |||||||||
Smithfield Foods, Inc. |
| |||||||||||
3.35% (4) | 02/01/22 | 228,000 | 232,460 | |||||||||
5.20% (4) | 04/01/29 | 217,000 | 250,932 | |||||||||
|
| |||||||||||
5,650,976 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Forest Products & Paper — 0.7% | ||||||||||||
Clearwater Paper Corp. |
| |||||||||||
4.75% (4) | 08/15/28 | $ | 710,000 | $ | 718,861 | |||||||
|
| |||||||||||
Healthcare-Products — 1.2% | ||||||||||||
Hill-Rom Holdings, Inc. |
| |||||||||||
4.38% (4) | 09/15/27 | 205,000 | 212,431 | |||||||||
Hologic, Inc. |
| |||||||||||
3.25% (4) | 02/15/29 | 144,000 | 144,990 | |||||||||
4.63% (4) | 02/01/28 | 90,000 | 94,500 | |||||||||
Teleflex, Inc. |
| |||||||||||
4.25% (4) | 06/01/28 | 687,000 | 718,774 | |||||||||
4.88% | 06/01/26 | 55,000 | 57,578 | |||||||||
|
| |||||||||||
1,228,273 | ||||||||||||
|
| |||||||||||
Healthcare-Services — 10.3% | ||||||||||||
Catalent Pharma Solutions, Inc. |
| |||||||||||
5.00% (4) | 07/15/27 | 893,000 | 932,462 | |||||||||
Centene Corp. |
| |||||||||||
3.00% | 10/15/30 | 817,000 | 849,437 | |||||||||
3.38% | 02/15/30 | 684,000 | 710,197 | |||||||||
4.63% | 12/15/29 | 534,000 | 582,076 | |||||||||
Encompass Health Corp. |
| |||||||||||
4.75% | 02/01/30 | 1,366,000 | 1,425,161 | |||||||||
HCA, Inc. |
| |||||||||||
3.50% | 09/01/30 | 1,557,000 | 1,592,282 | |||||||||
IQVIA, Inc. |
| |||||||||||
5.00% (4) | 05/15/27 | 428,000 | 452,062 | |||||||||
Molina Healthcare, Inc. |
| |||||||||||
4.38% (4) | 06/15/28 | 602,000 | 617,839 | |||||||||
5.38% | 11/15/22 | 552,000 | 574,643 | |||||||||
Prime Healthcare Services, Inc. |
| |||||||||||
7.25% (4) | 11/01/25 | 1,000,000 | 1,007,800 | |||||||||
Providence Service Corp. (The) |
| |||||||||||
5.88% (4)(5) | 11/15/25 | 300,000 | 305,813 | |||||||||
Tenet Healthcare Corp. |
| |||||||||||
4.63% | 07/15/24 | 500,000 | 508,951 | |||||||||
4.63% (4) | 06/15/28 | 375,000 | 381,562 | |||||||||
4.88% (4) | 01/01/26 | 515,000 | 523,070 | |||||||||
5.13% (4) | 11/01/27 | 195,000 | 201,279 | |||||||||
|
| |||||||||||
10,664,634 | ||||||||||||
|
| |||||||||||
Household Products/Wares — 0.8% | ||||||||||||
Central Garden & Pet Co. |
| |||||||||||
4.13% | 10/15/30 | 312,000 | 316,368 | |||||||||
Spectrum Brands, Inc. |
| |||||||||||
5.00% (4) | 10/01/29 | 452,000 | 482,510 | |||||||||
|
| |||||||||||
798,878 | ||||||||||||
|
|
See accompanying Notes to Financial Statements.
55
Table of Contents
TCW High Yield Bond Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Housewares — 0.5% | ||||||||||||
Newell Brands, Inc. |
| |||||||||||
4.35% | 04/01/23 | $ | 85,000 | $ | 88,823 | |||||||
4.88% | 06/01/25 | 355,000 | 385,175 | |||||||||
|
| |||||||||||
473,998 | ||||||||||||
|
| |||||||||||
Insurance — 0.1% | ||||||||||||
New York Life Insurance Co. |
| |||||||||||
3.75% (4) | 05/15/50 | 105,000 | 117,434 | |||||||||
|
| |||||||||||
Lodging — 0.4% | ||||||||||||
Hilton Domestic Operating Co., Inc. |
| |||||||||||
5.75% (4) | 05/01/28 | 191,000 | 200,567 | |||||||||
Wyndham Hotels & Resorts, Inc. |
| |||||||||||
4.38% (4) | 08/15/28 | 212,000 | 210,968 | |||||||||
|
| |||||||||||
411,535 | ||||||||||||
|
| |||||||||||
Machinery-Construction & Mining — 0.5% | ||||||||||||
BWX Technologies, Inc. |
| |||||||||||
4.13% (4) | 06/30/28 | 457,000 | 467,461 | |||||||||
|
| |||||||||||
Machinery-Diversified — 0.3% | ||||||||||||
Titan Acquisition, Ltd. / Titan Co-Borrower LLC |
| |||||||||||
7.75% (4) | 04/15/26 | 267,000 | 268,335 | |||||||||
|
| |||||||||||
Media — 9.9% | ||||||||||||
Block Communications, Inc. |
| |||||||||||
4.88% (4) | 03/01/28 | 295,000 | 303,850 | |||||||||
Cable One, Inc. |
| |||||||||||
4.00% (4)(5) | 11/15/30 | 400,000 | 405,500 | |||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. |
| |||||||||||
4.50% (4) | 05/01/32 | 1,346,000 | 1,393,110 | |||||||||
5.38% (4) | 05/01/25 | 1,339,000 | 1,379,036 | |||||||||
CSC Holdings LLC |
| |||||||||||
3.38% (4) | 02/15/31 | 439,000 | 422,696 | |||||||||
6.50% (4) | 02/01/29 | 889,000 | 988,030 | |||||||||
Diamond Sports Group LLC / Diamond Sports Finance Co. |
| |||||||||||
5.38% (4) | 08/15/26 | 70,000 | 41,082 | |||||||||
DISH DBS Corp. |
| |||||||||||
5.88% | 11/15/24 | 31,000 | 31,291 | |||||||||
7.38% | 07/01/28 | 380,000 | 383,108 | |||||||||
7.75% | 07/01/26 | 30,000 | 31,912 | |||||||||
DISH Network Corp. |
| |||||||||||
3.38% | 08/15/26 | 410,000 | 363,428 | |||||||||
EW Scripps Co. (The) |
| |||||||||||
5.13% (4) | 05/15/25 | 78,000 | 74,685 | |||||||||
Midcontinent Communications & Finance Co. |
| |||||||||||
5.38% (4) | 08/15/27 | 453,000 | 473,242 | |||||||||
Scripps Escrow, Inc. |
| |||||||||||
5.88% (4) | 07/15/27 | 742,000 | 723,450 | |||||||||
Sirius XM Radio, Inc. |
| |||||||||||
3.88% (4) | 08/01/22 | 813,000 | 820,114 | |||||||||
5.50% (4) | 07/01/29 | 280,000 | 305,141 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Media (Continued) | ||||||||||||
Virgin Media Secured Finance PLC (United Kingdom) |
| |||||||||||
4.50% (4)(5) | 08/15/30 | $ | 1,336,000 | $ | 1,366,140 | |||||||
5.50% (4) | 05/15/29 | 543,000 | 581,010 | |||||||||
Walt Disney Co. (The) |
| |||||||||||
2.00% | 09/01/29 | 55,000 | 56,436 | |||||||||
3.60% | 01/13/51 | 150,000 | 167,674 | |||||||||
|
| |||||||||||
10,310,935 | ||||||||||||
|
| |||||||||||
Miscellaneous Manufacturers — 0.3% | ||||||||||||
Bombardier, Inc. (Canada) |
| |||||||||||
5.75% (4) | 03/15/22 | 208,000 | 200,408 | |||||||||
6.00% (4) | 10/15/22 | 133,000 | 119,035 | |||||||||
General Electric Co. |
| |||||||||||
0.76% (3 mo. USD LIBOR + 0.480%) (1) | 08/15/36 | 52,000 | 35,656 | |||||||||
|
| |||||||||||
355,099 | ||||||||||||
|
| |||||||||||
Oil & Gas — 3.8% | ||||||||||||
Antero Resources Corp. |
| |||||||||||
5.00% | 03/01/25 | 724,000 | 537,389 | |||||||||
Apache Corp. |
| |||||||||||
4.88% | 11/15/27 | 148,000 | 139,037 | |||||||||
Chevron Corp. |
| |||||||||||
2.98% | 05/11/40 | 60,000 | 63,754 | |||||||||
Devon Energy Corp. |
| |||||||||||
5.00% | 06/15/45 | 145,000 | 140,459 | |||||||||
Endeavor Energy Resources LP / EER Finance, Inc. |
| |||||||||||
5.75% (4) | 01/30/28 | 412,000 | 428,068 | |||||||||
EQT Corp. |
| |||||||||||
3.90% | 10/01/27 | 100,000 | 96,219 | |||||||||
Exxon Mobil Corp. |
| |||||||||||
4.33% | 03/19/50 | 65,000 | 78,727 | |||||||||
Hess Corp. |
| |||||||||||
5.60% | 02/15/41 | 92,000 | 98,929 | |||||||||
Occidental Petroleum Corp. |
| |||||||||||
3.50% | 08/15/29 | 635,000 | 459,384 | |||||||||
4.40% | 08/15/49 | 607,000 | 409,179 | |||||||||
5.88% | 09/01/25 | 829,000 | 730,763 | |||||||||
Petroleos Mexicanos |
| |||||||||||
7.69% | 01/23/50 | 65,000 | 54,190 | |||||||||
SM Energy Co. |
| |||||||||||
5.63% | 06/01/25 | 50,000 | 19,955 | |||||||||
6.63% | 01/15/27 | 187,000 | 71,060 | |||||||||
6.75% | 09/15/26 | 60,000 | 23,314 | |||||||||
Sunoco LP / Sunoco Finance Corp. |
| |||||||||||
5.88% | 03/15/28 | 459,000 | 477,360 | |||||||||
Transocean Pontus, Ltd. |
| |||||||||||
6.13% (4) | 08/01/25 | 28,080 | 24,895 | |||||||||
Transocean Poseidon, Ltd. |
| |||||||||||
6.88% (4) | 02/01/27 | 29,000 | 21,823 |
See accompanying Notes to Financial Statements.
56
Table of Contents
TCW High Yield Bond Fund
October 31, 2020 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Oil & Gas (Continued) | ||||||||||||
Transocean Sentry, Ltd. |
| |||||||||||
5.38% (4) | 05/15/23 | $ | 165,000 | $ | 105,600 | |||||||
Valaris PLC |
| |||||||||||
7.75% (6) | 02/01/26 | 125,000 | 6,019 | |||||||||
|
| |||||||||||
3,986,124 | ||||||||||||
|
| |||||||||||
Oil & Gas Services — 2.1% | ||||||||||||
Archrock Partners LP / Archrock Partners Finance Corp. |
| |||||||||||
6.25% (4) | 04/01/28 | 594,000 | 576,180 | |||||||||
Transocean Phoenix 2, Ltd. |
| |||||||||||
7.75% (4) | 10/15/24 | 652,800 | 597,312 | |||||||||
Transocean Proteus, Ltd. |
| |||||||||||
6.25% (4) | 12/01/24 | 183,950 | 162,796 | |||||||||
USA Compression Partners LP / USA Compression Finance Corp. |
| |||||||||||
6.88% | 04/01/26 | 275,000 | 273,208 | |||||||||
6.88% | 09/01/27 | 534,000 | 537,685 | |||||||||
|
| |||||||||||
2,147,181 | ||||||||||||
|
| |||||||||||
Packaging & Containers — 6.3% | ||||||||||||
Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. |
| |||||||||||
5.25% (4) | 04/30/25 | 154,000 | 161,905 | |||||||||
Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. (Ireland) |
| |||||||||||
4.13% (4) | 08/15/26 | 1,269,000 | 1,305,484 | |||||||||
Ball Corp. |
| |||||||||||
4.00% | 11/15/23 | 639,000 | 676,867 | |||||||||
4.88% | 03/15/26 | 374,000 | 418,880 | |||||||||
5.25% | 07/01/25 | 311,000 | 352,332 | |||||||||
Berry Global, Inc. |
| |||||||||||
4.88% (4) | 07/15/26 | 150,000 | 157,050 | |||||||||
GPC Merger Sub, Inc. |
| |||||||||||
7.13% (4) | 08/15/28 | 450,000 | 472,126 | |||||||||
Graphic Packaging International LLC |
| |||||||||||
3.50% (4) | 03/15/28 | 1,226,000 | 1,229,813 | |||||||||
4.75% (4) | 07/15/27 | 85,000 | 92,863 | |||||||||
Graphic Packaging International, Inc. |
| |||||||||||
4.13% | 08/15/24 | 100,000 | 105,615 | |||||||||
Sealed Air Corp. |
| |||||||||||
4.00% (4) | 12/01/27 | 582,000 | 612,555 | |||||||||
4.88% (4) | 12/01/22 | 150,000 | 158,412 | |||||||||
5.50% (4) | 09/15/25 | 304,000 | 340,054 | |||||||||
Silgan Holdings, Inc. |
| |||||||||||
4.13% | 02/01/28 | 125,000 | 130,162 | |||||||||
Trident TPI Holdings, Inc. |
| |||||||||||
9.25% (4) | 08/01/24 | 338,000 | 358,402 | |||||||||
|
| |||||||||||
6,572,520 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Pharmaceuticals — 3.5% | ||||||||||||
Bausch Health Cos, Inc. (Canada) |
| |||||||||||
5.75% (4) | 08/15/27 | $ | 18,000 | $ | 19,395 | |||||||
5.88% (4) | 05/15/23 | 2,000 | 1,997 | |||||||||
7.00% (4) | 03/15/24 | 2,295,000 | 2,380,489 | |||||||||
Bayer US Finance II LLC |
| |||||||||||
4.38% (4) | 12/15/28 | 79,000 | 91,152 | |||||||||
5.50% (4) | 08/15/25 | 54,000 | 63,148 | |||||||||
CVS Health Corp. |
| |||||||||||
5.05% | 03/25/48 | 61,000 | 77,509 | |||||||||
Elanco Animal Health, Inc. |
| |||||||||||
5.27% | 08/28/23 | 401,000 | 434,249 | |||||||||
5.90% | 08/28/28 | 453,000 | 528,685 | |||||||||
|
| |||||||||||
3,596,624 | ||||||||||||
|
| |||||||||||
Pipelines — 2.3% | ||||||||||||
Cheniere Corpus Christi Holdings LLC |
| |||||||||||
5.13% | 06/30/27 | 13,000 | 14,586 | |||||||||
Cheniere Energy Partners LP |
| |||||||||||
4.50% | 10/01/29 | 75,000 | 76,597 | |||||||||
DCP Midstream Operating LP |
| |||||||||||
5.60% | 04/01/44 | 136,000 | 119,717 | |||||||||
Energy Transfer Operating LP |
| |||||||||||
6.25% | 04/15/49 | 129,000 | 136,400 | |||||||||
6.63% (3 mo. USD LIBOR + 4.155%) (1) | 12/31/99 | 558,000 | 397,154 | |||||||||
Rattler Midstream LP |
| |||||||||||
5.63% (4) | 07/15/25 | 82,000 | 85,228 | |||||||||
Rockies Express Pipeline LLC |
| |||||||||||
6.88% (4) | 04/15/40 | 399,000 | 412,390 | |||||||||
Sunoco Logistics Partners Operations LP |
| |||||||||||
5.35% | 05/15/45 | 126,000 | 120,368 | |||||||||
5.40% | 10/01/47 | 40,000 | 38,594 | |||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. |
| |||||||||||
5.50% (4) | 03/01/30 | 305,000 | 308,111 | |||||||||
6.88% | 01/15/29 | 188,000 | 202,352 | |||||||||
TransMontaigne Partners LP / TLP Finance Corp. |
| |||||||||||
6.13% | 02/15/26 | 456,000 | 468,540 | |||||||||
|
| |||||||||||
2,380,037 | ||||||||||||
|
| |||||||||||
REIT — 2.6% | ||||||||||||
CyrusOne LP / CyrusOne Finance Corp. |
| |||||||||||
3.45% | 11/15/29 | 876,000 | 933,606 | |||||||||
GLP Capital LP / GLP Financing II, Inc. |
| |||||||||||
5.75% | 06/01/28 | 616,000 | 702,452 | |||||||||
Iron Mountain, Inc. |
| |||||||||||
5.25% (4) | 07/15/30 | 446,000 | 458,265 | |||||||||
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc. |
| |||||||||||
4.50% | 01/15/28 | 130,000 | 132,413 |
See accompanying Notes to Financial Statements.
57
Table of Contents
TCW High Yield Bond Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
REIT (Continued) | ||||||||||||
4.63% (4) | 06/15/25 | $ | 307,000 | $ | 312,876 | |||||||
5.63% | 05/01/24 | 106,000 | 111,785 | |||||||||
|
| |||||||||||
2,651,397 | ||||||||||||
|
| |||||||||||
Retail — 1.2% | ||||||||||||
1011778 BC ULC / New Red Finance, Inc. |
| |||||||||||
3.50% (4)(5) | 02/15/29 | 250,000 | 248,863 | |||||||||
FirstCash, Inc. |
| |||||||||||
4.63% (4) | 09/01/28 | 696,000 | 707,745 | |||||||||
Golden Nugget, Inc. |
| |||||||||||
6.75% (4) | 10/15/24 | 378,000 | 321,205 | |||||||||
|
| |||||||||||
1,277,813 | ||||||||||||
|
| |||||||||||
Semiconductors — 0.2% | ||||||||||||
Intel Corp. |
| |||||||||||
4.75% | 03/25/50 | 55,000 | 75,284 | |||||||||
NVIDIA Corp. |
| |||||||||||
3.50% | 04/01/50 | 95,000 | 110,845 | |||||||||
|
| |||||||||||
186,129 | ||||||||||||
|
| |||||||||||
Software — 0.9% | ||||||||||||
MSCI, Inc. |
| |||||||||||
3.63% (4) | 09/01/30 | 65,000 | 66,899 | |||||||||
SS&C Technologies, Inc. |
| |||||||||||
5.50% (4) | 09/30/27 | 827,000 | 879,994 | |||||||||
|
| |||||||||||
946,893 | ||||||||||||
|
| |||||||||||
Telecommunications — 9.0% | ||||||||||||
AT&T, Inc. |
| |||||||||||
3.30% | 02/01/52 | 703,000 | 646,899 | |||||||||
4.50% | 05/15/35 | 352,000 | 410,495 | |||||||||
CenturyLink, Inc. |
| |||||||||||
4.00% (4) | 02/15/27 | 985,000 | 1,008,443 | |||||||||
Intelsat Jackson Holdings S. A. (Luxembourg) |
| |||||||||||
5.50% (6) | 08/01/23 | 745,000 | 438,619 | |||||||||
8.50% (4)(6) | 10/15/24 | 338,000 | 210,405 | |||||||||
9.75% (4)(6) | 07/15/25 | 107,000 | 66,432 | |||||||||
Intelsat Luxembourg S.A. (Luxembourg) |
| |||||||||||
8.13% (6) | 06/01/23 | 85,000 | 3,400 | |||||||||
Level 3 Financing, Inc. |
| |||||||||||
4.25% (4) | 07/01/28 | 1,228,000 | 1,236,129 | |||||||||
Qwest Corp. |
| |||||||||||
6.75% | 12/01/21 | 373,000 | 391,736 | |||||||||
7.25% | 09/15/25 | 275,000 | 317,969 | |||||||||
SES Global Americas Holdings GP |
| |||||||||||
5.30% (4) | 03/25/44 | 447,000 | 464,248 | |||||||||
Sprint Corp. |
| |||||||||||
7.88% | 09/15/23 | 1,447,000 | 1,652,293 | |||||||||
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC |
| |||||||||||
5.15% (4) | 09/20/29 | 407,000 | 475,258 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Telecommunications (Continued) | ||||||||||||
T-Mobile USA, Inc. |
| |||||||||||
2.55% (4) | 02/15/31 | $ | 1,016,000 | $ | 1,036,676 | |||||||
3.88% (4) | 04/15/30 | 830,000 | 933,426 | |||||||||
|
| |||||||||||
9,292,428 | ||||||||||||
|
| |||||||||||
Total Corporate Bonds |
| |||||||||||
(Cost: $80,517,359) | 81,320,566 | |||||||||||
|
| |||||||||||
MUNICIPAL BONDS — 0.1% | ||||||||||||
Metropolitan Transportation Authority, Revenue Bond |
| |||||||||||
5.18% | 11/15/49 | 75,000 | 76,907 | |||||||||
Regents of the University of California Medical Center Pooled, Revenue Bond |
| |||||||||||
3.26% | 05/15/60 | 70,000 | 71,352 | |||||||||
|
| |||||||||||
Total Municipal Bonds |
| |||||||||||
(Cost: $145,000) | 148,259 | |||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 1.8% | ||||||||||||
ACE Securities Corp. Home Equity Loan Trust (06-ASP6-A2C) |
| |||||||||||
0.31% (1 mo. USD LIBOR + 0.160%) (1) | 12/25/36 | 286,684 | 148,138 | |||||||||
Ajax Mortgage Loan Trust (19-D-A1) |
| |||||||||||
2.96% (4) | 09/25/65 | 80,781 | 81,911 | |||||||||
Citigroup Mortgage Loan Trust (15-6-2A1) |
| |||||||||||
0.69% (4)(7) | 12/25/35 | 34,670 | 34,926 | |||||||||
First Horizon Alternative Mortgage Securities Trust (04-AA3-A1) |
| |||||||||||
2.47% (7) | 09/25/34 | 54,802 | 53,572 | |||||||||
GSAMP Trust (05-HE4-M3) |
| |||||||||||
0.93% (1 mo. USD LIBOR + 0.780%) (1) | 07/25/45 | 100,000 | 98,257 | |||||||||
HSI Asset Securitization Corp. Trust (06-HE1-1A1) |
| |||||||||||
0.29% (1 mo. USD LIBOR + 0.140%) (1) | 10/25/36 | 222,586 | 99,535 | |||||||||
IndyMac INDX Mortgage Loan Trust (07-FLX4-2A2) |
| |||||||||||
0.40% (1 mo. USD LIBOR + 0.250%) (1) | 07/25/37 | 135,507 | 129,472 | |||||||||
Long Beach Mortgage Loan Trust (06-10-1A) |
| |||||||||||
0.30% (1 mo. USD LIBOR + 0.150%) (1) | 11/25/36 | 190,203 | 141,778 | |||||||||
Mastr Asset Backed Securities Trust (06-HE2-A3) |
| |||||||||||
0.30% (1 mo. USD LIBOR + 0.150%) (1) | 06/25/36 | 240,212 | 136,943 | |||||||||
Mastr Asset Backed Securities Trust (06-WMC4-A5) |
| |||||||||||
0.30% (1 mo. USD LIBOR + 0.150%) (1) | 10/25/36 | 448,297 | 194,715 | |||||||||
Merrill Lynch Mortgage Investors Trust (04-A-A1) |
| |||||||||||
0.61% (1 mo. USD LIBOR + 0.460%) (1) | 04/25/29 | 71,933 | 69,072 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust (06-HE8-A2C) |
| |||||||||||
0.29% (1 mo. USD LIBOR + 0.140%) (1) | 10/25/36 | 229,834 | 137,012 |
See accompanying Notes to Financial Statements.
58
Table of Contents
TCW High Yield Bond Fund
October 31, 2020 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Morgan Stanley ABS Capital I, Inc. Trust (07-HE1-A2D) |
| |||||||||||
0.38% (1 mo. USD LIBOR + 0.230%) (1) | 11/25/36 | $ | 196,698 | $ | 144,126 | |||||||
Sequoia Mortgage Trust (04-4-A) |
| |||||||||||
0.78% (6 mo. USD LIBOR + 0.520%) (1) | 05/20/34 | 76,466 | 72,369 | |||||||||
WaMu Mortgage Pass-Through Certificates (05-AR19-A1B2) |
| |||||||||||
0.56% (1 mo. USD LIBOR + 0.410%) (1) | 12/25/45 | 77,258 | 76,054 | |||||||||
WaMu Mortgage Pass-Through Certificates (05-AR8-2AB2) |
| |||||||||||
0.99% (1 mo. USD LIBOR + 0.840%) (1) | 07/25/45 | 76,275 | 74,506 | |||||||||
Washington Mutual Asset-Backed Certificates (WMABS-07-HE2-2A2) |
| |||||||||||
0.37% (1 mo. USD LIBOR + 0.220%) (1) | 02/25/37 | 339,734 | 155,546 | |||||||||
|
| |||||||||||
Total Residential Mortgage-Backed Securities — Non-Agency |
| |||||||||||
(Cost: $1,725,844) | 1,847,932 | |||||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $91,542,366) | 92,367,042 | |||||||||||
|
| |||||||||||
Shares | ||||||||||||
COMMON STOCK — 0.0% |
| |||||||||||
Electric — 0.0% | ||||||||||||
Homer City Holdings LLC — Series A (3)(8) |
| 5,610 | 309 | |||||||||
|
| |||||||||||
Total Common Stock |
| |||||||||||
(Cost: $327,224) | 309 | |||||||||||
|
|
Issues | Shares | Value | ||||||||||
MONEY MARKET INVESTMENTS — 0.7% | ||||||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class (9) |
| 709,912 | $ | 709,912 | ||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $709,912) | 709,912 | |||||||||||
|
| |||||||||||
Maturity Date | Principal Amount | |||||||||||
SHORT TERM INVESTMENTS — 7.5% |
| |||||||||||
U.S. TREASURY SECURITIES — 7.5% | ||||||||||||
U.S. Treasury Bill |
| |||||||||||
0.02% (10) | 01/14/21 | $ | 950,000 | 949,831 | ||||||||
0.04% (10) | 01/21/21 | 1,980,000 | 1,979,615 | |||||||||
0.01% (10) | 02/04/21 | 750,000 | 749,814 | |||||||||
U.S. Cash Management Bill |
| |||||||||||
0.04% (10) | 01/19/21 | 2,400,000 | 2,399,610 | |||||||||
0.04% (10) | 02/16/21 | 1,700,000 | 1,699,575 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $7,777,875) |
| 7,778,445 | ||||||||||
|
| |||||||||||
Total Short Term Investments |
| |||||||||||
(Cost: $7,777,875) | 7,778,445 | |||||||||||
|
| |||||||||||
Total Investments (97.2%) |
| |||||||||||
(Cost: $100,357,377) | 100,855,708 | |||||||||||
Excess Of Other Assets Over Liabilities (2.8%) |
| 2,939,603 | ||||||||||
|
| |||||||||||
Net Assets (100.0%) | $ | 103,795,311 | ||||||||||
|
|
Futures Contracts | ||||||||||||||||||
Number of Contracts | Type | Expiration Date | Notional | Value | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Short Futures |
| |||||||||||||||||
50 | 10-Year U.S. Ultra Treasury Note Futures | 12/21/20 | $ | (7,958,481 | ) | $ | (7,864,063 | ) | $ | 94,418 | ||||||||
18 | 5-Year U.S. Treasury Note Futures | 12/31/20 | (2,263,604 | ) | (2,260,828 | ) | 2,776 | |||||||||||
12 | U.S. Ultra Long Bond Futures | 12/21/20 | (2,673,843 | ) | (2,580,000 | ) | 93,843 | |||||||||||
|
|
|
|
|
| |||||||||||||
$ | (12,895,928 | ) | $ | (12,704,891 | ) | $ | 191,037 | |||||||||||
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
59
Table of Contents
TCW High Yield Bond Fund
Schedule of Investments (Continued)
Notes to the Schedule of Investments:
ABS | Asset-Backed Securities. |
EETC | Enhanced Equipment Trust Certificate. |
REIT | Real Estate Investment Trust. |
(1) | Floating or variable rate security. The interest shown reflects the rate in effect at October 31, 2020. |
(2) | This position represents an unsettled bank loan at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which will be adjusted on settlement date. |
(3) | For fair value measurement disclosure purposes, security is categorized as Level 3. Security is valued using significant unobservable inputs. |
(4) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only to qualified institutional buyers. At October 31, 2020, the value of these securities amounted to $53,169,339 or 51.2% 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. |
(5) | This security is purchased on a when-issued, delayed-delivery or forward commitment basis. |
(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) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(8) | Non-income producing security. |
(9) | Rate disclosed is the 7-day net yield as of October 31, 2020. |
(10) | Rate shown represents yield-to-maturity. |
See accompanying Notes to Financial Statements.
60
Table of Contents
TCW High Yield Bond Fund
Investments by Sector | October 31, 2020 |
Sector | Percentage of Net Assets | |||
Corporate Bonds | 78.4 | % | ||
Bank Loans | 8.7 | |||
U.S. Treasury Securities | 7.5 | |||
Residential Mortgage-Backed Securities — Non-Agency | 1.8 | |||
Money Market Investments | 0.7 | |||
Municipal Bonds | 0.1 | |||
Common Stock | 0.0 | ** | ||
Other* | 2.8 | |||
|
| |||
Total | 100.0 | % | ||
|
|
* | Includes capstock, futures, pending trades, interest receivable and accrued expenses payable. |
** | Amounts rounds to less than 0.1%. |
See accompanying Notes to Financial Statements.
61
Table of Contents
TCW High Yield Bond Fund
Fair Valuation Summary
October 31, 2020 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 2020 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* | $ | — | $ | 9,013,269 | $ | 37,016 | $ | 9,050,285 | ||||||||
Corporate Bonds* | — | 81,320,566 | — | 81,320,566 | ||||||||||||
Municipal Bonds | — | 148,259 | — | 148,259 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 1,847,932 | — | 1,847,932 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 92,330,026 | 37,016 | 92,367,042 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Equity Securities | ||||||||||||||||
Common Stock* | — | — | 309 | 309 | ||||||||||||
Money Market Investments | 709,912 | — | — | 709,912 | ||||||||||||
Short-Term Investments | 7,778,445 | — | — | 7,778,445 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 8,488,357 | $ | 92,330,026 | $ | 37,325 | $ | 100,855,708 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | 191,037 | — | — | 191,037 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 8,679,394 | $ | 92,330,026 | $ | 37,325 | $ | 101,046,745 | ||||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
See accompanying Notes to Financial Statements.
62
Table of Contents
Schedule of Investments | October 31, 2020 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 63.6% of Net Assets |
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY — 8.2% | ||||||||||||
Fannie Mae, Pool #AM4580 |
| |||||||||||
3.43% | 10/01/23 | $ | 40,783 | $ | 43,397 | |||||||
Fannie Mae, Pool #468764 |
| |||||||||||
4.16% | 07/01/21 | 45,000 | 45,157 | |||||||||
Fannie Mae (16-M11-AL) |
| |||||||||||
2.94% | 07/25/39 | 34,303 | 35,471 | |||||||||
Freddie Mac Multifamily Structured Pass Through Certificates (K722-X1) (I/O) |
| |||||||||||
1.31% (1) | 03/25/23 | 922,346 | 21,464 | |||||||||
Freddie Mac Multifamily Structured Pass Through Certificates (KJ28-A1) |
| |||||||||||
1.77% | 02/25/25 | 59,507 | 61,360 | |||||||||
Freddie Mac Multifamily Structured Pass Through Certificates (KJ17-A1) |
| |||||||||||
2.40% | 10/25/24 | 3,300 | 3,342 | |||||||||
Freddie Mac Multifamily Structured Pass Through Certificates (KJ24-A1) |
| |||||||||||
2.28% | 05/25/26 | 70,637 | 73,912 | |||||||||
Freddie Mac Multifamily Structured Pass Through Certificates (KJ27-A1) |
| |||||||||||
2.09% | 07/25/24 | 44,456 | 45,681 | |||||||||
Freddie Mac Multifamily Structured Pass Through Certificates (KJ29-A1) |
| |||||||||||
0.74% | 01/25/26 | 79,584 | 80,051 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (J22F-A1) |
| |||||||||||
3.45% | 05/25/23 | 1,663 | 1,670 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (K012-X3) (I/O) |
| |||||||||||
2.25% (1) | 01/25/41 | 295,045 | 962 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (K025-X3) (I/O) |
| |||||||||||
1.75% (1) | 11/25/40 | 150,000 | 4,879 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (K031-X1) (I/O) |
| |||||||||||
0.21% (1) | 04/25/23 | 854,436 | 4,133 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (KJ26-A1) |
| |||||||||||
2.14% | 07/25/25 | 67,789 | 69,776 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (KS07-X) (I/O) |
| |||||||||||
0.65% (1) | 09/25/25 | 249,656 | 7,002 | |||||||||
FRESB Mortgage Trust (15-SB3-A3) |
| |||||||||||
0.70% (1 mo. USD LIBOR + 0.550%) (2) | 01/25/43 | 42,800 | 42,855 | |||||||||
Ginnie Mae (07-12-C) |
| |||||||||||
5.28% (1) | 04/16/41 | 7,265 | 7,341 | |||||||||
Ginnie Mae (08-92-E) |
| |||||||||||
5.56% (1) | 03/16/44 | 9,701 | 9,860 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Ginnie Mae (10-159-D) |
| |||||||||||
4.29% (1) | 09/16/44 | $ | 25,859 | $ | 26,715 | |||||||
Ginnie Mae (11-165-IO) (I/O) |
| |||||||||||
0.16% (1) | 10/16/51 | 673,606 | 1,592 | |||||||||
United States Small Business Administration (02-20I-1) |
| |||||||||||
4.89% | 09/01/22 | 5,866 | 6,020 | |||||||||
United States Small Business Administration (05-20B-1) |
| |||||||||||
4.63% | 02/01/25 | 39,830 | 41,945 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — Agency |
| |||||||||||
(Cost: $665,434) | 634,585 | |||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 5.9% | ||||||||||||
BBCMS Mortgage Trust (17-C1-A2) |
| |||||||||||
3.19% | 02/15/50 | 20,000 | 20,449 | |||||||||
BX Commercial Mortgage Trust (18-IND-A) |
| |||||||||||
0.90% (1 mo. USD LIBOR + 0.750%) (2)(3) | 11/15/35 | 3,944 | 3,934 | |||||||||
BX Commercial Mortgage Trust (20-BXLP-A) |
| |||||||||||
0.95% (1 mo. USD LIBOR + 0.800%) (2)(3) | 12/15/36 | 14,986 | 14,986 | |||||||||
COMM Mortgage Trust (13-CR9-ASB) |
| |||||||||||
3.83% | 07/10/45 | 34,640 | 36,172 | |||||||||
COMM Mortgage Trust (13-LC6-XA) (I/O) |
| |||||||||||
1.33% (1) | 01/10/46 | 447,347 | 9,954 | |||||||||
DBRR Trust (11-LC2-A4A) |
| |||||||||||
4.54% (1)(3) | 07/12/44 | 43,668 | 43,932 | |||||||||
GS Mortgage Securities Trust (11-GC5-A3) |
| |||||||||||
3.82% | 08/10/44 | 29,381 | 29,545 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust (11-C4-A4) |
| |||||||||||
4.39% (3) | 07/15/46 | 14,325 | 14,479 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust (11-C5-A3) |
| |||||||||||
4.17% | 08/15/46 | 47,072 | 47,815 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust (13-C12-XA) (I/O) |
| |||||||||||
0.59% (1) | 10/15/46 | 351,623 | 5,094 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust (13-C7-XA) (I/O) |
| |||||||||||
1.33% (1) | 02/15/46 | 792,487 | 18,936 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust (14-C15-A3) |
| |||||||||||
3.77% | 04/15/47 | 12,636 | 13,567 | |||||||||
Morgan Stanley Capital I Trust (11-C3-A4) |
| |||||||||||
4.12% | 07/15/49 | 26,306 | 26,429 | |||||||||
UBS Commercial Mortgage Trust (12-C1-XA) (I/O) |
| |||||||||||
2.06% (1)(3)(4) | 05/10/45 | 271,764 | 5,210 | |||||||||
UBS Commercial Mortgage Trust (18-C11-A1) |
| |||||||||||
3.21% | 06/15/51 | 4,934 | 5,034 |
See accompanying Notes to Financial Statements.
63
Table of Contents
TCW Short Term Bond Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Wells Fargo Commercial Mortgage Trust (16-C34-A2) |
| |||||||||||
2.60% | 06/15/49 | $ | 65,000 | $ | 65,294 | |||||||
Wells Fargo Commercial Mortgage Trust (16-C36-A2) |
| |||||||||||
2.50% | 11/15/59 | 25,000 | 25,228 | |||||||||
Wells Fargo Commercial Mortgage Trust (16-LC24-A2) |
| |||||||||||
2.50% | 10/15/49 | 27,819 | 27,960 | |||||||||
WFRBS Commercial Mortgage Trust (12-C6-XA) (I/O) |
| |||||||||||
2.05% (1)(3) | 04/15/45 | 1,248,255 | 18,111 | |||||||||
WFRBS Commercial Mortgage Trust (12-C9-XA) (I/O) |
| |||||||||||
1.88% (1)(3) | 11/15/45 | 846,145 | 24,207 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — |
| |||||||||||
(Cost: $503,515) | 456,336 | |||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY — 8.8% | ||||||||||||
Fannie Mae (03-11-FA) |
| |||||||||||
1.15% (1 mo. USD | 09/25/32 | 11,403 | 11,652 | |||||||||
Fannie Mae (03-52-NF) |
| |||||||||||
0.55% (1 mo. USD | 06/25/23 | 5,438 | 5,443 | |||||||||
Fannie Mae (05-114-PF) (PAC) |
| |||||||||||
0.52% (1 mo. USD | 08/25/35 | 2,000 | 2,001 | |||||||||
Fannie Mae (06-23-FP) (PAC) |
| |||||||||||
0.45% (1 mo. USD | 04/25/36 | 15,785 | 15,849 | |||||||||
Fannie Mae (07-64-FA) |
| |||||||||||
0.62% (1 mo. USD | 07/25/37 | 24,065 | 24,308 | |||||||||
Fannie Mae (08-15-JN) |
| |||||||||||
4.50% | 02/25/23 | 4 | 4 | |||||||||
Fannie Mae (08-24-PF) (PAC) |
| |||||||||||
0.80% (1 mo. USD | 02/25/38 | 16,341 | 16,475 | |||||||||
Fannie Mae (10-118-GF) (PAC) |
| |||||||||||
0.70% (1 mo. USD | 10/25/39 | 35,731 | 35,913 | |||||||||
Fannie Mae (11-75-HP) (PAC) |
| |||||||||||
2.50% | 07/25/40 | 12,867 | 13,178 | |||||||||
Fannie Mae (12-93-GF) (PAC) |
| |||||||||||
0.40% (1 mo. USD | 07/25/40 | 30,167 | 30,178 | |||||||||
Fannie Mae (20-10-FA) |
| |||||||||||
0.65% (1 mo. USD | 03/25/50 | 47,120 | 47,449 | |||||||||
Fannie Mae |
| |||||||||||
0.58% | 03/25/47 | 73,328 | 73,922 | |||||||||
Fannie Mae, Pool #254548 |
| |||||||||||
5.50% | 12/01/32 | 9,482 | 11,106 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae, Pool #600187 |
| |||||||||||
7.00% | 07/01/31 | $ | 20,423 | $ | 23,426 | |||||||
Fannie Mae, Pool #995364 |
| |||||||||||
6.00% | 10/01/38 | 11,432 | 13,323 | |||||||||
Fannie Mae, Pool #AL0851 |
| |||||||||||
6.00% | 10/01/40 | 5,629 | 6,672 | |||||||||
Freddie Mac (2550-FI) (TAC) |
| |||||||||||
0.50% (1 mo. USD | 11/15/32 | 3,240 | 3,240 | |||||||||
Freddie Mac (3071-TF) (PAC) |
| |||||||||||
0.45% (1 mo. USD | 04/15/35 | 25,751 | 25,800 | |||||||||
Freddie Mac (3084-FN) |
| |||||||||||
0.65% (1 mo. USD | 12/15/34 | 11,609 | 11,622 | |||||||||
Freddie Mac (3196-FA) (PAC) |
| |||||||||||
0.50% (1 mo. USD | 04/15/32 | 4,587 | 4,589 | |||||||||
Freddie Mac (3300-FA) |
| |||||||||||
0.45% (1 mo. USD | 08/15/35 | 29,548 | 29,672 | |||||||||
Freddie Mac (3318-F) |
| |||||||||||
0.40% (1 mo. USD | 05/15/37 | 36,473 | 36,508 | |||||||||
Freddie Mac (3767-JF) (PAC) |
| |||||||||||
0.45% (1 mo. USD | 02/15/39 | 9,540 | 9,550 | |||||||||
Freddie Mac (3879-MF) |
| |||||||||||
0.50% (1 mo. USD LIBOR + 0.350%) (2) | 09/15/38 | 12,313 | 12,334 | |||||||||
Freddie Mac (3940-PF) (PAC) |
| |||||||||||
0.50% (1 mo. USD | 05/15/40 | 26,173 | 26,209 | |||||||||
Freddie Mac (3946-FG) (PAC) |
| |||||||||||
0.50% (1 mo. USD | 10/15/39 | 12,554 | 12,572 | |||||||||
Freddie Mac (4231-FD) |
| |||||||||||
0.50% (1 mo. USD | 10/15/32 | 45,893 | 45,359 | |||||||||
Freddie Mac (263-F5) |
| |||||||||||
0.65% (1 mo. USD | 06/15/42 | 33,295 | 33,559 | |||||||||
Ginnie Mae II, Pool #80022 |
| |||||||||||
3.13% (1-year Treasury Constant Maturity Rate + 1.500%) (2) | 12/20/26 | 9,770 | 10,111 | |||||||||
Ginnie Mae II, Pool #80636 |
| |||||||||||
3.25% (1-year Treasury Constant Maturity Rate + 1.500%) (2) | 09/20/32 | 6,779 | 6,986 |
See accompanying Notes to Financial Statements.
64
Table of Contents
TCW Short Term Bond Fund
October 31, 2020 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Ginnie Mae II, Pool #80757 |
| |||||||||||
3.25% (1-year Treasury Constant Maturity Rate + 1.500%) (2) | 10/20/33 | $ | 3,579 | $ | 3,661 | |||||||
Ginnie Mae II, Pool #80797 |
| |||||||||||
3.00% (1-year Treasury Constant Maturity Rate + 1.500%) (2) | 01/20/34 | 28,610 | 29,310 | |||||||||
Ginnie Mae II, Pool #80937 |
| |||||||||||
2.88% (1-year Treasury Constant Maturity Rate + 1.500%) (2) | 06/20/34 | 12,678 | 13,298 | |||||||||
NCUA Guaranteed Notes (10-R3-1A) |
| |||||||||||
0.70% (1 mo. USD | 12/08/20 | 8,334 | 8,336 | |||||||||
NCUA Guaranteed Notes (10-R3-2A) |
| |||||||||||
0.70% (1 mo. USD | 12/08/20 | 22,462 | 22,462 | |||||||||
|
| |||||||||||
Total Residential Mortgage-Backed Securities — Agency |
| |||||||||||
(Cost: $664,251) | 676,077 | |||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 7.0% | ||||||||||||
Accredited Mortgage Loan Trust (05-1-M2) |
| |||||||||||
1.18% (1 mo. USD | 04/25/35 | 92,883 | 93,109 | |||||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates (04-R9-M2) |
| |||||||||||
1.12% (1 mo. USD | 10/25/34 | 11,532 | 11,549 | |||||||||
Centex Home Equity Loan Trust (06-A-AV4) |
| |||||||||||
0.40% (1 mo. USD | 06/25/36 | 20,748 | 20,538 | |||||||||
Credit Suisse First Boston Mortgage Securities Corp. (02-AR31-6A1) |
| |||||||||||
2.36% (1) | 11/25/32 | 15,539 | 15,951 | |||||||||
CWABS Asset-Backed Certificates Trust (05-3-MV5) |
| |||||||||||
1.15% (1 mo. USD | 08/25/35 | 45,298 | 45,369 | |||||||||
First Franklin Mortgage Loan Asset-Backed Certificates (04-FF5-A3C) |
| |||||||||||
1.15% (1 mo. USD | 08/25/34 | 12,515 | 12,647 | |||||||||
JPMorgan Mortgage Acquisition Trust (06-CH1-M1) |
| |||||||||||
0.37% (1 mo. USD | 07/25/36 | 41,891 | 41,821 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust (05-WMC3-M4) |
| |||||||||||
1.08% (1 mo. USD | 03/25/35 | 60,208 | 60,301 | |||||||||
Morgan Stanley Mortgage Loan Trust (04-6AR-1A) |
| |||||||||||
1.05% (1 mo. USD | 07/25/34 | 1,438 | 1,440 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
NovaStar Mortgage Funding Trust Series (05-1-M5) |
| |||||||||||
1.23% (1 mo. USD | 06/25/35 | $ | 57,000 | $ | 55,213 | |||||||
Option One Mortgage Loan Trust Asset-Backed Certificates (05-4-M1) |
| |||||||||||
0.81% (1 mo. USD | 11/25/35 | 48,981 | 49,044 | |||||||||
RASC Series Trust (06-KS3-M1) |
| |||||||||||
0.48% (1 mo. USD | 04/25/36 | 75,000 | 73,467 | |||||||||
Residential Accredit Loans, Inc. (02-QS16-A2) |
| |||||||||||
0.70% (1 mo. USD | 10/25/17 | 72 | 72 | |||||||||
Structured Asset Investment Loan Trust (05-HE3-M1) |
| |||||||||||
0.87% (1 mo. USD | 09/25/35 | 59,421 | 59,125 | |||||||||
|
| |||||||||||
Total Residential Mortgage-Backed Securities — |
| |||||||||||
(Cost: $520,278) | 539,646 | |||||||||||
|
| |||||||||||
CORPORATE BONDS — 18.6% | ||||||||||||
Aerospace & Defense — 0.4% | ||||||||||||
BAE Systems Holdings, Inc. |
| |||||||||||
2.85% (3) | 12/15/20 | 15,000 | 15,028 | |||||||||
L3Harris Technologies, Inc. |
| |||||||||||
4.95% | 02/15/21 | 15,000 | 15,047 | |||||||||
|
| |||||||||||
30,075 | ||||||||||||
|
| |||||||||||
Auto Manufacturers — 1.3% | ||||||||||||
Daimler Finance North America LLC |
| |||||||||||
2.20% (3) | 10/30/21 | 25,000 | 25,418 | |||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
1.04% (3 mo. USD | 04/05/21 | 25,000 | 24,808 | |||||||||
1.30% (3 mo. USD | 08/03/22 | 5,000 | 4,822 | |||||||||
3.22% | 01/09/22 | 5,000 | 4,981 | |||||||||
General Motors Financial Co., Inc. |
| |||||||||||
2.45% | 11/06/20 | 35,000 | 35,002 | |||||||||
4.20% | 11/06/21 | 5,000 | 5,158 | |||||||||
|
| |||||||||||
100,189 | ||||||||||||
|
| |||||||||||
Banks — 4.3% | ||||||||||||
Bank of America Corp. |
| |||||||||||
2.74% (3 mo. USD | 01/23/22 | 25,000 | 25,132 | |||||||||
Citigroup, Inc. |
| |||||||||||
2.90% | 12/08/21 | 25,000 | 25,628 | |||||||||
3.35% (3 mo. USD | 04/24/25 | 30,000 | 32,422 |
See accompanying Notes to Financial Statements.
65
Table of Contents
TCW Short Term Bond Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATE BONDS (Continued) | ||||||||||||
Banks (Continued) | ||||||||||||
HSBC Holdings PLC |
| |||||||||||
3.95% (3 mo. USD | 05/18/24 | $ | 35,000 | $ | 37,653 | |||||||
Lloyds Banking Group PLC (United Kingdom) |
| |||||||||||
2.91% (3 mo. USD | 11/07/23 | 15,000 | 15,617 | |||||||||
3.87% (1-year Treasury Constant Maturity Rate + 3.500%) (2) | 07/09/25 | 55,000 | 60,042 | |||||||||
3.90% | 03/12/24 | 10,000 | 10,894 | |||||||||
Morgan Stanley |
| |||||||||||
5.50% | 07/28/21 | 25,000 | 25,949 | |||||||||
Santander UK Group Holdings PLC (United Kingdom) |
| |||||||||||
3.13% | 01/08/21 | 30,000 | 30,148 | |||||||||
3.57% | 01/10/23 | 10,000 | 10,313 | |||||||||
Wells Fargo & Co. |
| |||||||||||
3.75% | 01/24/24 | 15,000 | 16,302 | |||||||||
Wells Fargo Bank N.A. |
| |||||||||||
2.08% (3 mo. USD | 09/09/22 | 40,000 | 40,568 | |||||||||
|
| |||||||||||
330,668 | ||||||||||||
|
| |||||||||||
Biotechnology — 0.6% | ||||||||||||
Gilead Sciences, Inc. |
| |||||||||||
0.74% (3 mo. USD | 09/29/23 | 25,000 | 25,044 | |||||||||
Royalty Pharma PLC |
| |||||||||||
0.75% (3) | 09/02/23 | 20,000 | 20,006 | |||||||||
|
| |||||||||||
45,050 | ||||||||||||
|
| |||||||||||
Chemicals — 0.1% | ||||||||||||
Nutrition & Biosciences, Inc. |
| |||||||||||
0.70% (3) | 09/15/22 | 10,000 | 10,031 | |||||||||
|
| |||||||||||
Commercial Services — 0.3% | ||||||||||||
IHS Markit, Ltd. |
| |||||||||||
5.00% (3) | 11/01/22 | 25,000 | 26,796 | |||||||||
|
| |||||||||||
Diversified Financial Services — 1.4% | ||||||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust |
| |||||||||||
4.88% | 01/16/24 | 10,000 | 10,510 | |||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Ireland) |
| |||||||||||
3.95% | 02/01/22 | 10,000 | 10,171 | |||||||||
Air Lease Corp. |
| |||||||||||
3.50% | 01/15/22 | 30,000 | 30,705 | |||||||||
Avolon Holdings Funding, Ltd. |
| |||||||||||
3.63% (3) | 05/01/22 | 10,000 | 10,027 | |||||||||
Intercontinental Exchange, Inc. |
| |||||||||||
0.90% (3 mo. USD | 06/15/23 | 30,000 | 30,120 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATE BONDS (Continued) | ||||||||||||
Diversified Financial Services (Continued) | ||||||||||||
Park Aerospace Holdings, Ltd. |
| |||||||||||
3.63% (3) | 03/15/21 | $ | 10,000 | $ | 10,001 | |||||||
4.50% (3) | 03/15/23 | 5,000 | 5,060 | |||||||||
|
| |||||||||||
106,594 | ||||||||||||
|
| |||||||||||
Electric — 0.4% | ||||||||||||
Dominion Energy, Inc. |
| |||||||||||
3.30% | 03/15/25 | 25,000 | 27,499 | |||||||||
|
| |||||||||||
Food — 0.7% | ||||||||||||
Kraft Heinz Foods Co. |
| |||||||||||
3.95% | 07/15/25 | 5,000 | 5,410 | |||||||||
4.00% | 06/15/23 | 35,000 | 37,477 | |||||||||
Smithfield Foods, Inc. |
| |||||||||||
3.35% (3) | 02/01/22 | 10,000 | 10,196 | |||||||||
|
| |||||||||||
53,083 | ||||||||||||
|
| |||||||||||
Healthcare-Products — 0.2% | ||||||||||||
Zimmer Biomet Holdings, Inc. |
| |||||||||||
0.98% (3 mo. USD | 03/19/21 | 15,000 | 15,002 | |||||||||
|
| |||||||||||
Healthcare-Services — 1.0% | ||||||||||||
Anthem, Inc. |
| |||||||||||
3.70% | 08/15/21 | 30,000 | 30,546 | |||||||||
Fresenius Medical Care US Finance II, Inc. |
| |||||||||||
5.88% (3) | 01/31/22 | 15,000 | 15,842 | |||||||||
Humana, Inc. |
| |||||||||||
2.50% | 12/15/20 | 15,000 | 15,035 | |||||||||
3.85% | 10/01/24 | 15,000 | 16,577 | |||||||||
|
| |||||||||||
78,000 | ||||||||||||
|
| |||||||||||
Insurance — 0.3% | ||||||||||||
Allstate Corp. (The) |
| |||||||||||
0.65% (3 mo. USD | 03/29/21 | 25,000 | 25,042 | |||||||||
|
| |||||||||||
Miscellaneous Manufacturers — 1.6% | ||||||||||||
General Electric Co. |
| |||||||||||
0.63% (3 mo. USD | 05/05/26 | 5,000 | 4,661 | |||||||||
1.24% (3 mo. USD | 04/15/23 | 75,000 | 74,594 | |||||||||
3.63% | 05/01/30 | 40,000 | 42,284 | |||||||||
|
| |||||||||||
121,539 | ||||||||||||
|
| |||||||||||
Oil & Gas — 0.5% | ||||||||||||
BP Capital Markets America, Inc. |
| |||||||||||
3.63% | 04/06/30 | 25,000 | 28,194 | |||||||||
Petroleos Mexicanos |
| |||||||||||
5.35% | 02/12/28 | 15,000 | 12,869 | |||||||||
|
| |||||||||||
41,063 | ||||||||||||
|
|
See accompanying Notes to Financial Statements.
66
Table of Contents
TCW Short Term Bond Fund
October 31, 2020 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATE BONDS (Continued) | ||||||||||||
Packaging & Containers — 0.3% | ||||||||||||
Bemis Co., Inc. |
| |||||||||||
4.50% | 10/15/21 | $ | 20,000 | $ | 20,544 | |||||||
|
| |||||||||||
Pharmaceuticals — 1.3% | ||||||||||||
Bausch Health Cos, Inc. (Canada) |
| |||||||||||
7.00% (3) | 03/15/24 | 15,000 | 15,559 | |||||||||
Bayer US Finance LLC |
| |||||||||||
2.20% (3) | 07/15/22 | 45,000 | 45,853 | |||||||||
Cigna Corp. |
| |||||||||||
0.90% (3 mo. USD | 09/17/21 | 15,000 | 15,003 | |||||||||
Upjohn, Inc. |
| |||||||||||
1.13% (3) | 06/22/22 | 25,000 | 25,239 | |||||||||
|
| |||||||||||
101,654 | ||||||||||||
|
| |||||||||||
REIT — 2.9% | ||||||||||||
American Campus Communities Operating Partnership LP |
| |||||||||||
3.75% | 04/15/23 | 30,000 | 31,636 | |||||||||
Camden Property Trust |
| |||||||||||
2.95% | 12/15/22 | 25,000 | 26,070 | |||||||||
CyrusOne LP / CyrusOne Finance Corp. |
| |||||||||||
2.90% | 11/15/24 | 20,000 | 21,258 | |||||||||
Essex Portfolio LP |
| |||||||||||
5.20% | 03/15/21 | 20,000 | 20,105 | |||||||||
GLP Capital LP / GLP Financing II, Inc. |
| |||||||||||
5.38% | 11/01/23 | 25,000 | 26,847 | |||||||||
Healthpeak Properties, Inc. |
| |||||||||||
4.25% | 11/15/23 | 10,000 | 10,974 | |||||||||
Highwoods Realty LP |
| |||||||||||
3.20% | 06/15/21 | 7,000 | 7,045 | |||||||||
Kilroy Realty LP |
| |||||||||||
3.45% | 12/15/24 | 5,000 | 5,308 | |||||||||
Kimco Realty Corp. |
| |||||||||||
3.40% | 11/01/22 | 20,000 | 21,045 | |||||||||
SL Green Operating Partnership LP |
| |||||||||||
1.26% (3 mo. USD | 08/16/21 | 40,000 | 39,696 | |||||||||
WEA Finance LLC |
| |||||||||||
3.15% (3) | 04/05/22 | 10,000 | 10,159 | |||||||||
|
| |||||||||||
220,143 | ||||||||||||
|
| |||||||||||
Savings & Loans — 0.3% | ||||||||||||
Nationwide Building Society (United Kingdom) |
| |||||||||||
3.62% (3 mo. USD | 04/26/23 | 20,000 | 20,794 | |||||||||
|
| |||||||||||
Telecommunications — 0.5% | ||||||||||||
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC |
| |||||||||||
3.36% (3) | 03/20/23 | 12,500 | 12,625 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATE BONDS (Continued) | ||||||||||||
Telecommunications (Continued) | ||||||||||||
T-Mobile USA, Inc. |
| |||||||||||
3.88% (3) | 04/15/30 | $ | 25,000 | $ | 28,115 | |||||||
|
| |||||||||||
40,740 | ||||||||||||
|
| |||||||||||
Trucking & Leasing — 0.2% | ||||||||||||
Aviation Capital Group LLC |
| |||||||||||
1.20% (3 mo. USD | 06/01/21 | 15,000 | 14,784 | |||||||||
|
| |||||||||||
Total Corporate Bonds |
| |||||||||||
(Cost: $1,381,611) | 1,429,290 | |||||||||||
|
| |||||||||||
MUNICIPAL BONDS — 0.8% | ||||||||||||
City and County of Denver Co. Airport System Revenue, Revenue Bond |
| |||||||||||
1.12% | 11/15/24 | 10,000 | 9,988 | |||||||||
New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bond |
| |||||||||||
2.31% | 11/01/26 | 25,000 | 26,301 | |||||||||
New York State Dormitory Authority, Revenue Bond |
| |||||||||||
4.00% | 03/15/32 | 20,000 | 22,283 | |||||||||
|
| |||||||||||
Total Municipal Bonds |
| |||||||||||
(Cost: $57,171) | 58,572 | |||||||||||
|
| |||||||||||
U.S. TREASURY SECURITIES — 13.9% | ||||||||||||
U.S. Treasury Floating Rate Note |
| |||||||||||
0.32% (3 mo. Treasury Money Market Yield + 0.220%) (2) | 07/31/21 | 620,000 | 621,040 | |||||||||
U.S. Treasury Note |
| |||||||||||
0.13% | 08/31/22 | 22,000 | 21,987 | |||||||||
0.13% | 09/30/22 | 105,000 | 104,943 | |||||||||
0.13% | 10/31/22 | 143,000 | 142,922 | |||||||||
0.13% | 08/15/23 | 119,000 | 118,795 | |||||||||
0.25% | 09/30/25 | 26,000 | 25,844 | |||||||||
0.25% | 10/31/25 | 34,000 | 33,782 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $1,068,993) | 1,069,313 | |||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES — 0.4% (Cost: $40,770) | ||||||||||||
CoreVest American Finance Trust (19-1-XA) (I/O) |
| |||||||||||
2.16% (1)(3) | 03/15/52 | 486,841 | 35,269 | |||||||||
|
| |||||||||||
Total Fixed Income Securities | ||||||||||||
(Cost: $4,902,023) | 4,899,088 | |||||||||||
|
| |||||||||||
Shares | ||||||||||||
MONEY MARKET INVESTMENTS — 2.0% |
| |||||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class 0.03% (6) | 151,789 | 151,789 | ||||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $151,789) | 151,789 | |||||||||||
|
|
See accompanying Notes to Financial Statements.
67
Table of Contents
TCW Short Term Bond Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
SHORT TERM INVESTMENTS — 36.1% |
| |||||||||||
U.S. Treasury Securities — 36.1% | ||||||||||||
U.S. Cash Management Bill |
| |||||||||||
0.08% (7) | 02/23/21 | $ | 100,000 | $ | 99,974 | |||||||
0.08% (7) | 02/02/21 | 150,000 | 149,967 | |||||||||
0.07% (7) | 01/19/21 | 100,000 | 99,984 | |||||||||
0.13% (7) | 01/26/21 | 200,000 | 199,939 | |||||||||
U.S. Treasury Bill |
| |||||||||||
0.09% (7) | 01/28/21 | 550,000 | 549,877 | |||||||||
0.10% (7) | 02/25/21 | 1,250,000 | 1,249,601 | |||||||||
0.09% (7) | 01/14/21 | 350,000 | 349,938 | |||||||||
0.09% (7) | 01/21/21 | 80,000 | 79,984 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $2,779,379) | 2,779,264 | |||||||||||
|
| |||||||||||
Total Short Term Investments | ||||||||||||
(Cost: $2,779,379) | 2,779,264 | |||||||||||
|
| |||||||||||
Total Investments (101.7%) |
| |||||||||||
(Cost: $7,833,191) | 7,830,141 | |||||||||||
Liabilities In Excess Of Other Assets (-1.7%) |
| (132,094 | ) | |||||||||
|
| |||||||||||
Net Assets (100.0%) | $ | 7,698,047 | ||||||||||
|
|
Futures Contracts | ||||||||||||||||||
Number of Contracts | Type | Expiration Date | Notional | Value | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Short Futures |
| |||||||||||||||||
1 | 10-Year U.S. Ultra Treasury Note Futures | 12/21/20 | $ | (158,404 | ) | $ | (157,281 | ) | $ | 1,123 | ||||||||
7 | 5-Year U.S. Treasury Note Futures | 12/31/20 | (880,290 | ) | (879,211 | ) | 1,079 | |||||||||||
|
|
|
|
|
| |||||||||||||
$ | (1,038,694 | ) | $ | (1,036,492 | ) | $ | 2,202 | |||||||||||
|
|
|
|
|
|
Notes to the Schedule of Investments:
ABS | Asset-Backed Securities. |
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 October 31, 2020. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only to qualified institutional buyers. At October 31, 2020, the value of these securities amounted to $481,661 or 6.3% of net assets. These securities are determined to be liquid by the Fund’s investment advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(4) | Restricted security (Note 11). |
(5) | The maturity date of the security has been extended past the date disclosed. The new maturity date is not known as of October 31, 2020. |
(6) | Rate disclosed is the 7-day net yield as of October 31, 2020. |
(7) | Rate shown represents yield-to-maturity. |
See accompanying Notes to Financial Statements.
68
Table of Contents
TCW Short Term Bond Fund
Investments by Sector | October 31, 2020 |
Sector | Percentage of Net Assets | |||
U.S. Treasury Securities | 50.0 | % | ||
Corporate Bonds | 18.6 | |||
Residential Mortgage-Backed Securities — Agency | 8.8 | |||
Commercial Mortgage-Backed Securities — Agency | 8.2 | |||
Residential Mortgage-Backed Securities — Non-Agency | 7.0 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 5.9 | |||
Money Market Investments | 2.0 | |||
Municipal Bonds | 0.8 | |||
Asset-Backed Securities | 0.4 | |||
Other* | (1.7 | ) | ||
|
| |||
Total | 100.0 | % | ||
|
|
* | Includes futures, pending trades, interest receivable and accrued expenses payable. |
See accompanying Notes to Financial Statements.
69
Table of Contents
TCW Short Term Bond Fund
Fair Valuation Summary | October 31, 2020 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 2020 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 | $ | — | $ | 634,585 | $ | — | $ | 634,585 | ||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 456,336 | — | 456,336 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 676,077 | — | 676,077 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 539,646 | — | 539,646 | ||||||||||||
Corporate Bonds* | — | 1,429,290 | — | 1,429,290 | ||||||||||||
Municipal Bonds | — | 58,572 | — | 58,572 | ||||||||||||
U.S. Treasury Securities | 1,069,313 | — | — | 1,069,313 | ||||||||||||
Asset-Backed Securities | — | 35,269 | — | 35,269 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | 1,069,313 | 3,829,775 | — | 4,899,088 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 151,789 | — | — | 151,789 | ||||||||||||
Short-Term Investments | 2,779,264 | — | — | 2,779,264 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 4,000,366 | $ | 3,829,775 | $ | — | $ | 7,830,141 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | 2,202 | — | — | 2,202 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 4,002,568 | $ | 3,829,775 | $ | — | $ | 7,832,343 | ||||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
See accompanying Notes to Financial Statements.
70
Table of Contents
Schedule of Investments | October 31, 2020 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 91.5% of Net Assets |
| |||||||||||
ASSET-BACKED SECURITIES — 1.9% | ||||||||||||
321 Henderson Receivables I LLC (13-3A-A) |
| |||||||||||
4.08% (1) | 01/17/73 | $ | 6,572,168 | $ | 7,505,644 | |||||||
Barings CLO, Ltd. (18-3A-A1) |
| |||||||||||
1.17% (3 mo. USD LIBOR + 0.950%) (1)(2) | 07/20/29 | 9,500,000 | 9,391,700 | |||||||||
CoreVest American Finance Trust (20-1-A2) |
| |||||||||||
2.30% (1) | 03/15/50 | 22,735,000 | 22,699,215 | |||||||||
CoreVest American Finance Trust (20-1-XA) (I/O) |
| |||||||||||
2.86% (1)(3) | 03/15/50 | 62,317,114 | 7,310,907 | |||||||||
CoreVest American Finance Trust (20-1-XB) (I/O) |
| |||||||||||
2.23% (1)(3) | 03/15/50 | 38,948,500 | 5,111,533 | |||||||||
EFS Volunteer No 2 LLC (12-1-A2) |
| |||||||||||
1.50% (1 mo. USD LIBOR + 1.350%) (1)(2) | 03/25/36 | 6,024,213 | 6,088,679 | |||||||||
EFS Volunteer No 3 LLC (12-1-A3) |
| |||||||||||
1.15% (1 mo. USD LIBOR + 1.000%) (1)(2) | 04/25/33 | 12,993,560 | 12,964,861 | |||||||||
Global SC Finance SRL (14-1A-A2) |
| |||||||||||
3.09% (1) | 07/17/29 | 6,136,875 | 6,207,543 | |||||||||
Higher Education Funding I (14-1-A) |
| |||||||||||
1.30% (3 mo. USD LIBOR + 1.050%) (1)(2) | 05/25/34 | 14,635 | 14,691 | |||||||||
Navient Student Loan Trust (14-3-A) |
| |||||||||||
0.77% (1 mo. USD LIBOR + 0.620%) (2) | 03/25/83 | 22,289,755 | 21,628,783 | |||||||||
Navient Student Loan Trust (14-4-A) |
| |||||||||||
0.77% (1 mo. USD LIBOR + 0.620%) (2) | 03/25/83 | 12,264,993 | 11,875,048 | |||||||||
Navient Student Loan Trust (16-5A-A) |
| |||||||||||
1.40% (1 mo. USD LIBOR + 1.250%) (1)(2) | 06/25/65 | 15,010,244 | 15,108,381 | |||||||||
Palmer Square Loan Funding Ltd. (20-2A-A2) |
| |||||||||||
1.77% (3 mo. USD LIBOR + 1.550%) (1)(2) | 04/20/28 | 7,750,000 | 7,624,078 | |||||||||
Rockford Tower CLO, Ltd. (18-1A-A) |
| |||||||||||
1.35% (1 X 3 mo. USD LIBOR + 1.100%) (1)(2) | 05/20/31 | 4,750,000 | 4,683,262 | |||||||||
SLM Student Loan Trust (08-5-A4) |
| |||||||||||
1.91% (3 mo. USD LIBOR + 1.700%) (2) | 07/25/23 | 2,027,348 | 2,012,618 | |||||||||
SLM Student Loan Trust (08-8-B) |
| |||||||||||
2.46% (3 mo. USD LIBOR + 2.250%) (2) | 10/25/75 | 5,706,000 | 5,583,195 | |||||||||
Voya CLO, Ltd. (14-3A-A1R) |
| |||||||||||
0.93% (3 mo. USD LIBOR + 0.720%) (1)(2) | 07/25/26 | 667,735 | 664,888 | |||||||||
|
| |||||||||||
Total Asset-backed Securities |
| |||||||||||
(Cost: $148,794,723) |
| 146,475,026 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY — 4.4% | ||||||||||||
Fannie Mae (20-M10-X1) (I/O) |
| |||||||||||
1.80% (3) | 12/25/30 | $ | 14,250,632 | $ | 1,954,975 | |||||||
Fannie Mae (20-M10-X8) (I/O) |
| |||||||||||
0.72% (3) | 12/25/27 | 13,985,000 | 535,866 | |||||||||
Fannie Mae, Pool #AN4130 |
| |||||||||||
3.44% | 01/01/37 | 9,624,866 | 11,201,466 | |||||||||
Fannie Mae, Pool #AN7345 |
| |||||||||||
3.21% | 11/01/37 | 10,537,453 | 11,990,338 | |||||||||
Fannie Mae, Pool #AN9040 |
| |||||||||||
3.50% | 04/01/30 | 7,373,000 | 8,589,002 | |||||||||
Fannie Mae, Pool #AN9453 |
| |||||||||||
3.58% | 06/01/30 | 7,220,000 | 8,371,770 | |||||||||
Fannie Mae, Pool #BL0900 |
| |||||||||||
4.08% | 02/01/34 | 17,655,000 | 21,922,318 | |||||||||
Fannie Mae, Pool #BL1414 |
| |||||||||||
3.96% | 01/01/34 | 22,510,000 | 27,208,571 | |||||||||
Fannie Mae, Pool #BL2643 |
| |||||||||||
3.39% | 07/01/34 | 23,620,500 | 27,207,950 | |||||||||
Fannie Mae, Pool #BL5199 |
| |||||||||||
2.51% | 02/01/35 | 27,525,000 | 29,398,825 | |||||||||
Fannie Mae, Pool #BL6137 |
| |||||||||||
2.16% | 03/01/32 | 29,240,000 | 30,762,182 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (K-1510-A3) |
| |||||||||||
3.79% | 01/25/34 | 31,000,000 | 38,306,768 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (K-1511-A3) |
| |||||||||||
3.54% | 03/25/34 | 25,340,000 | 30,377,054 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (K-1513-A3) |
| |||||||||||
2.80% | 08/25/34 | 12,850,000 | 14,365,010 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (K038-X3) (I/O) |
| |||||||||||
2.49% (3) | 06/25/42 | 78,039,937 | 6,017,578 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (K040-X3) (I/O) |
| |||||||||||
2.04% (3) | 11/25/42 | 77,991,835 | 5,589,967 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (K042-X3) (I/O) |
| |||||||||||
1.60% (3) | 01/25/43 | 76,625,000 | 4,539,928 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (K045-X3) (I/O) |
| |||||||||||
1.50% (3) | 04/25/43 | 126,630,757 | 7,455,519 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (K046-X3) (I/O) |
| |||||||||||
1.51% (3) | 04/25/43 | 94,964,072 | 5,614,428 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (K158-A2) |
| |||||||||||
3.90% (3) | 12/25/30 | 31,000,000 | 37,841,455 |
See accompanying Notes to Financial Statements.
71
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TCW Total Return Bond Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (K159-A3) |
| |||||||||||
3.95% (3) | 11/25/33 | $ | 955,000 | $ | 1,181,633 | |||||||
|
| |||||||||||
Total Commercial Mortgage-Backed |
| |||||||||||
(Cost: $316,445,682) |
| 330,432,603 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 4.8% | ||||||||||||
1345 Avenue of the Americas & Park Avenue Plaza Trust (05-1-A3) |
| |||||||||||
5.28% (1) | 08/10/35 | 14,865,961 | 15,803,834 | |||||||||
Arbor Multifamily Mortgage Securities Trust (20-MF1-A5) |
| |||||||||||
2.76% (1) | 05/15/53 | 12,250,000 | 13,279,959 | |||||||||
BAMLL Commercial Mortgage Securities Trust (20-BOC-A) |
| |||||||||||
2.63% (1) | 01/15/32 | 14,275,000 | 14,881,682 | |||||||||
BANK (18-BN13-A5) |
| |||||||||||
4.22% (3) | 08/15/61 | 7,000,000 | 8,233,816 | |||||||||
BANK (19-BN20-A2) |
| |||||||||||
2.76% | 09/15/62 | 14,450,000 | 15,625,586 | |||||||||
BANK (19-BN21-A4) |
| |||||||||||
2.60% | 10/17/52 | 11,610,000 | 12,418,752 | |||||||||
BANK (19-BN21-A5) |
| |||||||||||
2.85% | 10/17/52 | 13,365,000 | 14,627,388 | |||||||||
BBCMS Mortgage Trust (20-C6-A4) |
| |||||||||||
2.64% | 02/15/53 | 25,990,000 | 28,095,237 | |||||||||
Benchmark Mortgage Trust (18-B8-A5) |
| |||||||||||
4.23% | 01/15/52 | 13,510,000 | 16,012,165 | |||||||||
Benchmark Mortgage Trust (19-B10-3CCB) |
| |||||||||||
3.90% (1)(3) | 03/15/62 | 3,525,000 | 3,178,239 | |||||||||
BX Trust (19-OC11-A) |
| |||||||||||
3.20% (1) | 12/09/41 | 8,270,000 | 8,648,509 | |||||||||
Citigroup Commercial Mortgage Trust (19-C7-A4) |
| |||||||||||
3.10% | 12/15/72 | 3,840,000 | 4,284,077 | |||||||||
CPT Mortgage Trust (19-CPT-A) |
| |||||||||||
2.87% (1) | 11/13/39 | 12,500,000 | 13,541,316 | |||||||||
CSAIL Commercial Mortgage Trust (18-CX11-A3) |
| |||||||||||
4.09% | 04/15/51 | 8,470,000 | 9,431,093 | |||||||||
CSAIL Commercial Mortgage Trust (20-C19-ASB) |
| |||||||||||
2.55% | 03/15/53 | 31,288,000 | 33,598,082 | |||||||||
DBGS BIOD Mortgage Trust (18-C1-A4) |
| |||||||||||
4.47% | 10/15/51 | 8,000,000 | 9,547,928 | |||||||||
DBRR Trust (11-LC2-A4A) |
| |||||||||||
4.54% (1)(3) | 07/12/44 | 8,996,782 | 9,051,155 | |||||||||
DBWF Mortgage Trust (16-85T-A) |
| |||||||||||
3.79% (1) | 12/10/36 | 6,385,000 | 7,111,390 | |||||||||
DC Office Trust (19-MTC-A) |
| |||||||||||
2.97% (1) | 09/15/45 | 5,750,000 | 6,274,211 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
GS Mortgage Securities Trust (20-GC47-A5) |
| |||||||||||
2.38% | 05/12/53 | $ | 13,305,000 | $ | 14,079,541 | |||||||
Hudson Yards Mortgage Trust (19-55HY-A) |
| |||||||||||
2.94% (1)(3) | 12/10/41 | 5,750,000 | 6,289,142 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust (19-OSB-A) |
| |||||||||||
3.40% (1) | 06/05/39 | 13,765,000 | 15,663,359 | |||||||||
MFT Trust (20-ABC-D) |
| |||||||||||
3.48% (1)(3) | 02/10/42 | 3,245,000 | 2,867,048 | |||||||||
Morgan Stanley Capital I Trust (19-L2-A3) |
| |||||||||||
3.81% | 03/15/52 | 6,865,000 | 7,846,522 | |||||||||
Morgan Stanley Capital I Trust (19-L2-A4) |
| |||||||||||
4.07% | 03/15/52 | 8,675,000 | 10,200,273 | |||||||||
Morgan Stanley Capital I Trust (20-CNP-A) |
| |||||||||||
2.51% (1)(3) | 04/05/42 | 18,000,000 | 18,636,035 | |||||||||
One Bryant Park Trust (19-OBP-A) |
| |||||||||||
2.52% (1) | 09/15/54 | 16,825,000 | 17,843,338 | |||||||||
SFAVE Commercial Mortgage Securities Trust (15-5AVE-A2B) |
| |||||||||||
4.14% (1)(3) | 01/05/43 | 340,000 | 329,707 | |||||||||
Wells Fargo Commercial Mortgage Trust (19-C51-A4) |
| |||||||||||
3.31% | 06/15/52 | 12,725,000 | 14,321,143 | |||||||||
Wells Fargo Re-REMIC Trust (11-RR1-1B) |
| |||||||||||
4.85% (1)(3) | 09/17/47 | 13,695,498 | 13,714,244 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — Non-Agency |
| |||||||||||
(Cost: $354,646,162) |
| 365,434,771 | ||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY — 52.0% | ||||||||||||
Fannie Mae, Pool #FM2318 |
| |||||||||||
3.50% | 09/01/49 | 62,251,793 | 67,638,709 | |||||||||
Fannie Mae, Pool #MA3811 |
| |||||||||||
3.00% | 10/01/49 | 15,682,197 | 16,090,827 | |||||||||
Fannie Mae, Pool #MA4152 |
| |||||||||||
2.00% | 10/01/40 | 71,333,427 | 73,748,024 | |||||||||
Fannie Mae |
| |||||||||||
0.45% | 06/25/48 | 39,474,263 | 39,635,480 | |||||||||
Fannie Mae , Pool #BM5979 |
| |||||||||||
3.50% | 09/01/45 | 12,884,857 | 13,976,865 | |||||||||
Fannie Mae , Pool #FM2342 |
| |||||||||||
3.50% | 12/01/46 | 7,252,299 | 7,871,473 | |||||||||
Fannie Mae , Pool #MA3971 |
| |||||||||||
3.00% | 03/01/50 | 8,591,091 | 8,841,824 | |||||||||
Fannie Mae (01-40-Z) |
| |||||||||||
6.00% | 08/25/31 | 144,775 | 163,861 | |||||||||
Fannie Mae (03-117-TG) (PAC) |
| |||||||||||
4.75% | 08/25/33 | 251,958 | 269,864 | |||||||||
Fannie Mae (04-52-SW) (I/O) (I/F) |
| |||||||||||
6.95% (-1 x 1 mo. USD LIBOR + 7.100%) (2) | 07/25/34 | 492,337 | 72,996 |
See accompanying Notes to Financial Statements.
72
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TCW Total Return Bond Fund
October 31, 2020 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae (04-65-LT) |
| |||||||||||
4.50% | 08/25/24 | $ | 601,638 | $ | 629,167 | |||||||
Fannie Mae (04-68-LC) |
| |||||||||||
5.00% | 09/25/29 | 1,080,980 | 1,203,093 | |||||||||
Fannie Mae (05-117-LC) (PAC) |
| |||||||||||
5.50% | 11/25/35 | 2,152,468 | 2,288,058 | |||||||||
Fannie Mae (05-74-CP) (I/F) (PAC) |
| |||||||||||
24.20% (-1 x 1 mo. USD LIBOR + 24.750%) (2) | 05/25/35 | 147,190 | 204,359 | |||||||||
Fannie Mae (07-103-AI) (I/O) (I/F) |
| |||||||||||
6.35% (-1 x 1 mo. USD LIBOR + 6.500%) (2) | 03/25/37 | 3,409,478 | 580,700 | |||||||||
Fannie Mae (07-20-SI) (I/O) (I/F) |
| |||||||||||
6.30% (-1 x 1 mo. USD LIBOR + 6.450%) (2) | 03/25/37 | 910,908 | 155,201 | |||||||||
Fannie Mae (07-21-SE) (I/O) (I/F) |
| |||||||||||
6.29% (-1 x 1 mo. USD LIBOR + 6.440%) (2) | 03/25/37 | 725,503 | 111,535 | |||||||||
Fannie Mae (07-56-SG) (I/O) (I/F) |
| |||||||||||
6.26% (-1 x 1 mo. USD LIBOR + 6.410%) (2) | 06/25/37 | 898,730 | 107,559 | |||||||||
Fannie Mae (07-58-SV) (I/O) (I/F) |
| |||||||||||
6.60% (-1 x 1 mo. USD LIBOR + 6.750%) (2) | 06/25/37 | 3,958,137 | 639,415 | |||||||||
Fannie Mae (07-65-S) (I/O) (I/F) |
| |||||||||||
6.45% (-1 x 1 mo. USD LIBOR + 6.600%) (2) | 07/25/37 | 686,586 | 101,010 | |||||||||
Fannie Mae (07-88-FY) |
| |||||||||||
0.61% (-1 x 1 mo. USD LIBOR + 0.460%) (2) | 09/25/37 | 507,862 | 514,803 | |||||||||
Fannie Mae (07-B2-ZA) |
| |||||||||||
5.50% | 06/25/37 | 9,616,362 | 11,285,829 | |||||||||
Fannie Mae (08-1-AI) (I/O) (I/F) |
| |||||||||||
6.10% (-1 x 1 mo. USD LIBOR + 6.250%) (2) | 05/25/37 | 3,745,814 | 551,724 | |||||||||
Fannie Mae (08-13-SB) (I/O) (I/F) |
| |||||||||||
6.09% (-1 x 1 mo. USD LIBOR + 6.240%) (2) | 03/25/38 | 3,600,655 | 850,577 | |||||||||
Fannie Mae (08-23-SB) (I/O) (I/F) |
| |||||||||||
6.70% (-1 x 1 mo. USD LIBOR + 6.850%) (2) | 04/25/38 | 5,443,473 | 981,169 | |||||||||
Fannie Mae (08-35-SD) (I/O) (I/F) |
| |||||||||||
6.30% (-1 x 1 mo. USD LIBOR + 6.450%) (2) | 05/25/38 | 507,187 | 32,490 | |||||||||
Fannie Mae (08-66-SG) (I/O) (I/F) |
| |||||||||||
5.92% (-1 x 1 mo. USD LIBOR + 6.070%) (2) | 08/25/38 | 7,407,776 | 1,584,254 | |||||||||
Fannie Mae (08-68-SA) (I/O) (I/F) |
| |||||||||||
5.82% (-1 x 1 mo. USD LIBOR + 5.970%) (2) | 08/25/38 | 2,659,356 | 389,284 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae (09-3-SH) (I/O) (I/F) |
| |||||||||||
5.30% (-1 x 1 mo. USD LIBOR + 5.450%) (2) | 06/25/37 | $ | 1,016,419 | $ | 125,166 | |||||||
Fannie Mae (09-47-SV) (I/O) (I/F) |
| |||||||||||
6.60% (-1 x 1 mo. USD LIBOR + 6.750%) (2) | 07/25/39 | 714,685 | 88,712 | |||||||||
Fannie Mae (09-51-SA) (I/O) (I/F) |
| |||||||||||
6.60% (-1 x 1 mo. USD | 07/25/39 | 3,346,405 | 613,044 | |||||||||
Fannie Mae (09-6-SD) (I/O) (I/F) |
| |||||||||||
5.40% (-1 x 1 mo. USD | 02/25/39 | 997,212 | 171,702 | |||||||||
Fannie Mae (09-68-KB) |
| |||||||||||
4.00% | 09/25/24 | 2,361,186 | 2,475,152 | |||||||||
Fannie Mae (09-71-LB) |
| |||||||||||
4.00% | 09/25/29 | 8,666,406 | 9,283,033 | |||||||||
Fannie Mae (09-72-AC) |
| |||||||||||
4.00% | 09/25/29 | 11,134,626 | 12,096,412 | |||||||||
Fannie Mae (09-72-JS) (I/O) (I/F) |
| |||||||||||
7.10% (-1 x 1 mo. USD | 09/25/39 | 612,481 | 160,652 | |||||||||
Fannie Mae (10-136-CX) (PAC) |
| |||||||||||
4.00% | 08/25/39 | 20,937,000 | 21,902,187 | |||||||||
Fannie Mae (11-111-DB) |
| |||||||||||
4.00% | 11/25/41 | 18,116,896 | 20,094,371 | |||||||||
Fannie Mae (12-128-UY) (PAC) |
| |||||||||||
2.50% | 11/25/42 | 11,738,000 | 12,354,650 | |||||||||
Fannie Mae (12-133-GC) (PAC) |
| |||||||||||
2.50% | 08/25/41 | 17,527,836 | 18,140,773 | |||||||||
Fannie Mae (12-153-PC) (PAC) |
| |||||||||||
2.00% | 05/25/42 | 4,673,587 | 4,739,258 | |||||||||
Fannie Mae (13-101-BO) (P/O) |
| |||||||||||
0.00% (4) | 10/25/43 | 5,776,015 | 5,439,042 | |||||||||
Fannie Mae (13-101-CO) (P/O) |
| |||||||||||
0.00% (4) | 10/25/43 | 13,339,680 | 12,261,716 | |||||||||
Fannie Mae (13-21-EC) (I/O) |
| |||||||||||
2.00% | 12/25/38 | 4,852,116 | 4,881,341 | |||||||||
Fannie Mae (13-95-PN) (PAC) |
| |||||||||||
3.00% | 01/25/43 | 21,400,000 | 22,994,405 | |||||||||
Fannie Mae (16-106-EF) |
| |||||||||||
0.65% (1 mo. USD | 01/25/47 | 20,958,885 | 21,146,661 | |||||||||
Fannie Mae (16-63-AF) |
| |||||||||||
0.65% (1 mo. USD | 09/25/46 | 12,205,035 | 12,317,307 | |||||||||
Fannie Mae (18-25-FA) |
| |||||||||||
0.45% (1 mo. USD | 04/25/48 | 24,751,098 | 24,838,125 | |||||||||
Fannie Mae (18-52 PZ) (PAC) |
| |||||||||||
4.00% | 07/25/48 | 3,104,175 | 3,412,875 |
See accompanying Notes to Financial Statements.
73
Table of Contents
TCW Total Return Bond Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae (18-55 PA) (PAC) |
| |||||||||||
3.50% | 01/25/47 | $ | 10,652,109 | $ | 11,081,148 | |||||||
Fannie Mae (19-57) |
| |||||||||||
2.50% | 10/25/49 | 15,939,966 | 16,621,841 | |||||||||
Fannie Mae (20-10-FA) |
| |||||||||||
0.65% (1 mo. USD | 03/25/50 | 18,896,221 | 19,028,216 | |||||||||
Fannie Mae (20-12-FL) |
| |||||||||||
0.60% (1 mo. USD | 03/25/50 | 29,177,374 | 29,369,058 | |||||||||
Fannie Mae (93-202-SZ) (I/F) (PAC) |
| |||||||||||
10.00% (Prime+44.3) (2) | 11/25/23 | 24,019 | 26,072 | |||||||||
Fannie Mae (95-21-C) (P/O) |
| |||||||||||
0.00% (4) | 05/25/24 | 142,552 | 141,577 | |||||||||
Fannie Mae (G92-29-J) |
| |||||||||||
8.00% | 07/25/22 | 3,809 | 3,929 | |||||||||
Fannie Mae, Pool #254634 |
| |||||||||||
5.50% | 02/01/23 | 32,730 | 36,406 | |||||||||
Fannie Mae, Pool #257536 |
| |||||||||||
5.00% | 01/01/29 | 1,028,971 | 1,137,925 | |||||||||
Fannie Mae, Pool #310033 |
| |||||||||||
6.00% | 07/01/47 | 444,057 | 529,272 | |||||||||
Fannie Mae, Pool #555424 |
| |||||||||||
5.50% | 05/01/33 | 2,398,674 | 2,757,960 | |||||||||
Fannie Mae, Pool #661856 |
| |||||||||||
2.12% (12 mo. USD | 10/01/32 | 28,086 | 28,622 | |||||||||
Fannie Mae, Pool #671133 |
| |||||||||||
2.29% (6 mo. USD | 02/01/33 | 68,987 | 70,525 | |||||||||
Fannie Mae, Pool #687847 |
| |||||||||||
3.62% (12 mo. USD | 02/01/33 | 54,201 | 54,432 | |||||||||
Fannie Mae, Pool #692104 |
| |||||||||||
2.29% (6 mo. USD | 02/01/33 | 373,214 | 384,019 | |||||||||
Fannie Mae, Pool #699866 |
| |||||||||||
3.17% (12 mo. USD | 04/01/33 | 191,455 | 199,904 | |||||||||
Fannie Mae, Pool #704454 |
| |||||||||||
3.01% (12 mo. USD | 05/01/33 | 52,393 | 53,880 | |||||||||
Fannie Mae, Pool #728824 |
| |||||||||||
2.26% (12 mo. USD | 07/01/33 | 70,040 | 70,498 | |||||||||
Fannie Mae, Pool #734384 |
| |||||||||||
5.50% | 07/01/33 | 265,319 | 297,938 | |||||||||
Fannie Mae, Pool #888593 |
| |||||||||||
7.00% | 06/01/37 | 299,909 | 363,511 | |||||||||
Fannie Mae, Pool #934103 |
| |||||||||||
5.00% | 07/01/38 | 269,197 | 293,507 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae, Pool #979563 |
| |||||||||||
5.00% | 04/01/28 | $ | 577,846 | $ | 639,120 | |||||||
Fannie Mae, Pool #995040 |
| |||||||||||
5.00% | 06/01/23 | 156,347 | 164,999 | |||||||||
Fannie Mae, Pool #995425 |
| |||||||||||
6.00% | 01/01/24 | 687,989 | 719,798 | |||||||||
Fannie Mae, Pool #995573 |
| |||||||||||
6.00% | 01/01/49 | 1,258,384 | 1,362,658 | |||||||||
Fannie Mae, Pool #995953 |
| |||||||||||
6.00% | 11/01/28 | 2,660,956 | 2,964,604 | |||||||||
Fannie Mae, Pool #995954 |
| |||||||||||
6.00% | 03/01/29 | 1,526,616 | 1,701,457 | |||||||||
Fannie Mae, Pool #AA3303 |
| |||||||||||
5.50% | 06/01/38 | 2,387,816 | 2,863,324 | |||||||||
Fannie Mae, Pool #AB6210 |
| |||||||||||
3.00% | 09/01/42 | 26,599,874 | 28,933,065 | |||||||||
Fannie Mae, Pool #AE0588 |
| |||||||||||
6.00% | 08/01/37 | 5,161,091 | 6,101,648 | |||||||||
Fannie Mae, Pool #AL0851 |
| |||||||||||
6.00% | 10/01/40 | 3,549,062 | 4,206,949 | |||||||||
Fannie Mae, Pool #AL1594 |
| |||||||||||
6.00% | 07/01/40 | 2,712,304 | 3,206,755 | |||||||||
Fannie Mae, Pool #AL9106 |
| |||||||||||
4.50% | 02/01/46 | 18,506,151 | 20,631,597 | |||||||||
Fannie Mae, Pool #AS7241 |
| |||||||||||
3.50% | 05/01/46 | 12,946,157 | 14,095,955 | |||||||||
Fannie Mae, Pool #AS9454 |
| |||||||||||
4.00% | 04/01/47 | 3,297,188 | 3,542,719 | |||||||||
Fannie Mae, Pool #AS9749 |
| |||||||||||
4.00% | 06/01/47 | 9,451,107 | 10,154,902 | |||||||||
Fannie Mae, Pool #AS9830 |
| |||||||||||
4.00% | 06/01/47 | 10,199,456 | 10,946,298 | |||||||||
Fannie Mae, Pool #AS9972 |
| |||||||||||
4.00% | 07/01/47 | 9,617,403 | 10,314,170 | |||||||||
Fannie Mae, Pool #BN4316 |
| |||||||||||
4.00% | 01/01/49 | 311,497 | 336,574 | |||||||||
Fannie Mae, Pool #BN6264 |
| |||||||||||
4.00% | 04/01/49 | 7,170,625 | 7,774,072 | |||||||||
Fannie Mae, Pool #CA1540 |
| |||||||||||
4.00% | 04/01/48 | 25,497,983 | 28,021,834 | |||||||||
Fannie Mae, Pool #CA1710 |
| |||||||||||
4.50% | 05/01/48 | 16,109,047 | 17,467,035 | |||||||||
Fannie Mae, Pool #CA1711 |
| |||||||||||
4.50% | 05/01/48 | 15,105,211 | 16,378,576 | |||||||||
Fannie Mae, Pool #CA2208 |
| |||||||||||
4.50% | 08/01/48 | 16,569,202 | 17,917,550 | |||||||||
Fannie Mae, Pool #MA1561 |
| |||||||||||
3.00% | 09/01/33 | 31,027,206 | 32,956,710 |
See accompanying Notes to Financial Statements.
74
Table of Contents
TCW Total Return Bond Fund
October 31, 2020 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae, Pool #MA1584 |
| |||||||||||
3.50% | 09/01/33 | $ | 20,463,060 | $ | 22,104,007 | |||||||
Fannie Mae, Pool #MA2871 |
| |||||||||||
3.00% | 01/01/32 | 8,585,157 | 9,007,968 | |||||||||
Fannie Mae, Pool #MA2995 |
| |||||||||||
4.00% | 05/01/47 | 9,636,701 | 10,376,575 | |||||||||
Fannie Mae, Pool #MA3248 |
| |||||||||||
3.50% | 01/01/33 | 9,877,646 | 10,489,550 | |||||||||
Fannie Mae, Pool #MA3313 |
| |||||||||||
3.50% | 03/01/33 | 2,363,830 | 2,498,534 | |||||||||
Fannie Mae, Pool #MA3340 |
| |||||||||||
3.50% | 04/01/33 | 19,844,102 | 21,023,361 | |||||||||
Fannie Mae, Pool #MA3427 |
| |||||||||||
4.00% | 07/01/33 | 16,247,805 | 17,239,132 | |||||||||
Freddie Mac (4896-DA) |
| |||||||||||
3.00% | 01/15/49 | 4,826,105 | 5,013,356 | |||||||||
Freddie Mac (4648-FA) |
| |||||||||||
0.65% (1 mo. USD | 01/15/47 | 12,982,791 | 13,119,093 | |||||||||
Freddie Mac (4929-FB) |
| |||||||||||
0.60% (1 mo. USD | 09/25/49 | 21,529,963 | 21,651,052 | |||||||||
Freddie Mac (4959-JF) |
| |||||||||||
0.60% (1 mo. USD | 03/25/50 | 30,563,094 | 30,773,662 | |||||||||
Freddie Mac , Pool #ZS4755 |
| |||||||||||
3.50% | 02/01/48 | 4,086,777 | 4,335,268 | |||||||||
Freddie Mac (1829-ZB) |
| |||||||||||
6.50% | 03/15/26 | 48,874 | 52,244 | |||||||||
Freddie Mac (2367-ZK) |
| |||||||||||
6.00% | 10/15/31 | 104,566 | 119,148 | |||||||||
Freddie Mac (2514-PZ) (PAC) |
| |||||||||||
5.50% | 10/15/32 | 1,530,771 | 1,734,026 | |||||||||
Freddie Mac (2571-PZ) (PAC) |
| |||||||||||
5.50% | 02/15/33 | 3,588,077 | 4,061,446 | |||||||||
Freddie Mac (2642-AR) |
| |||||||||||
4.50% | 07/15/23 | 194,646 | 202,689 | |||||||||
Freddie Mac (2647-OV) (P/O) |
| |||||||||||
0.00% (4) | 07/15/33 | 604,092 | 539,699 | |||||||||
Freddie Mac (2662-MT) (TAC) |
| |||||||||||
4.50% | 08/15/33 | 1,504,869 | 1,620,091 | |||||||||
Freddie Mac (2666-BD) |
| |||||||||||
4.50% | 08/15/23 | 432,367 | 450,649 | |||||||||
Freddie Mac (2700-B) |
| |||||||||||
4.50% | 11/15/23 | 738,347 | 765,777 | |||||||||
Freddie Mac (2752-GZ) (PAC) |
| |||||||||||
5.00% | 02/15/34 | 15,129,772 | 16,937,742 | |||||||||
Freddie Mac (277-30) |
| |||||||||||
3.00% | 09/15/42 | 20,866,714 | 22,305,852 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac (2882-JH) (PAC) |
| |||||||||||
4.50% | 10/15/34 | $ | 41,377 | $ | 41,735 | |||||||
Freddie Mac (2903-PO) (P/O) |
| |||||||||||
0.00% (4) | 11/15/23 | 136,841 | 134,754 | |||||||||
Freddie Mac (3045-HZ) |
| |||||||||||
4.50% | 10/15/35 | 1,304,011 | 1,392,678 | |||||||||
Freddie Mac (3063-YG) (PAC) |
| |||||||||||
5.50% | 11/15/35 | 17,349,687 | 20,154,708 | |||||||||
Freddie Mac (3114-KZ) |
| |||||||||||
5.00% | 02/15/36 | 12,483,797 | 14,373,941 | |||||||||
Freddie Mac (3146-GE) |
| |||||||||||
5.50% | 04/15/26 | 2,919,822 | 3,179,295 | |||||||||
Freddie Mac (3149-OD) (P/O) (PAC) |
| |||||||||||
0.00% (4) | 05/15/36 | 3,888,381 | 3,690,879 | |||||||||
Freddie Mac (3315-S) (I/O) (I/F) |
| |||||||||||
6.26% (-1 x 1 mo. USD | 05/15/37 | 1,009,734 | 162,878 | |||||||||
Freddie Mac (3376-SX) (I/O) (I/F) |
| |||||||||||
5.89% (-1 x 1 mo. USD | 10/15/37 | 2,345,675 | 434,406 | |||||||||
Freddie Mac (3410-IS) (I/O) (I/F) |
| |||||||||||
6.12% (-1 x 1 mo. USD | 02/15/38 | 3,123,886 | 553,740 | |||||||||
Freddie Mac (3424-BI) (I/O) (I/F) |
| |||||||||||
6.65% (-1 x 1 mo. USD | 04/15/38 | 3,499,087 | 917,653 | |||||||||
Freddie Mac (3512-AY) |
| |||||||||||
4.00% | 02/15/24 | 11,109 | 11,145 | |||||||||
Freddie Mac (3519-SH) (I/O) (I/F) |
| |||||||||||
5.35% (-1 x 1 mo. USD | 07/15/37 | 330,218 | 39,773 | |||||||||
Freddie Mac (3531-SC) (I/O) (I/F) |
| |||||||||||
6.15% (-1 x 1 mo. USD | 05/15/39 | 4,843,470 | 443,036 | |||||||||
Freddie Mac (3541-SA) (I/O) (I/F) |
| |||||||||||
6.60% (-1 x 1 mo. USD | 06/15/39 | 1,434,707 | 376,819 | |||||||||
Freddie Mac (3550-GS) (I/O) (I/F) |
| |||||||||||
6.60% (-1 x 1 mo. USD | 07/15/39 | 4,657,268 | 1,166,139 | |||||||||
Freddie Mac (3551-VZ) |
| |||||||||||
5.50% | 12/15/32 | 2,000,064 | 2,299,312 | |||||||||
Freddie Mac (3557-KB) |
| |||||||||||
4.50% | 07/15/29 | 3,912,841 | 4,176,929 | |||||||||
Freddie Mac (3557-NB) |
| |||||||||||
4.50% | 07/15/29 | 8,984,714 | 9,703,800 | |||||||||
Freddie Mac (3558-KB) |
| |||||||||||
4.00% | 08/15/29 | 4,463,329 | 4,774,238 | |||||||||
Freddie Mac (3565-XB) |
| |||||||||||
4.00% | 08/15/24 | 4,593,170 | 4,780,136 |
See accompanying Notes to Financial Statements.
75
Table of Contents
TCW Total Return Bond Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac (3575-D) |
| |||||||||||
4.50% | 03/15/37 | $ | 632,901 | $ | 706,959 | |||||||
Freddie Mac (3626-MD) (PAC) |
| |||||||||||
5.00% | 01/15/38 | 7,568,362 | 7,744,120 | |||||||||
Freddie Mac (3719-PJ) (PAC) |
| |||||||||||
4.50% | 09/15/40 | 20,025,406 | 22,788,620 | |||||||||
Freddie Mac (3788-SB) (I/O) (I/F) |
| |||||||||||
6.33% (-1 x 1 mo. USD | 01/15/41 | 6,615,268 | 1,613,453 | |||||||||
Freddie Mac (3885-PO) (P/O) (PAC) |
| |||||||||||
0.00% (4) | 11/15/33 | 1,569,660 | 1,493,523 | |||||||||
Freddie Mac (3930-KE) (PAC) |
| |||||||||||
4.00% | 09/15/41 | 10,470,000 | 11,970,850 | |||||||||
Freddie Mac (4030-HS) (I/O) (I/F) |
| |||||||||||
6.46% (-1 x 1 mo. USD | 04/15/42 | 2,728,618 | 565,043 | |||||||||
Freddie Mac (4604-PB) (PAC) |
| |||||||||||
3.00% | 01/15/46 | 2,201,517 | 2,353,709 | |||||||||
Freddie Mac (4846-PA) |
| |||||||||||
4.00% | 06/15/47 | 5,677,895 | 5,972,639 | |||||||||
Freddie Mac (R002-ZA) |
| |||||||||||
5.50% | 06/15/35 | 3,418,076 | 3,974,534 | |||||||||
Freddie Mac, Pool #A91162 |
| |||||||||||
5.00% | 02/01/40 | 16,049,608 | 18,677,635 | |||||||||
Freddie Mac, Pool #A92195 |
| |||||||||||
5.00% | 05/01/40 | 4,791,525 | 5,539,043 | |||||||||
Freddie Mac, Pool #C90552 |
| |||||||||||
6.00% | 06/01/22 | 8,824 | 9,831 | |||||||||
Freddie Mac, Pool #G01959 |
| |||||||||||
5.00% | 12/01/35 | 91,634 | 105,736 | |||||||||
Freddie Mac, Pool #G06173 |
| |||||||||||
4.00% | 11/01/40 | 20,029,840 | 22,823,591 | |||||||||
Freddie Mac, Pool #G07556 |
| |||||||||||
4.00% | 11/01/43 | 6,041,236 | 6,914,321 | |||||||||
Freddie Mac, Pool #G07786 |
| |||||||||||
4.00% | 08/01/44 | 21,594,906 | 24,222,998 | |||||||||
Freddie Mac, Pool #G07848 |
| |||||||||||
3.50% | 04/01/44 | 51,211,002 | 57,319,717 | |||||||||
Freddie Mac, Pool #G08687 |
| |||||||||||
3.50% | 01/01/46 | 46,557,214 | 50,094,624 | |||||||||
Freddie Mac, Pool #G08710 |
| |||||||||||
3.00% | 06/01/46 | 2,459,417 | 2,594,126 | |||||||||
Freddie Mac, Pool #G08716 |
| |||||||||||
3.50% | 08/01/46 | 13,328,486 | 14,274,263 | |||||||||
Freddie Mac, Pool #G08721 |
| |||||||||||
3.00% | 09/01/46 | 52,910,876 | 55,808,942 | |||||||||
Freddie Mac, Pool #G08833 |
| |||||||||||
5.00% | 07/01/48 | 8,020,198 | 8,806,552 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac, Pool #G08840 |
| |||||||||||
5.00% | 08/01/48 | $ | 1,380,325 | $ | 1,517,645 | |||||||
Freddie Mac, Pool #G08843 |
| |||||||||||
4.50% | 10/01/48 | 11,273,201 | 12,194,761 | |||||||||
Freddie Mac, Pool #G08848 |
| |||||||||||
4.50% | 11/01/48 | 5,675,158 | 6,138,601 | |||||||||
Freddie Mac, Pool #G08849 |
| |||||||||||
5.00% | 11/01/48 | 9,896,851 | 10,886,351 | |||||||||
Freddie Mac, Pool #G12635 |
| |||||||||||
5.50% | 03/01/22 | 19,239 | 19,347 | |||||||||
Freddie Mac, Pool #G13390 |
| |||||||||||
6.00% | 01/01/24 | 151,897 | 156,984 | |||||||||
Freddie Mac, Pool #G16085 |
| |||||||||||
2.50% | 02/01/32 | 5,252,122 | 5,591,715 | |||||||||
Freddie Mac, Pool #G16258 |
| |||||||||||
2.50% | 06/01/32 | 23,404,796 | 24,759,165 | |||||||||
Freddie Mac, Pool #G16598 |
| |||||||||||
2.50% | 12/01/31 | 4,745,188 | 5,011,157 | |||||||||
Freddie Mac, Pool #G18592 |
| |||||||||||
3.00% | 03/01/31 | 24,296,870 | 25,636,235 | |||||||||
Freddie Mac, Pool #G18627 |
| |||||||||||
3.00% | 01/01/32 | 14,148,169 | 14,928,087 | |||||||||
Freddie Mac, Pool #G30194 |
| |||||||||||
6.50% | 04/01/21 | 330 | 331 | |||||||||
Freddie Mac, Pool #G30450 |
| |||||||||||
6.00% | 01/01/29 | 998,954 | 1,114,021 | |||||||||
Freddie Mac, Pool #G30452 |
| |||||||||||
6.00% | 10/01/28 | 1,001,343 | 1,116,957 | |||||||||
Freddie Mac, Pool #G30454 |
| |||||||||||
5.00% | 05/01/29 | 1,319,829 | 1,466,070 | |||||||||
Freddie Mac, Pool #G60238 |
| |||||||||||
3.50% | 10/01/45 | 6,361,395 | 6,984,005 | |||||||||
Freddie Mac, Pool #G60440 |
| |||||||||||
3.50% | 03/01/46 | 45,643,680 | 50,082,445 | |||||||||
Freddie Mac, Pool #G67700 |
| |||||||||||
3.50% | 08/01/46 | 41,039,688 | 44,953,774 | |||||||||
Freddie Mac, Pool #G67703 |
| |||||||||||
3.50% | 04/01/47 | 67,044,806 | 73,355,278 | |||||||||
Freddie Mac, Pool #G67705 |
| |||||||||||
4.00% | 10/01/47 | 6,503,193 | 7,168,881 | |||||||||
Freddie Mac, Pool #G67706 |
| |||||||||||
3.50% | 12/01/47 | 45,718,954 | 50,085,809 | |||||||||
Freddie Mac, Pool #G67707 |
| |||||||||||
3.50% | 01/01/48 | 22,661,391 | 25,357,681 | |||||||||
Freddie Mac, Pool #G67708 |
| |||||||||||
3.50% | 03/01/48 | 61,800,953 | 67,453,294 | |||||||||
Freddie Mac, Pool #G67709 |
| |||||||||||
3.50% | 03/01/48 | 37,143,936 | 40,617,211 |
See accompanying Notes to Financial Statements.
76
Table of Contents
TCW Total Return Bond Fund
October 31, 2020 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac, Pool #G67710 |
| |||||||||||
3.50% | 03/01/48 | $ | 42,914,341 | $ | 46,215,985 | |||||||
Freddie Mac, Pool #G67717 |
| |||||||||||
4.00% | 11/01/48 | 61,423,598 | 67,823,769 | |||||||||
Freddie Mac, Pool #H82001 |
| |||||||||||
5.50% | 07/01/37 | 178,296 | 205,020 | |||||||||
Freddie Mac, Pool #N70081 |
| |||||||||||
5.50% | 07/01/38 | 2,497,686 | 2,834,564 | |||||||||
Freddie Mac, Pool #P51350 |
| |||||||||||
5.00% | 03/01/36 | 2,362,605 | 2,711,396 | |||||||||
Freddie Mac, Pool #SD7511 |
| |||||||||||
3.50% | 01/01/50 | 50,537,701 | 54,916,169 | |||||||||
Freddie Mac, Pool #SD7513 |
| |||||||||||
3.50% | 04/01/50 | 26,936,077 | 29,496,723 | |||||||||
Freddie Mac, Pool #ZT1491 |
| |||||||||||
3.50% | 11/01/48 | 16,858,072 | 18,265,743 | |||||||||
Ginnie Mae (03-42-SH) (I/O) (I/F) |
| |||||||||||
6.40% (-1 x 1 mo. USD | 05/20/33 | 594,368 | 111,222 | |||||||||
Ginnie Mae (11-70-BO) (P/O) |
| |||||||||||
0.00% (4) | 05/20/41 | 6,825,032 | 6,278,500 | |||||||||
Ginnie Mae (15-42-ZB) |
| |||||||||||
3.00% | 03/20/45 | 18,859,739 | 20,487,267 | |||||||||
Ginnie Mae (15-43-DM) |
| |||||||||||
2.50% | 03/20/45 | 37,325,347 | 39,495,784 | |||||||||
Ginnie Mae (15-44-Z) |
| |||||||||||
3.00% | 03/20/45 | 12,762,552 | 14,174,882 | |||||||||
Ginnie Mae, Pool #MA3662 |
| |||||||||||
3.00% | 05/20/46 | 14,451,905 | 15,313,660 | |||||||||
Ginnie Mae II, Pool #MA6030 |
| |||||||||||
3.50% | 07/20/49 | 15,092,523 | 15,638,145 | |||||||||
Ginnie Mae II, Pool #80963 |
| |||||||||||
3.25% (1-year Treasury Constant Maturity Rate + 1.500%) (2) | 07/20/34 | 111,871 | 115,509 | |||||||||
Ginnie Mae II, Pool #MA2374 |
| |||||||||||
5.00% | 11/20/44 | 447,523 | 507,613 | |||||||||
Ginnie Mae II, Pool #MA2828 |
| |||||||||||
4.50% | 05/20/45 | 306,405 | 341,353 | |||||||||
Ginnie Mae II, Pool #MA3456 |
| |||||||||||
4.50% | 02/20/46 | 1,687,098 | 1,878,781 | |||||||||
Ginnie Mae II, Pool #MA3521 |
| |||||||||||
3.50% | 03/20/46 | 47,292,416 | 50,686,915 | |||||||||
Ginnie Mae II, Pool #MA3663 |
| |||||||||||
3.50% | 05/20/46 | 23,136,163 | 24,789,573 | |||||||||
Ginnie Mae II, Pool #MA3665 |
| |||||||||||
4.50% | 05/20/46 | 2,721,772 | 2,996,615 | |||||||||
Ginnie Mae II, Pool #MA3735 |
| |||||||||||
3.00% | 06/20/46 | 182,978 | 193,889 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Ginnie Mae II, Pool #MA3736 |
| |||||||||||
3.50% | 06/20/46 | $ | 18,234,691 | $ | 19,537,820 | |||||||
Ginnie Mae II, Pool #MA3739 |
| |||||||||||
5.00% | 06/20/46 | 4,991,312 | 5,677,473 | |||||||||
Ginnie Mae II, Pool #MA3876 |
| |||||||||||
4.50% | 08/20/46 | 174,143 | 191,728 | |||||||||
Ginnie Mae II, Pool #MA3877 |
| |||||||||||
5.00% | 08/20/46 | 2,171,253 | 2,481,112 | |||||||||
Ginnie Mae II, Pool #MA4006 |
| |||||||||||
4.50% | 10/20/46 | 79,107 | 87,466 | |||||||||
Ginnie Mae II, Pool #MA4007 |
| |||||||||||
5.00% | 10/20/46 | 5,025,850 | 5,713,152 | |||||||||
Ginnie Mae II, Pool #MA4071 |
| |||||||||||
4.50% | 11/20/46 | 362,551 | 403,530 | |||||||||
Ginnie Mae II, Pool #MA4126 |
| |||||||||||
3.00% | 12/20/46 | 62,940,449 | 66,693,533 | |||||||||
Ginnie Mae II, Pool #MA4129 |
| |||||||||||
4.50% | 12/20/46 | 121,680 | 135,858 | |||||||||
Ginnie Mae II, Pool #MA4199 |
| |||||||||||
5.00% | 01/20/47 | 5,009,442 | 5,689,428 | |||||||||
Ginnie Mae II, Pool #MA4264 |
| |||||||||||
4.50% | 02/20/47 | 13,582,473 | 14,894,601 | |||||||||
Ginnie Mae II, Pool #MA4265 |
| |||||||||||
5.00% | 02/20/47 | 4,427,118 | 5,031,475 | |||||||||
Ginnie Mae II, Pool #MA4324 |
| |||||||||||
5.00% | 03/20/47 | 5,232,392 | 5,882,102 | |||||||||
Ginnie Mae II, Pool #MA4385 |
| |||||||||||
5.00% | 04/20/47 | 1,018,142 | 1,136,715 | |||||||||
Ginnie Mae II, Pool #MA4454 |
| |||||||||||
5.00% | 05/20/47 | 814,907 | 906,170 | |||||||||
Ginnie Mae II, Pool #MA4512 |
| |||||||||||
4.50% | 06/20/47 | 35,049,677 | 38,326,103 | |||||||||
Ginnie Mae II, Pool #MA4513 |
| |||||||||||
5.00% | 06/20/47 | 3,114,095 | 3,462,789 | |||||||||
Ginnie Mae II, Pool #MA4781 |
| |||||||||||
5.00% | 10/20/47 | 3,896,385 | 4,318,499 | |||||||||
Ginnie Mae II, Pool #MA4836 |
| |||||||||||
3.00% | 11/20/47 | 20,438,735 | 21,588,355 | |||||||||
Ginnie Mae II, Pool #MA4838 |
| |||||||||||
4.00% | 11/20/47 | 21,249,405 | 22,961,905 | |||||||||
Ginnie Mae II, Pool #MA4900 |
| |||||||||||
3.50% | 12/20/47 | 15,479,449 | 16,523,064 | |||||||||
Ginnie Mae II, Pool #MA4901 |
| |||||||||||
4.00% | 12/20/47 | 1,442,998 | 1,563,791 | |||||||||
Ginnie Mae II, Pool #MA4962 |
| |||||||||||
3.50% | 01/20/48 | 18,859,538 | 20,131,036 | |||||||||
Ginnie Mae II, Pool #MA5466 |
| |||||||||||
4.00% | 09/20/48 | 13,636,149 | 14,650,721 |
See accompanying Notes to Financial Statements.
77
Table of Contents
TCW Total Return Bond Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Ginnie Mae II, Pool #MA5467 |
| |||||||||||
4.50% | 09/20/48 | $ | 1,590,323 | $ | 1,727,059 | |||||||
Ginnie Mae II, Pool #MA5528 |
| |||||||||||
4.00% | 10/20/48 | 11,644,614 | 12,437,345 | |||||||||
Ginnie Mae II, Pool #MA6080 |
| |||||||||||
3.00% | 08/20/49 | 1,270,208 | 1,302,719 | |||||||||
Ginnie Mae II, Pool #MA6081 |
| |||||||||||
3.50% | 08/20/49 | 4,457,754 | 4,618,910 | |||||||||
Ginnie Mae II, Pool #MA6209 |
| |||||||||||
3.00% | 10/20/49 | 17,938,937 | 18,475,678 | |||||||||
Ginnie Mae II TBA, 30 Year |
| |||||||||||
2.00% (5) | 03/31/50 | 164,750,000 | 171,153,368 | |||||||||
2.50% (5) | 03/31/50 | 77,450,000 | 81,128,874 | |||||||||
2.50% (5) | 03/31/50 | 25,550,000 | 26,674,799 | |||||||||
Uniform Mortgage-Backed Securities TBA, 15 Year |
| |||||||||||
1.50% (5) | 07/31/35 | 28,425,000 | 29,026,347 | |||||||||
2.00% (5) | 05/31/35 | 27,250,000 | 28,267,617 | |||||||||
2.00% (5) | 05/31/35 | 1,350,000 | 1,398,621 | |||||||||
Uniform Mortgage-Backed Securities TBA, 30 Year |
| |||||||||||
2.00% (5) | 03/31/50 | 418,975,000 | 432,172,704 | |||||||||
2.00% (5) | 03/31/50 | 238,725,000 | 245,664,772 | |||||||||
2.50% (5) | 12/01/49 | 109,460,000 | 114,074,834 | |||||||||
2.50% (5) | 12/01/49 | 197,475,000 | 205,483,279 | |||||||||
|
| |||||||||||
Total Residential Mortgage-Backed |
| |||||||||||
(Cost: $3,805,087,690) |
| 3,945,283,321 | ||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 18.3% | ||||||||||||
ACE Securities Corp. (07-ASP1-A2C) |
| |||||||||||
0.41% (1 mo. USD | 03/25/37 | 13,174,803 | 8,076,711 | |||||||||
ACE Securities Corp. (07-ASP1-A2D) |
| |||||||||||
0.53% (1 mo. USD | 03/25/37 | 7,081,317 | 4,444,482 | |||||||||
ACE Securities Corp. Home Equity Loan Trust (07-HE1-A1) |
| |||||||||||
0.30% (1 mo. USD | 01/25/37 | 34,112,546 | 22,467,980 | |||||||||
Adjustable Rate Mortgage Trust (04-5-3A1) |
| |||||||||||
3.61% (3) | 04/25/35 | 106,609 | 107,486 | |||||||||
Argent Securities, Inc. Asset-Backed Pass-Through Certificates (05-W3-M2) |
| |||||||||||
0.61% (1 mo. USD | 11/25/35 | 24,000,000 | 18,715,678 | |||||||||
Asset-Backed Funding Certificates (07-NC1-A2) |
| |||||||||||
0.45% (1 mo. USD LIBOR | 05/25/37 | 6,875,173 | 6,563,815 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Asset-Backed Funding Certificates (07-WMC1-A2A) |
| |||||||||||
0.90% (1 mo. USD | 06/25/37 | $ | 12,818,065 | $ | 11,488,571 | |||||||
Banc of America Funding Corp. (04-B-3A1) |
| |||||||||||
3.37% (3)(6) | 12/20/34 | 198,690 | 183,543 | |||||||||
Banc of America Funding Corp. (06-D-2A1) |
| |||||||||||
3.50% (3)(6) | 05/20/36 | 53,331 | 50,752 | |||||||||
Banc of America Funding Corp. (06-D-3A1) |
| |||||||||||
3.53% (3)(6) | 05/20/36 | 2,345,037 | 2,241,886 | |||||||||
Banc of America Funding Corp. (15-R8-1A1) |
| |||||||||||
1.86% (1)(3) | 11/26/46 | 3,143,817 | 3,117,154 | |||||||||
Banc of America Funding Trust (06-3-4A14) |
| |||||||||||
6.00% | 03/25/36 | 636,803 | 671,846 | |||||||||
Banc of America Funding Trust (06-3-5A3) |
| |||||||||||
5.50% (6) | 03/25/36 | 2,169,449 | 2,067,976 | |||||||||
BCAP LLC Trust (06-AA2-A1) |
| |||||||||||
0.32% (1 mo. USD | 01/25/37 | 16,019,382 | 15,932,874 | |||||||||
BCAP LLC Trust (08-IND2-A1) |
| |||||||||||
1.80% (1 mo. USD | 04/25/38 | 2,932,077 | 2,943,673 | |||||||||
Bear Stearns Alt-A Trust (05-2-2A4) |
| |||||||||||
3.41% (3) | 04/25/35 | 2,383 | 2,371 | |||||||||
Bear Stearns Alt-A Trust (05-4-23A1) |
| |||||||||||
3.40% (3) | 05/25/35 | 3,498,525 | 3,493,750 | |||||||||
Bear Stearns Alt-A Trust (06-4-32A1) |
| |||||||||||
3.32% (3) | 07/25/36 | 403,486 | 269,173 | |||||||||
Bear Stearns ARM Trust (04-12-1A1) |
| |||||||||||
3.93% (3) | 02/25/35 | 552,907 | 570,026 | |||||||||
Bear Stearns ARM Trust (05-10-A3) |
| |||||||||||
3.30% (3) | 10/25/35 | 2,739,278 | 2,718,690 | |||||||||
Bear Stearns ARM Trust (06-2-2A1) |
| |||||||||||
3.49% (3)(6) | 07/25/36 | 1,122,244 | 1,034,101 | |||||||||
Bear Stearns ARM Trust (07-1-1A1) |
| |||||||||||
3.84% (3) | 02/25/47 | 18,645,211 | 18,060,206 | |||||||||
Bear Stearns ARM Trust (07-1-2A1) |
| |||||||||||
4.08% (3)(6) | 02/25/47 | 146,803 | 140,545 | |||||||||
Bear Stearns ARM Trust (07-5-3A1) |
| |||||||||||
3.44% (3)(6) | 08/25/47 | 795,937 | 684,292 | |||||||||
Bear Stearns Asset-Backed Securities I Trust (05-AC6-1A3) |
| |||||||||||
5.50% (3) | 09/25/35 | 1,289,346 | 1,320,524 | |||||||||
Bear Stearns Asset-Backed Securities I Trust (05-AC6-1A4) |
| |||||||||||
5.40% (3) | 09/25/35 | 2,756,841 | 2,812,265 | |||||||||
Bear Stearns Mortgage Funding Trust (06-AR1-2A1) |
| |||||||||||
0.37% (1 mo. USD | 08/25/36 | 13,830,993 | 12,761,778 |
See accompanying Notes to Financial Statements.
78
Table of Contents
TCW Total Return Bond Fund
October 31, 2020 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Bear Stearns Mortgage Funding Trust (06-AR3-1A1) |
| |||||||||||
0.33% (1 mo. USD | 10/25/36 | $ | 420,488 | $ | 377,532 | |||||||
BNC Mortgage Loan Trust (07-1-A4) |
| |||||||||||
0.31% (1 mo. USD | 03/25/37 | 7,791,460 | 7,421,704 | |||||||||
Chase Mortgage Finance Corp. (06-A1-2A1) |
| |||||||||||
3.24% (3)(6) | 09/25/36 | 556,492 | 505,896 | |||||||||
Chase Mortgage Finance Corp. (07-A1-8A1) |
| |||||||||||
2.88% (3) | 02/25/37 | 2,343,391 | 2,363,415 | |||||||||
Chaseflex Trust (05-1-1A5) |
| |||||||||||
6.50% (6) | 02/25/35 | 2,897,098 | 2,775,583 | |||||||||
Cim Trust |
| |||||||||||
2.25% | 12/25/60 | 20,000,000 | 20,186,614 | |||||||||
CIM Trust (17-1-A3) |
| |||||||||||
3.65% (1 X 3 mo. USD | 01/25/57 | 29,596,000 | 30,234,161 | |||||||||
CIM Trust (17-8-A1) |
| |||||||||||
3.00% (1)(3) | 12/25/65 | 28,917,583 | 29,401,206 | |||||||||
CIM Trust (17-8-A2) |
| |||||||||||
4.00% (1)(3) | 12/25/65 | 31,500,000 | 31,812,423 | |||||||||
CIM Trust (18-R2-A1) |
| |||||||||||
3.69% (1)(3) | 08/25/57 | 3,807,321 | 3,703,914 | |||||||||
CIM Trust (18-R5-A1) |
| |||||||||||
3.75% (1)(3) | 07/25/58 | 21,042,456 | 21,492,335 | |||||||||
CIM Trust (18-R6-A1) |
| |||||||||||
1.23% (1 mo. USD | 09/25/58 | 16,113,994 | 15,875,452 | |||||||||
CIM Trust (19-R3-A) |
| |||||||||||
2.63% (1)(3) | 06/25/58 | 20,965,886 | 20,338,251 | |||||||||
CIM Trust (20-R1-A1) |
| |||||||||||
2.85% (1)(3) | 10/27/59 | 30,250,211 | 26,254,361 | |||||||||
CIM Trust (20-R3-A1A) |
| |||||||||||
4.00% (1)(3) | 01/26/60 | 26,828,980 | 26,631,924 | |||||||||
CIM Trust (20-R4-A1A) |
| |||||||||||
3.30% (1)(3) | 06/25/60 | 28,806,615 | 29,217,386 | |||||||||
Citicorp Mortgage Securities Trust, Inc. (07-4-3A1) |
| |||||||||||
5.50% | 05/25/37 | 36,113 | 36,127 | |||||||||
Citigroup Mortgage Loan Trust (06-HE3-A1) |
| |||||||||||
0.29% (1 mo. USD | 12/25/36 | 11,542,576 | 11,223,384 | |||||||||
Citigroup Mortgage Loan Trust, Inc. (06-AR5-1A1A) |
| |||||||||||
3.24% (3)(6) | 07/25/36 | 2,720,411 | 2,128,787 | |||||||||
Citigroup Mortgage Loan Trust, Inc. (07-12-2A1) |
| |||||||||||
6.50% (1)(6) | 10/25/36 | 2,846,202 | 2,235,800 | |||||||||
Conseco Finance Securitizations Corp. (00-4-A5) |
| |||||||||||
7.97% | 05/01/32 | 45,277,023 | 13,488,156 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Conseco Financial Corp. (99-2-A7) |
| |||||||||||
6.44% | 12/01/30 | $ | 2,255,189 | $ | 2,411,631 | |||||||
Countrywide Alternative Loan Trust (05-20CB-4A1) |
| |||||||||||
5.25% (6) | 07/25/20 | 2,720 | 2,718 | |||||||||
Countrywide Alternative Loan Trust (05-84-1A1) |
| |||||||||||
3.10% (3)(6) | 02/25/36 | 145,840 | 116,662 | |||||||||
Countrywide Alternative Loan Trust (05-J1-2A1) |
| |||||||||||
5.50% | 02/25/25 | 388,974 | 397,734 | |||||||||
Countrywide Alternative Loan Trust (06-HY12-A5) |
| |||||||||||
3.23% (3) | 08/25/36 | 8,467,481 | 8,840,438 | |||||||||
Countrywide Alternative Loan Trust (07-19-1A34) |
| |||||||||||
6.00% | 08/25/37 | 13,850,128 | 9,913,155 | |||||||||
Countrywide Alternative Loan Trust (07-HY5R-2A1A) |
| |||||||||||
2.14% (3)(7) | 03/25/47 | 628 | — | |||||||||
Countrywide Home Loans Mortgage Pass-Through Trust (04-13-1A3) |
| |||||||||||
5.50% | 08/25/34 | 4,626,909 | 4,816,870 | |||||||||
Countrywide Home Loans Mortgage Pass-Through Trust (05-9-1A1) |
| |||||||||||
0.75% (1 mo. USD | 05/25/35 | 8,534,216 | 7,157,149 | |||||||||
Countrywide Home Loans Mortgage Pass-Through Trust (05-HYB5-4A1) |
| |||||||||||
2.80% (3) | 09/20/35 | 23,080 | 19,414 | |||||||||
Countrywide Home Loans Mortgage Pass-Through Trust (07-HY5-1A1) |
| |||||||||||
3.35% (3) | 09/25/47 | 5,866 | 5,325 | |||||||||
Countrywide Home Loans Mortgage Pass-Through Trust (07-HYB1-1A1) |
| |||||||||||
3.03% (3)(6) | 03/25/37 | 36,580 | 31,658 | |||||||||
Credit Suisse First Boston Mortgage Securities Corp. (03-8-4PPA) |
| |||||||||||
5.75% | 04/22/33 | 27,832 | 29,427 | |||||||||
Credit Suisse First Boston Mortgage Securities Corp. (05-11-1A1) |
| |||||||||||
6.50% (6) | 12/25/35 | 1,841,408 | 1,362,632 | |||||||||
Credit Suisse First Boston Mortgage Securities Corp. (05-12-1A1) |
| |||||||||||
6.50% | 01/25/36 | 6,782,601 | 3,314,778 | |||||||||
Credit Suisse Mortgage Capital Certificates (15-5R-2A1) |
| |||||||||||
0.41% (1) | 04/27/47 | 1,933,991 | 1,931,060 | |||||||||
Credit Suisse Mortgage Trust (13-7R-4A1) |
| |||||||||||
0.47% (1 mo. USD | 07/26/36 | 1,151,945 | 1,148,378 | |||||||||
Credit-Based Asset Servicing and Securitization LLC (06-CB1-AF2) |
| |||||||||||
3.17% | 01/25/36 | 3,558,919 | 2,889,957 |
See accompanying Notes to Financial Statements.
79
Table of Contents
TCW Total Return Bond Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Credit-Based Asset Servicing and Securitization LLC (06-CB7-A4) |
| |||||||||||
0.31% (1 mo. USD | 10/25/36 | $ | 24,719,972 | $ | 20,581,404 | |||||||
Credit-Based Asset Servicing and Securitization LLC (06-CB9-A4) |
| |||||||||||
0.38% (1 mo. USD | 11/25/36 | 14,834,056 | 9,255,879 | |||||||||
Credit-Based Asset Servicing and Securitization LLC (07-CB2-A2B) |
| |||||||||||
3.84% | 02/25/37 | 3,033,240 | 2,507,707 | |||||||||
Credit-Based Asset Servicing and Securitization LLC (07-CB2-A2C) |
| |||||||||||
3.84% | 02/25/37 | 10,433,762 | 8,625,048 | |||||||||
CSMC Mortgage-Backed Trust (06-8-3A1) |
| |||||||||||
6.00% (6) | 10/25/21 | 1,300,046 | 1,035,725 | |||||||||
CSMC Mortgage-Backed Trust (06-9-5A1) |
| |||||||||||
5.50% | 11/25/36 | 1,994,271 | 1,948,523 | |||||||||
CSMC Mortgage-Backed Trust (07-2-3A4) |
| |||||||||||
5.50% (6) | 03/25/37 | 6,120,637 | 4,976,346 | |||||||||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust (05-1-1A3) |
| |||||||||||
0.65% (1 mo. USD | 02/25/35 | 6,306,049 | 6,061,160 | |||||||||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust (06-AR6-A6) |
| |||||||||||
0.34% (1 mo. USD | 02/25/37 | 270,012 | 245,852 | |||||||||
DSLA Mortgage Loan Trust (05-AR6-2A1A) |
| |||||||||||
0.44% (1 mo. USD | 10/19/45 | 2,241,139 | 2,128,636 | |||||||||
DSLA Mortgage Loan Trust (06-AR2-2A1A) |
| |||||||||||
0.35% (1 mo. USD | 10/19/36 | 24,968,033 | 21,700,275 | |||||||||
DSLA Mortgage Loan Trust (07-AR1-2A1A) |
| |||||||||||
0.29% (1 mo. USD | 03/19/37 | 6,250,006 | 5,622,895 | |||||||||
Fieldstone Mortgage Investment Corp. (07-1-2A2) |
| |||||||||||
0.42% (1 mo. USD | 04/25/47 | 3,544,357 | 2,969,338 | |||||||||
First Franklin Mortgage Loan Asset-Backed Certificates (06-FF18-A2C) |
| |||||||||||
0.31% (1 mo. USD | 12/25/37 | 14,182,970 | 13,053,052 | |||||||||
First Franklin Mortgage Loan Asset-Backed Certificates (06-FF18-A2D) |
| |||||||||||
0.36% (1 mo. USD | 12/25/37 | 8,323,050 | 7,698,265 | |||||||||
First Franklin Mortgage Loan Asset-Backed Certificates (07-FF1-A2C) |
| |||||||||||
0.29% (1 mo. USD | 01/25/38 | 4,147,884 | 2,885,380 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
First Franklin Mortgage Loan Asset-Backed Certificates (07-FF1-A2D) |
| |||||||||||
0.37% (1 mo. USD | 01/25/38 | $ | 20,302,209 | $ | 14,330,373 | |||||||
First Franklin Mortgage Loan Trust (06-FF12-A1) |
| |||||||||||
0.25% (1 mo. USD | 09/25/36 | 9,199,200 | 7,365,817 | |||||||||
First Franklin Mortgage Loan Trust (06-FF9-2A4) |
| |||||||||||
0.40% (1 mo. USD | 06/25/36 | 5,068,000 | 3,813,089 | |||||||||
First Franklin Mortgage Loan Trust (07-FF2-A1) |
| |||||||||||
0.29% (1 mo. USD | 03/25/37 | 43,102,251 | 30,259,504 | |||||||||
First Franklin Mortgage Loan Trust (07-FF2-A2C) |
| |||||||||||
0.30% (1 mo. USD | 03/25/37 | 44,165,449 | 27,772,453 | |||||||||
First Horizon Alternative Mortgage Securities Trust (05-AA3-3A1) |
| |||||||||||
2.31% (3) | 05/25/35 | 2,274,763 | 2,196,650 | |||||||||
First Horizon Alternative Mortgage Securities Trust (05-AA7-1A1) |
| |||||||||||
2.62% (3)(6) | 09/25/35 | 2,279,480 | 2,124,400 | |||||||||
First Horizon Alternative Mortgage Securities Trust (05-AA7-2A1) |
| |||||||||||
2.54% (3)(6) | 09/25/35 | 1,602,987 | 1,534,664 | |||||||||
First Horizon Alternative Mortgage Securities Trust (06-AA7-A1) |
| |||||||||||
3.17% (3)(6) | 01/25/37 | 7,355,176 | 6,596,290 | |||||||||
Fremont Home Loan Trust (05-E-2A4) |
| |||||||||||
0.48% (1 mo. USD | 01/25/36 | 13,110,861 | 12,720,579 | |||||||||
Fremont Home Loan Trust (06-1-2A3) |
| |||||||||||
0.33% (1 mo. USD | 04/25/36 | 1,344,555 | 1,332,210 | |||||||||
GMAC Mortgage Loan Trust (05-AR5-2A1) |
| |||||||||||
3.15% (3) | 09/19/35 | 2,166,492 | 1,725,011 | |||||||||
GreenPoint Mortgage Funding Trust (05-AR3-1A1) |
| |||||||||||
0.39% (1 mo. USD | 08/25/45 | 437,204 | 414,194 | |||||||||
GreenPoint Mortgage Funding Trust (06-AR5-A2A2) |
| |||||||||||
0.30% (1 mo. USD | 10/25/46 | 733 | — | |||||||||
GSAA Home Equity Trust (05-7-AF5) |
| |||||||||||
4.61% | 05/25/35 | 295,918 | 300,923 | |||||||||
GSR Mortgage Loan Trust (04-9-3A1) |
| |||||||||||
3.07% (3) | 08/25/34 | 1,526,458 | 1,522,203 | |||||||||
GSR Mortgage Loan Trust (06-OA1-2A2) |
| |||||||||||
0.41% (1 mo. USD | 08/25/46 | 55,471,201 | 33,795,185 |
See accompanying Notes to Financial Statements.
80
Table of Contents
TCW Total Return Bond Fund
October 31, 2020 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
GSR Mortgage Loan Trust (07-3F-3A7) |
| |||||||||||
6.00% (6) | 05/25/37 | $ | 7,633,747 | $ | 6,841,892 | |||||||
GSR Mortgage Loan Trust (07-AR2-2A1) |
| |||||||||||
3.70% (3) | 05/25/37 | 2,310,884 | 1,866,708 | |||||||||
GSR Mortgage Loan Trust (07-AR2-5A1A) |
| |||||||||||
3.25% (3) | 05/25/37 | 1,207,142 | 1,086,004 | |||||||||
Harborview Mortgage Loan Trust (05-9-2A1A) |
| |||||||||||
0.49% (1 mo. USD | 06/20/35 | 2,053,092 | 2,032,925 | |||||||||
HarborView Mortgage Loan Trust (06-1-1A1A) |
| |||||||||||
0.67% (1 mo. USD | 03/19/36 | 29,099,859 | 19,946,542 | |||||||||
HarborView Mortgage Loan Trust (07-3-1A1A) |
| |||||||||||
0.35% (1 mo. USD | 05/19/47 | 12,660,436 | 11,702,311 | |||||||||
HSI Asset Loan Obligation Trust (07-2-2A12) |
| |||||||||||
6.00% | 09/25/37 | 726,049 | 690,605 | |||||||||
HSI Asset Securitization Corp. (06-HE2-1A) |
| |||||||||||
0.28% (1 mo. USD | 12/25/36 | 41,882,815 | 22,000,880 | |||||||||
Impac CMB Trust (04-5-1A1) |
| |||||||||||
0.87% (1 mo. USD | 10/25/34 | 3,244 | 3,183 | |||||||||
Impac CMB Trust (05-1-1A1) |
| |||||||||||
0.67% (1 mo. USD | 04/25/35 | 846,124 | 819,903 | |||||||||
Impac CMB Trust (05-5-A2) |
| |||||||||||
0.59% (1 mo. USD | 08/25/35 | 4,102,345 | 4,032,261 | |||||||||
Impac Secured Assets Trust (06-3-A1) |
| |||||||||||
0.32% (1 mo. USD | 11/25/36 | 6,387,202 | 5,658,652 | |||||||||
Indymac Index Mortgage Loan Trust (04-AR4-2A) |
| |||||||||||
3.30% (3) | 08/25/34 | 3,612,361 | 3,738,213 | |||||||||
Indymac Index Mortgage Loan Trust (04-AR9-4A) |
| |||||||||||
3.34% (3) | 11/25/34 | 418,524 | 418,579 | |||||||||
Indymac Index Mortgage Loan Trust (05-AR17-3A1) |
| |||||||||||
3.11% (3)(6) | 09/25/35 | 3,532,426 | 2,923,582 | |||||||||
Indymac Index Mortgage Loan Trust (05-AR23-2A1) |
| |||||||||||
2.97% (3) | 11/25/35 | 2,441,211 | 2,293,826 | |||||||||
Indymac Index Mortgage Loan Trust (05-AR23-6A1) |
| |||||||||||
3.10% (3)(6) | 11/25/35 | 3,323,982 | 3,151,291 | |||||||||
Indymac Index Mortgage Loan Trust (05-AR25-2A1) |
| |||||||||||
3.27% (3)(6) | 12/25/35 | 1,847,557 | 1,780,345 | |||||||||
Indymac Index Mortgage Loan Trust (05-AR7-2A1) |
| |||||||||||
3.21% (3) | 06/25/35 | 1,831,619 | 1,544,912 | |||||||||
Indymac Index Mortgage Loan Trust (06-AR39-A1) |
| |||||||||||
0.33% (1 mo. USD | 02/25/37 | 6,518,048 | 6,252,299 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Indymac Index Mortgage Loan Trust (07-AR11-1A1) |
| |||||||||||
3.08% (3)(6) | 06/25/37 | $ | 17,222 | $ | 16,694 | |||||||
Indymac Index Mortgage Loan Trust (07-AR5-2A1) |
| |||||||||||
3.39% (3)(6) | 05/25/37 | 11,906,503 | 11,045,447 | |||||||||
Indymac Index Mortgage Loan Trust (07-AR7-1A1) |
| |||||||||||
3.10% (3) | 11/25/37 | 2,620,449 | 2,516,873 | |||||||||
IndyMac INDX Mortgage Loan Trust (06-AR6-2A1A) |
| |||||||||||
0.35% (1 mo. USD | 06/25/46 | 11,103,807 | 10,195,567 | |||||||||
JPMorgan Alternative Loan Trust (06-A2-5A1) |
| |||||||||||
3.49% (3) | 05/25/36 | 4,786,629 | 3,595,001 | |||||||||
JPMorgan Alternative Loan Trust (06-A4-A8) |
| |||||||||||
3.17% (3)(6) | 09/25/36 | 908,625 | 906,454 | |||||||||
JPMorgan Mortgage Acquisition Corp. (06-CH2-AF4) |
| |||||||||||
5.76% | 10/25/36 | 5,498,257 | 4,503,147 | |||||||||
JPMorgan Mortgage Acquisition Trust (06-WMC4-A3) |
| |||||||||||
0.27% (1 mo. USD | 12/25/36 | 31,116,509 | 20,090,984 | |||||||||
JPMorgan Mortgage Trust (05-A6-7A1) |
| |||||||||||
3.10% (3)(6) | 08/25/35 | 209,939 | 192,245 | |||||||||
JPMorgan Mortgage Trust (06-A2-5A3) |
| |||||||||||
2.98% (3) | 11/25/33 | 1,185,217 | 1,173,796 | |||||||||
JPMorgan Mortgage Trust (06-A4-1A4) |
| |||||||||||
3.58% (3)(6) | 06/25/36 | 318,957 | 284,291 | |||||||||
JPMorgan Mortgage Trust (06-A7-2A4R) |
| |||||||||||
3.46% (3)(6) | 01/25/37 | 15,213 | 14,139 | |||||||||
JPMorgan Mortgage Trust (06-S2-2A2) |
| |||||||||||
5.88% (6) | 06/25/21 | 244,873 | 224,246 | |||||||||
JPMorgan Resecuritization Trust Series (14-6-3A1) |
| |||||||||||
0.00% (1 mo. USD | 07/27/46 | 743,853 | 744,275 | |||||||||
Lehman Mortgage Trust (06-4-4A1) |
| |||||||||||
6.00% (6) | 08/25/21 | 702,981 | 711,824 | |||||||||
Lehman XS Trust (06-10N-1A3A) |
| |||||||||||
0.36% (1 mo. USD | 07/25/46 | 10,954,982 | 10,707,668 | |||||||||
Lehman XS Trust (06-12N-A31A) |
| |||||||||||
0.35% (1 mo. USD | 08/25/46 | 3,465,554 | 3,302,313 | |||||||||
Lehman XS Trust (06-GP2-3A1) |
| |||||||||||
0.35% (1 mo. USD | 06/25/46 | 17,639,421 | 15,730,205 | |||||||||
Lehman XS Trust (06-GP4-3A2A) |
| |||||||||||
0.31% (1 mo. USD LIBOR + 0.160%) (2)(7) | 08/25/46 | 1 | — | |||||||||
Lehman XS Trust (06-GP4-3A5) |
| |||||||||||
0.37% (1 mo. USD | 08/25/46 | 12,014,154 | 11,378,203 |
See accompanying Notes to Financial Statements.
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Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
MASTR Alternative Loans Trust (05-4-1A1) |
| |||||||||||
6.50% | 05/25/35 | $ | 4,897,345 | $ | 4,793,654 | |||||||
MASTR Alternative Loans Trust (06-2-2A1) |
| |||||||||||
0.55% (1 mo. USD | 03/25/36 | 65,957 | 4,537 | |||||||||
MASTR Asset Securitization Trust (06-3-2A1) |
| |||||||||||
0.60% (1 mo. USD | 10/25/36 | 35,508 | 7,208 | |||||||||
MASTR Asset-Backed Securities Trust (06-AB1-A4) |
| |||||||||||
5.72% | 02/25/36 | 520,669 | 512,160 | |||||||||
MASTR Asset-Backed Securities Trust (06-HE5-A3) |
| |||||||||||
0.31% (1 mo. USD LIBOR + 0.160%) (2) | 11/25/36 | 18,076,081 | 12,897,615 | |||||||||
MASTR Seasoned Securitization Trust (04-1-4A1) |
| |||||||||||
2.69% (3) | 10/25/32 | 5,870 | 5,906 | |||||||||
Merrill Lynch Alternative Note Asset Trust (07-A1-A2C) |
| |||||||||||
0.38% (1 mo. USD | 01/25/37 | 1,784,441 | 829,095 | |||||||||
Merrill Lynch Alternative Note Asset Trust (07-A1-A3) |
| |||||||||||
0.31% (1 mo. USD | 01/25/37 | 917,916 | 414,130 | |||||||||
Merrill Lynch First Franklin Mortgage Loan Trust (07-1-A2B) |
| |||||||||||
0.32% (1 mo. USD | 04/25/37 | 42,930,940 | 23,756,742 | |||||||||
Merrill Lynch First Franklin Mortgage Loan Trust (07-1-A2C) |
| |||||||||||
0.40% (1 mo. USD | 04/25/37 | 23,957,511 | 13,491,555 | |||||||||
Merrill Lynch First Franklin Mortgage Loan Trust (07-1-A2D) |
| |||||||||||
0.49% (1 mo. USD | 04/25/37 | 6,116,919 | 3,511,974 | |||||||||
Merrill Lynch First Franklin Mortgage Loan Trust (07-2-A2C) |
| |||||||||||
0.39% (1 mo. USD | 05/25/37 | 5,386,607 | 3,344,907 | |||||||||
Merrill Lynch First Franklin Mortgage Loan Trust (07-3-A2B) |
| |||||||||||
0.28% (1 mo. USD | 06/25/37 | 2,449,972 | 1,763,919 | |||||||||
Merrill Lynch First Franklin Mortgage Loan Trust (07-4-2A3) |
| |||||||||||
0.31% (1 mo. USD | 07/25/37 | 31,272,024 | 19,534,880 | |||||||||
Merrill Lynch Mortgage-Backed Securities Trust (07-2-1A1) |
| |||||||||||
2.52% (1-year Treasury Constant Maturity Rate + 2.400%) (2)(6) | 08/25/36 | 1,004,698 | 953,280 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Mid-State Trust (05-1-A) |
| |||||||||||
5.75% | 01/15/40 | $ | 2,377,847 | $ | 2,566,744 | |||||||
Morgan Stanley ABS Capital I, Inc. Trust (04-NC8-M2) |
| |||||||||||
1.11% (1 mo. USD | 09/25/34 | 593,555 | 582,953 | |||||||||
Morgan Stanley Home Equity Loan Trust (06-2-A4) |
| |||||||||||
0.43% (1 mo. USD | 02/25/36 | 2,033,946 | 1,950,220 | |||||||||
Morgan Stanley Mortgage Loan Trust (07-3XS-2A6) |
| |||||||||||
5.76% | 01/25/47 | 2,437,733 | 1,126,463 | |||||||||
Morgan Stanley Mortgage Loan Trust (07-7AX-2A1) |
| |||||||||||
0.27% (1 mo. USD | 04/25/37 | 3,337,480 | 1,497,070 | |||||||||
Morgan Stanley Resecuritization Trust (14-R2-2A) |
| |||||||||||
3.36% (1)(3) | 12/26/46 | 3,349,102 | 3,368,917 | |||||||||
MortgageIT Trust (05-4-A1) |
| |||||||||||
0.43% (1 mo. USD | 10/25/35 | 1,451,650 | 1,397,208 | |||||||||
New Century Home Equity Loan Trust (06-1-A2B) |
| |||||||||||
0.33% (1 mo. USD | 05/25/36 | 25,593,656 | 25,028,988 | |||||||||
Nomura Resecuritization Trust (15-2R-1A1) |
| |||||||||||
2.02% (12 mo. Monthly Treasury Average Index + 1.000%) (1)(2) | 08/26/46 | 906,772 | 910,493 | |||||||||
Nomura Resecuritization Trust (15-4R-2A1) |
| |||||||||||
0.29% (1 mo. USD | 10/26/36 | 1,440,284 | 1,447,808 | |||||||||
Nomura Resecuritization Trust (15-5R-2A1) |
| |||||||||||
3.24% (1)(3) | 03/26/35 | 1,340,373 | 1,353,047 | |||||||||
Nomura Resecuritization Trust (15-7R-2A1) |
| |||||||||||
3.49% (1)(3) | 08/26/36 | 694,047 | 697,260 | |||||||||
Oakwood Mortgage Investors, Inc. (02-A-A4) |
| |||||||||||
6.97% (3) | 03/15/32 | 1,499,598 | 1,555,622 | |||||||||
Oakwood Mortgage Investors, Inc. (99-E-A1) |
| |||||||||||
7.61% (3) | 03/15/30 | 3,715,420 | 3,004,873 | |||||||||
Ownit Mortgage Loan Asset-Backed Certificates (06-3-A2D) |
| |||||||||||
0.42% (1 mo. USD | 03/25/37 | 14,854,688 | 14,397,371 | |||||||||
Ownit Mortgage Loan Asset-Backed Certificates (06-6-A2C) |
| |||||||||||
0.31% (1 mo. USD | 09/25/37 | 14,943,946 | 9,070,159 | |||||||||
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates (05-WCW2-M3) |
| |||||||||||
0.97% (1 mo. USD | 07/25/35 | 10,000,000 | 9,763,631 |
See accompanying Notes to Financial Statements.
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October 31, 2020 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Prime Mortgage Trust (06-1-1A1) |
| |||||||||||
5.50% (6) | 06/25/36 | $ | 1,105,209 | $ | 1,095,422 | |||||||
RAAC Series Trust (05-SP1-4A1) |
| |||||||||||
7.00% | 09/25/34 | 2,569,232 | 2,633,283 | |||||||||
RAAC Series Trust (07-SP1-A3) |
| |||||||||||
0.63% (1 mo. USD | 03/25/37 | 279,018 | 279,290 | |||||||||
RALI Trust (05-QA13-2A1) |
| |||||||||||
4.32% (3)(6) | 12/25/35 | 530,718 | 479,914 | |||||||||
RALI Trust (05-QA7-A21) |
| |||||||||||
3.61% (3)(6) | 07/25/35 | 1,786,020 | 1,716,828 | |||||||||
RALI Trust (06-QA3-A1) |
| |||||||||||
0.35% (1 mo. USD | 04/25/36 | 1,171,480 | 1,201,896 | |||||||||
Residential Accredit Loans, Inc. (05-QA8-CB21) |
| |||||||||||
3.77% (3)(6) | 07/25/35 | 3,778,682 | 2,806,834 | |||||||||
Residential Accredit Loans, Inc. (05-QS7-A1) |
| |||||||||||
5.50% (6) | 06/25/35 | 690,630 | 658,964 | |||||||||
Residential Accredit Loans, Inc. (06-QA1-A21) |
| |||||||||||
4.49% (3)(6) | 01/25/36 | 14,190 | 11,968 | |||||||||
Residential Accredit Loans, Inc. (06-QA10-A2) |
| |||||||||||
0.33% (1 mo. USD | 12/25/36 | 13,308,793 | 12,469,788 | |||||||||
Residential Accredit Loans, Inc. (06-QA2-1A1) |
| |||||||||||
0.40% (1 mo. USD | 02/25/36 | 17,969 | 11,840 | |||||||||
Residential Accredit Loans, Inc. (06-QS10-AV) (I/O) |
| |||||||||||
0.57% (3)(7) | 08/25/36 | 31,504,608 | 639,143 | |||||||||
Residential Accredit Loans, Inc. (06-QS11-AV) (I/O) |
| |||||||||||
0.35% (3)(7) | 08/25/36 | 30,778,161 | 405,114 | |||||||||
Residential Accredit Loans, Inc. (06-QS5-A5) |
| |||||||||||
6.00% (6) | 05/25/36 | 3,870,427 | 3,691,167 | |||||||||
Residential Accredit Loans, Inc. (06-QS6-1AV) (I/O) |
| |||||||||||
0.76% (3)(7) | 06/25/36 | 41,189,249 | 941,088 | |||||||||
Residential Accredit Loans, Inc. (06-QS7-AV) (I/O) |
| |||||||||||
0.70% (3)(7) | 06/25/36 | 8,790,037 | 178,075 | |||||||||
Residential Accredit Loans, Inc. (07-QS1-2AV) (I/O) |
| |||||||||||
0.18% (3)(7) | 01/25/37 | 2,153,565 | 13,857 | |||||||||
Residential Accredit Loans, Inc. (07-QS2-AV) (I/O) |
| |||||||||||
0.33% (3)(7) | 01/25/37 | 16,276,529 | 171,001 | |||||||||
Residential Accredit Loans, Inc. (07-QS3-AV) (I/O) |
| |||||||||||
0.35% (3)(7) | 02/25/37 | 65,902,210 | 790,523 | |||||||||
Residential Accredit Loans, Inc. (07-QS4-3AV) (I/O) |
| |||||||||||
0.37% (3)(7) | �� | 03/25/37 | 7,810,121 | 98,004 | ||||||||
Residential Accredit Loans, Inc. (07-QS5-AV) (I/O) |
| |||||||||||
0.27% (3)(7) | 03/25/37 | 9,973,742 | 81,706 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Residential Accredit Loans, Inc. (07-QS6-A45) |
| |||||||||||
5.75% (6) | 04/25/37 | $ | 2,253,669 | $ | 2,148,210 | |||||||
Residential Accredit Loans, Inc. (07-QS8-AV) (I/O) |
| |||||||||||
0.40% (3)(7) | 06/25/37 | 15,883,006 | 291,487 | |||||||||
Residential Asset Securitization Trust (07-A3-1A4) |
| |||||||||||
5.75% (6) | 04/25/37 | 2,727,618 | 1,876,635 | |||||||||
Residential Funding Mortgage Securities I (05-SA5-2A) |
| |||||||||||
3.72% (3)(6) | 11/25/35 | 14,459 | 13,776 | |||||||||
Residential Funding Mortgage Securities I (06-S9-A3) (PAC) |
| |||||||||||
5.75% (6) | 09/25/36 | 476,780 | 455,640 | |||||||||
Residential Funding Mortgage Securities I (07-S2-A9) |
| |||||||||||
6.00% (6) | 02/25/37 | 5,254,730 | 5,010,940 | |||||||||
Residential Funding Mortgage Securities I (07-SA2-2A2) |
| |||||||||||
4.19% (3) | 04/25/37 | 16,445 | 14,869 | |||||||||
Saxon Asset Securities Trust (06-2-A2) |
| |||||||||||
0.28% (1 mo. USD | 09/25/36 | 1,401,287 | 1,400,749 | |||||||||
Saxon Asset Securities Trust (06-3-A3) |
| |||||||||||
0.32% (1 mo. USD | 10/25/46 | 8,307,617 | 8,114,846 | |||||||||
Saxon Asset Securities Trust (07-2-A2C) |
| |||||||||||
0.39% (1 mo. USD | 05/25/47 | 13,986,615 | 11,062,657 | |||||||||
Saxon Asset Securities Trust (07-2-A2D) |
| |||||||||||
0.45% (1 mo. USD | 05/25/47 | 16,269,812 | 12,949,186 | |||||||||
Securitized Asset Backed Receivables LLC Trust (06-WM4-A1) |
| |||||||||||
0.34% (1 mo. USD | 11/25/36 | 32,201,216 | 20,159,807 | |||||||||
Securitized Asset Backed Receivables LLC Trust (07-BR2-A1) |
| |||||||||||
0.33% (1 mo. USD | 02/25/37 | 25,155,831 | 22,222,123 | |||||||||
Securitized Asset-Backed Receivables LLC Trust (07-BR1-A2C) |
| |||||||||||
0.49% (1 mo. USD | 02/25/37 | 2,984,187 | 1,933,181 | |||||||||
Securitized Asset-Backed Receivables LLC Trust (07-BR2-A2) |
| |||||||||||
0.38% (1 mo. USD | 02/25/37 | 31,742,305 | 17,745,793 | |||||||||
Securitized Asset-Backed Receivables LLC Trust (07-NC2-A2B) |
| |||||||||||
0.29% (1 mo. USD | 01/25/37 | 15,846,926 | 13,421,757 |
See accompanying Notes to Financial Statements.
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Table of Contents
TCW Total Return Bond Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Sequoia Mortgage Trust (03-8-A1) |
| |||||||||||
0.79% (1 mo. USD | 01/20/34 | $ | 677,676 | $ | 647,420 | |||||||
SG Mortgage Securities Trust (07-NC1-A2) |
| |||||||||||
0.39% (1 mo. USD | 12/25/36 | 18,034,688 | 12,915,930 | |||||||||
Soundview Home Equity Loan Trust (06-OPT4-2A4) |
| |||||||||||
0.38% (1 mo. USD | 06/25/36 | 10,400,000 | 10,058,304 | |||||||||
Soundview Home Equity Loan Trust (07-OPT3-2A4) |
| |||||||||||
0.40% (1 mo. USD | 08/25/37 | 4,000,000 | 3,576,652 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust (04-12-2A) |
| |||||||||||
2.85% (3) | 09/25/34 | 1,127,019 | 1,117,917 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust (04-14-2A) |
| |||||||||||
2.56% (3) | 10/25/34 | 1,863,211 | 1,871,568 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust (05-16XS-A2A) |
| |||||||||||
1.10% (1 mo. USD | 08/25/35 | 151,045 | 152,545 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust (06-2-5A1) |
| |||||||||||
3.75% (3)(6) | 03/25/36 | 333,479 | 299,393 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust (06-4-5A1) |
| |||||||||||
3.35% (3)(6) | 05/25/36 | 1,663,206 | 1,468,049 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust (06-5-1A1) |
| |||||||||||
3.74% (3)(6) | 06/25/36 | 2,783,100 | 2,676,750 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust (07-1-1A1) |
| |||||||||||
3.63% (3) | 02/25/37 | 2,269,787 | 1,675,465 | |||||||||
Structured Asset Mortgage Investments II Trust (07-AR4-A5) |
| |||||||||||
0.37% (1 mo. USD | 09/25/47 | 20,369,216 | 18,351,391 | |||||||||
Structured Asset Securities Corp. (05-2XS-1A5B) |
| |||||||||||
5.15% | 02/25/35 | 13,726 | 13,932 | |||||||||
Suntrust Adjustable Rate Mortgage Loan Trust (07-2-2A1) |
| |||||||||||
3.82% (3)(6) | 04/25/37 | 128,531 | 93,439 | |||||||||
Suntrust Adjustable Rate Mortgage Loan Trust (07-3-1A1) |
| |||||||||||
3.80% (3) | 06/25/37 | 3,878 | 3,272 | |||||||||
Suntrust Adjustable Rate Mortgage Loan Trust (07-S1-2A1) |
| |||||||||||
3.61% (3) | 01/25/37 | 401,967 | 403,981 | |||||||||
Wachovia Mortgage Loan Trust LLC (06-AMN1-A3) |
| |||||||||||
0.39% (1 mo. USD | 08/25/36 | 6,854,789 | 3,528,060 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
WaMu Mortgage Pass-Through Certificates (04-AR14-A1) |
| |||||||||||
3.83% (3) | 01/25/35 | $ | 3,778,870 | $ | 3,834,802 | |||||||
WaMu Mortgage Pass-Through Certificates (05-AR13-A1A1) |
| |||||||||||
0.44% (1 mo. USD | 10/25/45 | 5,038,354 | 5,012,183 | |||||||||
WaMu Mortgage Pass-Through Certificates (05-AR13-A1A2) |
| |||||||||||
2.33% (12 mo. Monthly Treasury Average Index + 1.450%) (2) | 10/25/45 | 406,026 | 391,520 | |||||||||
WaMu Mortgage Pass-Through Certificates (05-AR14-2A1) |
| |||||||||||
3.38% (3) | 12/25/35 | 1,001,699 | 990,238 | |||||||||
WaMu Mortgage Pass-Through Certificates (05-AR18-1A1) |
| |||||||||||
3.66% (3) | 01/25/36 | 1,382,993 | 1,373,734 | |||||||||
WaMu Mortgage Pass-Through Certificates (05-AR2-2A1A) |
| |||||||||||
0.46% (1 mo. USD | 01/25/45 | 149,464 | 144,533 | |||||||||
WaMu Mortgage Pass-Through Certificates (05-AR9-A1A) |
| |||||||||||
0.79% (1 mo. USD | 07/25/45 | 8,278,039 | 8,101,410 | |||||||||
WaMu Mortgage Pass-Through Certificates (06-AR1-2A1A) |
| |||||||||||
1.95% (12 mo. Monthly Treasury Average Index + 1.070%) (2) | 01/25/46 | 10,882,048 | 10,420,105 | |||||||||
WaMu Mortgage Pass-Through Certificates (06-AR11-1A) |
| |||||||||||
1.84% (12 mo. Monthly Treasury Average Index + 0.960%) (2)(6) | 09/25/46 | 3,135,690 | 2,847,096 | |||||||||
WaMu Mortgage Pass-Through Certificates (06-AR17-1A1A) |
| |||||||||||
1.83% (12 mo. Monthly Treasury Average Index + 0.810%) (2) | 12/25/46 | 3,747,880 | 3,501,231 | |||||||||
WaMu Mortgage Pass-Through Certificates Trust (05-AR11-A1A) |
| |||||||||||
0.47% (1 mo. USD | 08/25/45 | 12,008,801 | 11,452,566 | |||||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates (02-AR1-1A1) |
| |||||||||||
3.79% (3) | 11/25/30 | 77,478 | 77,335 | |||||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates (06-1-3A2) |
| |||||||||||
5.75% (6) | 02/25/36 | 778,193 | 722,378 |
See accompanying Notes to Financial Statements.
84
Table of Contents
TCW Total Return Bond Fund
October 31, 2020 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates (06-5-1A1) |
| |||||||||||
0.75% (1 mo. USD | 07/25/36 | $ | 1,726,734 | $ | 1,107,649 | |||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates (06-AR10-A2A) |
| |||||||||||
0.32% (1 mo. USD | 12/25/36 | 3,042,134 | 2,859,321 | |||||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates (07-OA3-5A) |
| |||||||||||
1.78% (11th District Cost of Funds + 1.250%) (2) | 04/25/47 | 1,308,571 | 1,227,334 | |||||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates (07-OC2-A3) |
| |||||||||||
0.46% (1 mo. USD | 06/25/37 | 3,742,207 | 3,540,585 | |||||||||
Washington Mutual Asset-Backed Certificates (06-HE1-2A4) |
| |||||||||||
0.43% (1 mo. USD | 04/25/36 | 5,782,866 | 5,423,331 | |||||||||
Wells Fargo Home Equity Asset-Backed Securities (06-3-A2) |
| |||||||||||
0.30% (1 mo. USD | 01/25/37 | 554,192 | 545,382 | |||||||||
Wells Fargo Home Equity Asset-Backed Securities (07-1-A3) |
| |||||||||||
0.47% (1 mo. USD | 03/25/37 | 5,521,000 | 4,906,126 | |||||||||
Wells Fargo Mortgage-Backed Securities Trust (06-AR11-A6) |
| |||||||||||
3.14% (3)(6) | 08/25/36 | 1,764,951 | 1,693,978 | |||||||||
Wells Fargo Mortgage-Backed Securities Trust (07-AR4-A1) |
| |||||||||||
3.45% (3)(6) | 08/25/37 | 139,327 | 137,395 | |||||||||
|
| |||||||||||
Total Residential Mortgage-Backed Securities — Non-Agency |
| |||||||||||
(Cost: $1,266,460,278) |
| 1,384,154,910 | ||||||||||
|
| |||||||||||
U.S. TREASURY SECURITIES — 10.1% | ||||||||||||
U.S. Treasury Bond |
| |||||||||||
1.38% | 08/15/50 | 309,225,000 | 290,454,078 | |||||||||
U.S. Treasury Note |
| |||||||||||
0.25% | 09/30/25 | 322,343,000 | 320,403,913 | |||||||||
0.25% | 10/31/25 | 52,035,000 | 51,701,651 | |||||||||
0.63% | 08/15/30 | 106,468,000 | 104,147,333 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $781,745,824) |
| 766,706,975 | ||||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $6,673,180,359) |
| 6,938,487,606 | ||||||||||
|
| |||||||||||
Issues | Shares | Value | ||||||||||
MONEY MARKET INVESTMENTS — 1.1% | ||||||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class 0.30% (8) |
| 82,965,629 | $ | 82,965,629 | ||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $82,965,629) |
| 82,965,629 | ||||||||||
|
| |||||||||||
Maturity Date | Principal Amount | |||||||||||
SHORT TERM INVESTMENTS — 26.2% |
| |||||||||||
U.S. Treasury Securities — 26.2% | ||||||||||||
U.S. Cash Management Bill |
| |||||||||||
0.07% (9) | 01/19/21 | $ | 100,000,000 | 99,983,750 | ||||||||
0.08% (9) | 02/16/21 | 200,000,000 | 199,949,944 | |||||||||
0.08% (9) | 02/23/21 | 100,000,000 | 99,973,947 | |||||||||
0.13% (9) | 01/26/21 | 75,000,000 | 74,976,980 | |||||||||
U.S. Treasury Bill |
| |||||||||||
0.10% (9) | 04/01/21 | 75,000,000 | 74,967,968 | |||||||||
0.09% (9) | 02/11/21 | 75,000,000 | 74,980,013 | |||||||||
0.07% (9) | 11/27/20 | 210,000,000 | 209,987,967 | |||||||||
0.09% (9) | 12/10/20 | 50,000,000 | 49,995,380 | |||||||||
0.07% (9) | 12/03/20 | 125,000,000 | 124,991,927 | |||||||||
0.07% (9) | 01/07/21 | 50,000,000 | 49,993,125 | |||||||||
0.09% (9) | 01/14/21 | 125,000,000 | 124,977,825 | |||||||||
0.09% (9) | 01/21/21 | 150,000,000 | 149,970,832 | |||||||||
0.09% (9) | 02/04/21 | 100,000,000 | 99,975,195 | |||||||||
0.09% (9) | 01/28/21 | 550,000,000 | 549,877,047 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $1,984,516,446) |
| 1,984,601,900 | ||||||||||
|
| |||||||||||
Total Short Term Investments |
| |||||||||||
(Cost: $1,984,516,446) |
| 1,984,601,900 | ||||||||||
|
| |||||||||||
Total Investments (118.8%) |
| |||||||||||
(Cost: $8,740,662,434) |
| 9,006,055,135 | ||||||||||
Liabilities in Excess of Other Assets (-18.8%) |
| (1,424,149,902 | ) | |||||||||
|
| |||||||||||
Net Assets (100.0%) |
| $ | 7,581,905,233 | |||||||||
|
|
See accompanying Notes to Financial Statements.
85
Table of Contents
TCW Total Return Bond Fund
Schedule of Investments (Continued)
Futures Contracts | ||||||||||||||||||
Number of Contracts | Type | Expiration Date | Notional | Value | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Long Futures |
| |||||||||||||||||
4,202 | 5-Year U.S. Treasury Note Futures | 12/31/20 | $ | 529,262,153 | $ | 527,777,768 | $ | (1,484,385 | ) | |||||||||
2,552 | U.S. Ultra Long Bond Futures | 12/21/20 | 569,681,789 | 548,680,000 | (21,001,789 | ) | ||||||||||||
|
|
|
|
|
| |||||||||||||
$ | 1,098,943,942 | $ | 1,076,457,768 | $ | (22,486,174 | ) | ||||||||||||
|
|
|
|
|
|
Notes to the Schedule of Investments:
ABS | Asset-Backed Securities. |
ARM | Adjustable Rate Mortgage. |
CLO | Collateralized Loan Obligation. |
I/F | Inverse Floating rate security whose interest rate moves in the opposite direction of prevailing interest rates. |
I/O | Interest Only Security. |
PAC | Planned Amortization Class. |
P/O | Principal Only Security. |
TAC | Target Amortization Class. |
TBA | To Be Announced. |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only to qualified institutional buyers. At October 31, 2020, the value of these securities amounted to $597,489,214 or 7.9% 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) | Floating or variable rate security. The interest shown reflects the rate in effect at October 31, 2020. |
(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) | Security purchased on a forward commitment with an approximate principal amount. The actual principal amount and maturity date will be determined upon settlement when the security is delivered. |
(6) | A portion of the principal balance has been written-off during the period due to defaults in the underlying loans. Cost basis has been adjusted. |
(7) | For fair value measurement disclosure purposes, security is categorized as Level 3. Security is valued using significant unobservable inputs. |
(8) | Rate disclosed is the 7-day net yield as of October 31, 2020. |
(9) | Rate shown represents yield-to-maturity. |
See accompanying Notes to Financial Statements.
86
Table of Contents
TCW Total Return Bond Fund
Investments by Sector | October 31, 2020 |
Sector | Percentage of Net Assets | |||
Residential Mortgage-Backed Securities — Agency | 52.0 | % | ||
U.S. Treasury Securities | 36.3 | |||
Residential Mortgage-Backed Securities — Non-Agency | 18.3 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 4.8 | |||
Commercial Mortgage-Backed Securities — Agency | 4.4 | |||
Asset-Backed Securities | 1.9 | |||
Money Market Investments | 1.1 | |||
Other* | (18.8 | ) | ||
|
| |||
Total | 100.0 | % | ||
|
|
* | Includes capstock, futures, pending trades, interest receivable and accrued expenses payable. |
See accompanying Notes to Financial Statements.
87
Table of Contents
TCW Total Return Bond Fund
Fair Valuation Summary | October 31, 2020 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 2020 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 | $ | — | $ | 146,475,026 | $ | — | $ | 146,475,026 | ||||||||
Commercial Mortgage-Backed Securities — Agency | — | 330,432,603 | — | 330,432,603 | ||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 365,434,771 | — | 365,434,771 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 3,945,283,321 | — | 3,945,283,321 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 1,380,540,375 | 3,614,535 | 1,384,154,910 | ||||||||||||
U.S. Treasury Securities | 766,706,975 | — | — | 766,706,975 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | 766,706,975 | 6,168,166,096 | 3,614,535 | 6,938,487,606 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 82,965,629 | — | — | 82,965,629 | ||||||||||||
Short-Term Investments | 1,984,601,900 | — | — | 1,984,601,900 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 2,834,274,504 | $ | 6,168,166,096 | $ | 3,614,535 | $ | 9,006,055,135 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | $ | (22,486,174 | ) | $ | — | $ | — | $ | (22,486,174 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (22,486,174 | ) | $ | — | $ | — | $ | (22,486,174 | ) | ||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
88
Table of Contents
TCW Funds, Inc.
Statements of Assets and Liabilities | October 31, 2020 |
TCW Core Fixed Income Fund | TCW Enhanced Commodity Strategy Fund (1) | TCW Global Bond Fund | ||||||||||
ASSETS | ||||||||||||
Investments, at Value (2) | $ | 1,979,092,776 | $ | 1,230,331 | $ | 22,849,799 | ||||||
Investment in Affiliated Issuers, at Value | — | — | 691,609 | (3) | ||||||||
Foreign Currency, at Value | — | — | 7,832 | (4) | ||||||||
Receivable for Securities Sold | 7,242,876 | — | — | |||||||||
Receivable for Sale of When-Issued Securities | 97,118,356 | — | 726,117 | |||||||||
Receivable for Fund Shares Sold | 2,498,184 | — | 24,870 | |||||||||
Interest and Dividends Receivable | 4,755,663 | 6,726 | 179,068 | |||||||||
Receivable from Investment Advisor | 179,845 | 17,892 | 23,269 | |||||||||
Unrealized Appreciation on Open Forward Foreign Currency Contracts | — | — | 35,562 | |||||||||
Receivable for Daily Variation Margin on Open Futures Contracts | 7,296 | — | — | |||||||||
Cash Collateral Held for Brokers | 2,817,987 | — | 93,000 | |||||||||
Prepaid Expenses | 66,394 | 142 | 4,058 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 2,093,779,377 | 1,255,091 | 24,635,184 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES | ||||||||||||
Distributions Payable | 1,680,200 | — | 34,808 | |||||||||
Payable for Securities Purchased | 186,075,272 | 5,000 | 334,963 | |||||||||
Payable for Purchase of When-Issued Securities | 316,804,773 | — | 2,384,083 | |||||||||
Payable for Fund Shares Redeemed | 1,577,987 | — | — | |||||||||
Accrued Capital Gain Withholding Taxes | — | — | 670 | |||||||||
Accrued Directors’ Fees and Expenses | 1,000 | 1,000 | 1,000 | |||||||||
Deferred Accrued Directors’ Fees and Expenses | 1,250 | 1,250 | 1,250 | |||||||||
Accrued Management Fees | 536,818 | 499 | 9,207 | |||||||||
Accrued Distribution Fees | 51,580 | 101 | 2,333 | |||||||||
Interest Payable on Swap Agreements | — | 159 | — | |||||||||
Payable Daily Variation Margin on Open Futures Contracts | — | — | 142 | |||||||||
Open Swap Agreements, at Value | — | 24,161 | — | |||||||||
Unrealized Depreciation on Open Forward Foreign Currency Contracts | — | — | 19,021 | |||||||||
Transfer Agent Fees Payable | 13,364 | 4,598 | 3,143 | |||||||||
Administration Fee Payable | 40,242 | 11,961 | 4,348 | |||||||||
Audit Fees Payable | 46,667 | 25,498 | 31,612 | |||||||||
Accounting Fees Payable | 23,263 | 9,635 | 770 | |||||||||
Custodian Fees Payable | 18,321 | 4,540 | 13,769 | |||||||||
Other Accrued Expenses | 182,665 | 1,185 | — | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 507,053,402 | 89,587 | 2,841,119 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 1,586,725,975 | $ | 1,165,504 | $ | 21,794,065 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in Capital | $ | 1,509,003,709 | $ | 1,366,296 | $ | 20,385,695 | ||||||
Accumulated Earnings (Loss) | 77,722,266 | (200,792 | ) | 1,408,370 | ||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 1,586,725,975 | $ | 1,165,504 | $ | 21,794,065 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS ATTRIBUTABLE TO: | ||||||||||||
I Class Share | $ | 1,344,787,442 | $ | 693,142 | $ | 10,822,234 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 241,938,429 | $ | 472,362 | $ | 10,971,831 | ||||||
|
|
|
|
|
| |||||||
Plan Class Share | $ | 104 | $ | — | $ | — | ||||||
|
|
|
|
|
| |||||||
CAPITAL SHARES OUTSTANDING: (5) | ||||||||||||
I Class Share | 112,250,760 | 159,111 | 1,014,924 | |||||||||
|
|
|
|
|
| |||||||
N Class Share | 20,242,377 | 108,521 | 1,029,333 | |||||||||
|
|
|
|
|
| |||||||
Plan Class Share | 9 | — | — | |||||||||
|
|
|
|
|
| |||||||
NET ASSET VALUE PER SHARE: (6) | ||||||||||||
I Class Share | $ | 11.98 | $ | 4.36 | $ | 10.66 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 11.95 | $ | 4.35 | $ | 10.66 | ||||||
|
|
|
|
|
| |||||||
Plan Class Share | $ | 12.06 | $ | — | $ | — | ||||||
|
|
|
|
|
|
(1) | Consolidated Statement of Assets and Liabilities (See Note 2). |
(2) | The identified cost for the TCW Core Fixed Income Fund, the TCW Enhanced Commodity Strategy Fund and the TCW Global Bond Fund at October 31, 2020 was $1,936,582,353, $1,215,141 and $22,084,040, respectively. |
(3) | The identified cost for the TCW Global Bond Fund at October 31, 2020 was $696,358. |
(4) | The identified cost for the TCW Global Bond Fund at October 31, 2020 was $7,940. |
(5) | The number of authorized shares, with a par value of $0.001 per share is 4,000,000,000 for each of the I Class, N Class and Plan Class shares. |
(6) | Represents offering price and redemption price per share. |
See accompanying Notes to Financial Statements.
89
Table of Contents
TCW Funds, Inc.
Statements of Assets and Liabilities | October 31, 2020 |
TCW High Yield Bond Fund | TCW Short Term Bond Fund | TCW Total Return Bond Fund | ||||||||||
ASSETS | ||||||||||||
Investments, at Value (1) | $ | 100,855,708 | $ | 7,830,141 | $ | 9,006,055,135 | ||||||
Cash | 4,832 | — | — | |||||||||
Receivable for Securities Sold | 622,586 | 34,743 | 1,007,373 | |||||||||
Receivable for Sale of When-Issued Securities | 101,620 | — | 583,656,848 | |||||||||
Receivable for Fund Shares Sold | 5,255,215 | — | 17,284,066 | |||||||||
Interest and Dividends Receivable | 976,275 | 23,664 | 12,707,202 | |||||||||
Receivable from Investment Advisor | 32,098 | 22,492 | 744,188 | |||||||||
Receivable for Daily Variation Margin on Open Financial Futures Contracts | 24,358 | 709 | — | |||||||||
Cash Collateral Held for Brokers | 267,000 | 17,000 | 38,111,000 | |||||||||
Prepaid Expenses | 17,105 | 11,222 | 214,097 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 108,156,797 | 7,939,971 | 9,659,779,909 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES | ||||||||||||
Distributions Payable | 307,833 | 4,474 | 14,031,629 | |||||||||
Payable for Securities Purchased | 2,658,684 | 176,706 | 132,745,108 | |||||||||
Payable for Purchase of When-Issued Securities | 1,180,422 | — | 1,920,026,306 | |||||||||
Payable for Fund Shares Redeemed | 114,296 | 224 | 5,226,895 | |||||||||
Accrued Directors’ Fees and Expenses | 1,000 | 1,000 | 1,000 | |||||||||
Deferred Accrued Directors’ Fees and Expenses | 1,250 | 1,250 | 1,250 | |||||||||
Accrued Management Fees | 36,685 | 2,323 | 2,565,993 | |||||||||
Accrued Distribution Fees | 3,560 | — | 391,436 | |||||||||
Payable to Broker — Variation Margin on Open Futures Contracts | — | — | 1,552,751 | |||||||||
Transfer Agent Fees Payable | 5,194 | 1,766 | 63,473 | |||||||||
Administration Fee Payable | 4,965 | 4,087 | 170,105 | |||||||||
Audit Fees Payable | 21,932 | 41,321 | 104,173 | |||||||||
Accounting Fees Payable | 6,654 | 688 | 108,268 | |||||||||
Custodian Fees Payable | 10,037 | 6,937 | 23,518 | |||||||||
Other Accrued Expenses | 8,974 | 1,148 | 862,771 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 4,361,486 | 241,924 | 2,077,874,676 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 103,795,311 | $ | 7,698,047 | $ | 7,581,905,233 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in Capital | $ | 103,142,297 | $ | 7,933,839 | $ | 7,237,949,046 | ||||||
Accumulated Earnings (Loss) | 653,014 | (235,792 | ) | 343,956,187 | ||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 103,795,311 | $ | 7,698,047 | $ | 7,581,905,233 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS ATTRIBUTABLE TO: | ||||||||||||
I Class Share | $ | 85,990,052 | $ | 7,698,047 | $ | 5,737,735,549 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 17,805,259 | $ | — | $ | 1,844,169,581 | ||||||
|
|
|
|
|
| |||||||
Plan Class Share | $ | — | $ | — | $ | 103 | ||||||
|
|
|
|
|
| |||||||
CAPITAL SHARES OUTSTANDING: (2) | ||||||||||||
I Class Share | 12,910,141 | 894,867 | 548,777,787 | |||||||||
|
|
|
|
|
| |||||||
N Class Share | 2,656,669 | — | 171,120,645 | |||||||||
|
|
|
|
|
| |||||||
Plan Class Share | — | — | 10 | |||||||||
|
|
|
|
|
| |||||||
NET ASSET VALUE PER SHARE: (3) | ||||||||||||
I Class Share | $ | 6.66 | $ | 8.60 | $ | 10.46 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 6.70 | $ | — | $ | 10.78 | ||||||
|
|
|
|
|
| |||||||
Plan Class Share | $ | — | $ | — | $ | 10.50 | ||||||
|
|
|
|
|
|
(1) | The identified cost for the TCW High Yield Bond Fund, the TCW Short Term Bond Fund and the TCW Total Return Bond Fund at October 31, 2020 was $100,357,377, $7,833,191 and $8,740,662,434, respectively. |
(2) | The number of authorized shares, with a par value of $0.001 per share is 4,000,000,000 for each of the I Class, N Class and Plan Class shares. |
(3) | Represents offering price and redemption price per share. |
See accompanying Notes to Financial Statements.
90
Table of Contents
TCW Funds, Inc.
Statements of Operations | Year Ended October 31, 2020 |
TCW Core Fixed Income Fund | TCW Enhanced Commodity Strategy Fund (1) | TCW Global Bond Fund | ||||||||||
INVESTMENT INCOME | ||||||||||||
Income: | ||||||||||||
Dividends from Investment in Affiliated Issuers | $ | — | $ | — | $ | 23,443 | ||||||
Interest | 29,697,085 | 33,711 | 551,063 | (2) | ||||||||
|
|
|
|
|
| |||||||
Total | 29,697,085 | 33,711 | 574,506 | |||||||||
|
|
|
|
|
| |||||||
Expenses: | ||||||||||||
Management Fees | 5,491,166 | 6,625 | 92,893 | |||||||||
Accounting Services Fees | 74,116 | 40,751 | 3,751 | |||||||||
Administration Fees | 154,369 | 33,569 | 17,051 | |||||||||
Transfer Agent Fees: | ||||||||||||
I Class | 758,026 | 8,533 | 6,370 | |||||||||
N Class | 244,386 | 9,613 | 7,783 | |||||||||
Plan Class | 501 | — | — | |||||||||
Custodian Fees | 64,506 | 16,741 | 54,376 | |||||||||
Professional Fees | 82,027 | 25,883 | 51,599 | |||||||||
Directors’ Fees and Expenses | 40,697 | 40,697 | 40,697 | |||||||||
Registration Fees: | ||||||||||||
I Class | 48,429 | 440 | 18,142 | |||||||||
N Class | 22,876 | 440 | 18,149 | |||||||||
Plan Class | 9,587 | — | — | |||||||||
Distribution Fees: | ||||||||||||
N Class | 600,279 | 1,142 | 23,314 | |||||||||
Shareholder Reporting Expense | 6,603 | 1,239 | 1,346 | |||||||||
Other | 104,235 | 8,211 | 8,923 | |||||||||
|
|
|
|
|
| |||||||
Total | 7,701,803 | 193,884 | 344,394 | |||||||||
|
|
|
|
|
| |||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||
I Class | 217,474 | 108,761 | 104,316 | |||||||||
N Class | 304,217 | 77,003 | 115,952 | |||||||||
Plan Class | 10,089 | — | — | |||||||||
|
|
|
|
|
| |||||||
Net Expenses | 7,170,023 | 8,120 | 124,126 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income | 22,527,062 | 25,591 | 450,380 | |||||||||
|
|
|
|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | 47,900,261 | 10,216 | 300,691 | (3) | ||||||||
Foreign Currency | 59,418 | — | 5,713 | |||||||||
Foreign Currency Forward Contracts | 1,544,558 | — | 106,035 | |||||||||
Futures Contracts | 7,279,661 | — | 154,066 | |||||||||
Options Written | 290,468 | — | — | |||||||||
Swap Agreements | 69,582 | (64,317 | ) | — | ||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | 8,645,874 | (17,784 | ) | 456,836 | (4) | |||||||
Foreign Currency | — | — | 4,491 | |||||||||
Foreign Currency Forward Contracts | (70,399 | ) | — | 19,930 | ||||||||
Futures contracts | 273,380 | — | 24,260 | |||||||||
Investments in Affiliated Issuers | — | — | (18,643 | ) | ||||||||
Swap Agreements | 145,100 | (32,640 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments and Foreign Currency Transactions | 66,137,903 | (104,525 | ) | 1,053,379 | ||||||||
|
|
|
|
|
| |||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 88,664,965 | $ | (78,934 | ) | $ | 1,503,759 | |||||
|
|
|
|
|
|
(1) | Consolidated Statement of Operations (See Note 2). |
(2) | Net of foreign taxes withheld of $2,841 for the TCW Global Bond Fund. |
(3) | Net of capital gain withholding taxes of $730 for the TCW Global Bond Fund. |
(4) | Net of capital gain withholding taxes of $670 for the TCW Global Bond Fund. |
See accompanying Notes to Financial Statements.
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TCW Funds, Inc.
Statements of Operations | Year Ended October 31, 2020 |
TCW High Yield Bond Fund | TCW Short Term Bond Fund | TCW Total Return Bond Fund | ||||||||||
INVESTMENT INCOME | ||||||||||||
Income: | ||||||||||||
Interest | $ | 1,995,140 | $ | 184,367 | $ | 194,764,559 | ||||||
|
|
|
|
|
| |||||||
Total | 1,995,140 | 184,367 | 194,764,559 | |||||||||
|
|
|
|
|
| |||||||
Expenses: | ||||||||||||
Management Fees | 212,486 | 28,434 | 28,076,993 | |||||||||
Accounting Services Fees | 27,252 | 2,840 | 333,263 | |||||||||
Administration Fees | 19,000 | 16,192 | 662,075 | |||||||||
Transfer Agent Fees: | ||||||||||||
I Class | 34,059 | 10,658 | 4,721,075 | |||||||||
N Class | 17,742 | — | 863,554 | |||||||||
Plan Class | — | — | 501 | |||||||||
Custodian Fees | 40,752 | 25,157 | 80,001 | |||||||||
Professional Fees | 36,255 | 72,551 | 231,084 | |||||||||
Directors’ Fees and Expenses | 40,697 | 40,696 | 40,697 | |||||||||
Registration Fees: | ||||||||||||
I Class | 21,095 | 21,151 | 147,201 | |||||||||
N Class | 19,259 | — | 39,290 | |||||||||
Plan Class | — | — | 9,589 | |||||||||
Distribution Fees: | ||||||||||||
N Class | 25,781 | — | 2,680,140 | |||||||||
Shareholder Reporting Expense | 3,747 | — | 13,982 | |||||||||
Other | 9,854 | 7,129 | 760,259 | |||||||||
|
|
|
|
|
| |||||||
Total | 507,979 | 224,808 | 38,659,704 | |||||||||
|
|
|
|
|
| |||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||
I Class | 153,165 | 189,063 | 3,390,238 | |||||||||
N Class | 69,375 | — | 728,016 | |||||||||
Plan Class | — | — | 10,091 | |||||||||
|
|
|
|
|
| |||||||
Net Expenses | 285,439 | 35,745 | 34,531,359 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income | 1,709,701 | 148,622 | 160,233,200 | |||||||||
|
|
|
|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | 651,928 | 20,547 | 216,186,755 | |||||||||
Foreign Currency | — | 380 | (39,389 | ) | ||||||||
Foreign Currency Forward Contracts | — | 7,019 | 1,933,359 | |||||||||
Futures Contracts | 62,012 | (7,451 | ) | 48,940,033 | ||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | 433,278 | 735 | 22,332,634 | |||||||||
Foreign Currency Forward Contracts | — | 151 | (611,710 | ) | ||||||||
Futures contracts | 160,613 | 3,037 | (19,340,572 | ) | ||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments | 1,307,831 | 24,418 | 269,401,110 | |||||||||
|
|
|
|
|
| |||||||
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 3,017,532 | $ | 173,040 | $ | 429,634,310 | ||||||
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
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TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Core Fixed Income Fund | TCW Enhanced Commodity Strategy Fund (1) | |||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 22,527,062 | $ | 31,432,766 | $ | 25,591 | $ | 45,326 | ||||||||
Net Realized Gain (Loss) on Investments, Futures Contracts, Options Written, Swap Contracts and Foreign Currency Transactions | 57,143,948 | 39,791,873 | (54,101 | ) | (154,267 | ) | ||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments, Futures Contracts and Swap Contracts | 8,993,955 | 57,264,724 | (50,424 | ) | 72,663 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | 88,664,965 | 128,489,363 | (78,934 | ) | (36,278 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributions to Shareholders | (27,086,856 | ) | (32,114,075 | ) | (43,907 | ) | (37,641 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS |
| |||||||||||||||
I Class | 347,782,943 | (104,699,096 | ) | 26,314 | (411,333 | ) | ||||||||||
N Class | (9,637,861 | ) | (50,891,451 | ) | 17,593 | 14,276 | ||||||||||
Plan Class | 101 | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 338,145,183 | (155,590,547 | ) | 43,907 | (397,057 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | 399,723,292 | (59,215,259 | ) | (78,934 | ) | (470,976 | ) | |||||||||
NET ASSETS |
| |||||||||||||||
Beginning of year | 1,187,002,683 | 1,246,217,942 | 1,244,438 | 1,715,414 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of year | $ | 1,586,725,975 | $ | 1,187,002,683 | $ | 1,165,504 | $ | 1,244,438 | ||||||||
|
|
|
|
|
|
|
|
(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
TCW Global Bond Fund | TCW High Yield Bond Fund | |||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 450,380 | $ | 411,413 | $ | 1,709,701 | $ | 747,059 | ||||||||
Net Realized Gain on Investments, Futures Contracts and Foreign Currency Transactions | 566,505 | 305,502 | 713,940 | 461,778 | ||||||||||||
Net Change in Unrealized Appreciation on Investments, Futures Contracts and Foreign Currency Transactions | 486,874 | 928,645 | 593,891 | 517,478 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Operations | 1,503,759 | 1,645,560 | 3,017,532 | 1,726,315 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributions to Shareholders | (702,102 | ) | (259,828 | ) | (1,907,838 | ) | (825,624 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS |
| |||||||||||||||
I Class | 1,042,393 | 140,432 | 65,450,989 | 11,287,545 | ||||||||||||
N Class | 2,284,473 | 158,015 | 7,748,174 | 4,508,320 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Net Capital Shares Transactions | 3,326,866 | 298,447 | 73,199,163 | 15,795,865 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets | 4,128,523 | 1,684,179 | 74,308,857 | 16,696,556 | ||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of year | 17,665,542 | 15,981,363 | 29,486,454 | 12,789,898 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of year | $ | 21,794,065 | $ | 17,665,542 | $ | 103,795,311 | $ | 29,486,454 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
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Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Short Term Bond Fund | TCW Total Return Bond Fund | |||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 148,622 | $ | 190,494 | $ | 160,233,200 | $ | 213,239,830 | ||||||||
Net Realized Gain on Investments, Futures Contracts and Foreign Currency Transactions | 20,495 | 59,703 | 267,020,758 | 240,421,210 | ||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts | 3,923 | (4,771 | ) | 2,380,352 | 196,320,175 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Operations | 173,040 | 245,426 | 429,634,310 | 649,981,215 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributions to Shareholders | (95,527 | ) | (198,576 | ) | (195,474,335 | ) | (252,214,448 | ) | ||||||||
Return of Capital | (23,540 | ) | — | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (119,067 | ) | (198,576 | ) | (195,474,335 | ) | (252,214,448 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS |
| |||||||||||||||
I Class | 2,000,194 | (1,683,057 | ) | 631,409,495 | (1,022,016,161 | ) | ||||||||||
N Class | — | — | 854,720,881 | (223,544,484 | ) | |||||||||||
Plan Class | — | — | 101 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 2,000,194 | (1,683,057 | ) | 1,486,130,477 | (1,245,560,645 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | 2,054,167 | (1,636,207 | ) | 1,720,290,452 | (847,793,878 | ) | ||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of year | 5,643,880 | 7,280,087 | 5,861,614,781 | 6,709,408,659 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of year | $ | 7,698,047 | $ | 5,643,880 | $ | 7,581,905,233 | $ | 5,861,614,781 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
95
Table of Contents
TCW Funds, Inc.
Note 1 — Organization
TCW Funds, Inc., a Maryland corporation (the “Company”), is an open-end management investment company registered under the Investment Company Act of 1940, as amended, (the “1940 Act”), that currently offers 18 no-load mutual funds (each series a “Fund” and collectively the “Funds”). TCW Investment Management Company LLC (the “Advisor”) is the investment advisor to and an affiliate of the Funds and is registered under the Investment Advisers Act of 1940, as amended. Each Fund has distinct investment objectives and strategies. The following is a brief description of the investment objectives and principal investment strategies for the Funds that are covered in this report:
TCW Fund | Investment Objectives and Principal Investment | |
Diversified Fixed Income Funds | ||
TCW Core Fixed Income Fund | Seeks to maximize current income and achieve above average total return consistent with prudent investment management over a full market cycle by investing at least 80% of the value of its net assets, plus any borrowings for investment purposes, in debt securities. The Fund may also invest up to 5% of its net assets in below investment grade bonds (commonly known as “junk bonds”). | |
TCW Enhanced Commodity Strategy Fund | Seeks total return which exceeds that of its commodity benchmark by investing primarily in commodity-linked derivative instruments backed by a portfolio of fixed income instruments. The average duration of the Fixed Income Instruments held by the Fund is not expected to exceed 3 years, under normal market conditions. The Fund may invest up to 5% of its net assets in below investment grade bonds, commonly known as “junk bonds”. The Fund may invest up to 15% of its assets in foreign securities that are denominated in U.S. dollars. The Fund may invest up to 5% of its assets in securities of foreign issuers that are not denominated in U.S. dollars. The Fund may invest up to 5% of its assets in emerging market securities. | |
TCW Global Bond Fund | Seeks total return by investing at least 80% of the value of its net assets, plus any borrowings for investment purposes, in debt securities. Under normal market conditions, the Fund invests in securities of issuers located in at least three different countries (one of which may be the United States) and invests at least 30% of its net assets in securities of issuers located outside the United States. The Fund does not limit its investments to a particular credit or ratings category and may invest up to 35% of its net assets in below investment grade bonds, commonly referred to as “junk bonds”. |
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Table of Contents
TCW Funds, Inc.
October 31, 2020 |
Note 1 — Organization (Continued)
TCW Fund | Investment Objectives and Principal Investment | |
TCW High Yield Bond Fund | Seeks to maximize income and achieve above average total return consistent with reasonable risk over a full market cycle by investing at least 80% of the value of its net assets, plus any borrowings for investment purposes, in high yield/below investment grade bonds, commonly known as “junk bonds”. The Fund may invest up to 20% of its net assets in equity securities (including common stock and convertible and non-convertible preferred stocks) and bank loans of companies in the high yield universe. | |
TCW Short Term Bond Fund | Seeks to maximize current income by investing at least 80% of the value of its net assets, plus any borrowings for investment purposes, in a diversified portfolio of debt securities of varying maturities, including bonds, notes and other similar fixed income instruments issued by governmental or private sector issuers. The Fund may also invest up to 10% of its net assets in below investment grade bonds, commonly known as “junk bonds”. Under normal market conditions, the portfolio managers seek to construct an investment portfolio with a dollar-weighted average duration of no more than two years. | |
TCW Total Return Bond Fund | Seeks to maximize current income and achieve above average total return consistent with prudent investment management over a full market cycle by investing at least 80% of the value of its net assets, plus any borrowings for investment purposes, in debt securities; invests at least 50% of 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 Investors Service, Inc., AA- or higher by S&P Global Ratings or the equivalent by any other nationally recognized statistical organization, other obligations of the U.S. government or its agencies, instrumentalities or sponsored corporations, and money market instruments. Under normal market conditions, the portfolio managers seek to construct an investment portfolio with a weighted average duration of no more than eight years. |
97
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 1 — Organization (Continued)
All of the Funds currently offer two classes of shares: Class I shares and Class N shares, except for the TCW Short Term Bond Fund, which only offers Class I shares, and the TCW Core Fixed Income Fund and TCW Total Return Bond Fund, which also offer Plan Class shares. The three classes are substantially the same except that the Class N shares are subject to a distribution fee (see Note 7).
Note 2 — Significant Accounting Policies
The following is a summary of significant accounting policies, which are in conformity with accounting principles generally accepted in the United States of America (“GAAP”) and which are consistently followed by the Funds in the preparation of their financial statements. Each Fund is considered an investment company under the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) No. 946, Financial Services—Investment Companies. Subsequent events, if any, have been evaluated through the date of issuance in the preparation of the financial statements.
Principles of Accounting: The Funds use the accrual method of accounting for financial reporting purposes.
Principles of Consolidation: The TCW Cayman Enhanced Commodity Fund, Ltd. (the “Subsidiary”), a Cayman Islands exempted company, was incorporated as a wholly owned subsidiary acting as an investment vehicle for the TCW Enhanced Commodity Strategy Fund (the “Parent”) in order to effect certain investments for the Parent consistent with the Parent’s investment objectives and policies as specified in its prospectus and statement of additional information. The accompanying financial statements are consolidated and include the accounts of the Subsidiary. The Parent may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary at October 31, 2020 were $230,158 or 19.75% of the Parent’s consolidated net assets. Intercompany balances and transactions have been eliminated in consolidation.
Net Asset Value: The net asset value (“NAV”) per share of each class of a Fund is determined by dividing the Fund’s net assets attributable to each class by the number of shares issued and outstanding of that class on each day the New York Stock Exchange (“NYSE”) is open for trading.
Security Valuations: Securities listed or traded on the NYSE and other stock exchanges are valued at the latest sale price on that exchange. Securities traded on the NASDAQ stock market (“NASDAQ”) are valued using official closing prices as reported by NASDAQ. Investments in open-end mutual funds including money market funds are valued based on the NAV per share as reported by the investment companies. All other securities traded over the counter (“OTC”) for which market quotations are readily available including short-term securities, are valued with prices furnished by independent pricing services or by broker dealers.
Securities for which market quotations are not readily available, including in circumstances under which it is determined by the Advisor that prices received are not reflective of their market values, are valued by the Advisor’s Pricing Committee in accordance with the guidelines established by the Valuation Committee of the Company’s Board of Directors (the “Board,” and each member thereof, a “Director”) and under the general oversight of the Board.
Fair value is defined as the price that a Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market for the investment. In 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
98
Table of Contents
TCW Funds, Inc.
October 31, 2020 |
Note 2 — Significant Accounting Policies (Continued)
to establish classification of fair value measurements based on inputs. Inputs that go into fair value measurement refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the inputs market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
Level 1 — | quoted prices in active markets for identical investments. | |
Level 2 — | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.). | |
Level 3 — | significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments). |
Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement.
Fair Value Measurements: Descriptions of the valuation techniques applied to the Funds’ major categories of assets and liabilities measured at fair value on a recurring basis are as follows:
Asset-backed securities (“ABS”) and mortgage-backed securities (“MBS”). The fair value of ABS and MBS is estimated based on pricing models that consider the estimated cash flows of each debt tranche of the 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.
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Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
Bank loans. The fair value of bank loans is estimated using recently executed transactions, market price quotations, credit/market events, and cross-asset pricing. Inputs are generally observable and are obtained from independent sources. Bank loans are generally categorized in Level 2 of the fair value hierarchy.
Corporate bonds. The fair value of corporate bonds is estimated using recently executed transactions, market price quotations (where observable), bond spreads, or credit default swap spreads adjusted for any basis difference between cash and derivative instruments. Corporate bonds are generally categorized in Level 2 of the fair value hierarchy; in instances where prices, spreads, or any of the other aforementioned key inputs are unobservable, they are categorized in Level 3 of the hierarchy.
Foreign currency contracts. The fair values of foreign currency contracts are derived from indices, reference rates, and other inputs or a combination of these factors. To the extent that these factors can be observed, foreign currency contracts are categorized in Level 2 of the fair value hierarchy.
Futures contracts. Futures contracts are generally valued at the settlement price established at the close of business each day by the exchange on which they are traded. They are categorized in Level 1.
Government and agency securities. Government and agency securities are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. Accordingly, government and agency securities are normally categorized in Level 1 or 2 of the fair value hierarchy depending on the liquidity and transparency of the market.
Money market funds. Money market funds are open-end mutual funds that invest in short-term debt securities. To the extent that these funds are valued based upon the reported NAV, they are categorized in Level 1 of the fair value hierarchy.
Municipal bonds. Municipal bonds are fair valued based on pricing models that take into account, among other factors, information received from market makers and broker-dealers, current trades, bid-wanted lists, offerings, market movements, the callability of the bond, state of issuance, benchmark yield curves, and bond insurance. To the extent that these inputs are observable and timely, the fair values of municipal bonds are categorized in Level 2; otherwise, the fair values are categorized in Level 3.
Restricted securities. Restricted securities, including illiquid Rule 144A securities, issued by non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and therefore the inputs are unobservable. Any other restricted securities valued similar to publicly traded securities may be categorized in Level 2 or 3 of the fair value hierarchy depending on whether a discount is applied and significant to the fair value.
Short-term investments. Short-term investments are valued using market price quotations, and are reflected in Level 1 or Level 2 of the fair value hierarchy.
Total return swaps. Total return swaps are fair valued using pricing models that take into account, among other factors, index spread curves, nominal values, modified duration values and cash flows. To the extent 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.
The summary of the inputs used as of October 31, 2020 is listed after the Schedule of Investments for each Fund.
100
Table of Contents
TCW Funds, Inc.
October 31, 2020 |
Note 2 — Significant Accounting Policies (Continued)
Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value:
TCW Core Fixed Income Fund | TCW Global Bond Fund | TCW High Yield Bond Fund | TCW Total Return Bond Fund | |||||||||||||
Balance as of October 31, 2019 | $ | 984,406 | $ | 104,216 | $ | 25,245 | $ | 4,916,586 | ||||||||
Accrued Discounts (Premiums) | (594 | ) | 18,651 | — | (746,566 | ) | ||||||||||
Realized Gain (Loss) | 107,723 | — | — | 79,144 | ||||||||||||
Net Change in Unrealized Appreciation (Depreciation) | (77,136 | ) | (14,720 | ) | (23,565 | ) | (544,115 | ) | ||||||||
Purchases | — | — | 23,100 | 58,080 | ||||||||||||
Sales | (1,014,399 | ) | — | — | (148,594 | ) | ||||||||||
Transfers in to Level 3 | — | — | 12,545 | (1) | — | |||||||||||
Transfers out of Level 3 | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Balance as of October 31, 2020 | $ | — | $ | 108,147 | $ | 37,325 | $ | 3,614,535 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held at October 31, 2020 | $ | — | $ | (14,720 | ) | $ | (23,565 | ) | $ | (553,383 | ) | |||||
|
|
|
|
|
|
|
|
(1) | Financial assets transferred between Level 2 and Level 3 were due to a change in observable and/or unobservable inputs. |
Significant unobservable valuations inputs for Level 3 investments as of October 31, 2020 are as follows:
Description | Fair Value at 10/31/2020 | Valuation Techniques | Unobservable | Price or Price Range | Average Weighted Price | |||||||
TCW Global Bond Fund | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | $ | 108,147 | Third-party Vendor | Vendor Prices | $8.640 | $8.640 | ||||||
TCW High Yield Bond Fund | ||||||||||||
Bank Loans | $ | 37,016 | Third-party Vendor | Vendor Prices | $59–$94.125 | $67.30 | ||||||
Common Stock | $ | 309 | Third-party Vendor | Vendor Prices | $0.055 | $0.055 | ||||||
TCW Total Return Bond Fund | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | $ | 4,537 | Third-party Vendor | Vendor Prices | $6.878 | $6.878 | ||||||
Residential Mortgage-Backed Securities — Non-Agency (Interest Only, Collateral Strip Rate Securities) | $ | 3,609,998 | Third-party Vendor | Vendor Prices | $0.643–2.285 | $1.568 |
Security Transactions and Related Investment Income: Security transactions are recorded as of the trade date. Dividend income is recorded on the ex-dividend date. Interest income is recognized on an accrual basis. Realized gains and losses on investments are recorded on the basis of specific identification.
Allocation of Operating Activity for Multiple Classes: Investment income, common expenses and realized and unrealized gains and losses are allocated among the classes of shares of a Fund based on the relative net assets of each class. Distribution fees, which are directly attributable to a class of shares, are charged to the operations of that class. All other expenses are charged to each Fund or class as incurred on a specific identification basis. Differences in class-specific fees and expenses will result in differences in net investment income, and in turn differences in dividends paid by each class.
Dividends and Distributions: Dividends and distributions to shareholders are recorded on the ex-dividend date. The TCW Enhanced Commodity Strategy Fund declares and pays, or reinvests, dividends from net investment income quarterly. The other Fixed Income Funds declare and pay, or reinvest, dividends from net investment income monthly. Capital gains realized by a Fund will be distributed at least annually.
101
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TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
Income and capital gain distributions are determined in accordance with income tax regulations which may differ from GAAP. These differences are primarily due to differing treatments for foreign currency transactions, derivative transactions, market discount and premium, losses deferred due to wash sales, excise tax regulations and employing equalization in determining amounts to be distributed to Fund shareholders. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications between paid-in capital, undistributed net investment income (loss), and/or undistributed accumulated realized gain (loss). Undistributed net investment income or loss may include temporary book and tax basis differences which will reverse in subsequent periods. Any taxable income or capital gain remaining at fiscal year-end is distributed in the following year.
Use of Estimates: The preparation of the accompanying financial statements requires management to make estimates and assumptions that affect the reported amount of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from these estimates.
Foreign Currency Translation: The books and records of each Fund are maintained in U.S. dollars as follows: (1) 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.
102
Table of Contents
TCW Funds, Inc.
October 31, 2020 |
Note 2 — Significant Accounting Policies (Continued)
For the year ended October 31, 2020 , the following Funds had derivatives and transactions in derivatives, grouped in the following risk categories:
TCW Core Fixed Income Fund
Credit Risk | Commodity Risk | Foreign Currency Risk | Interest Rate Risk | Total | ||||||||||||||||
Statement of Assets and Liabilities | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Futures Contracts (1) | $ | — | $ | — | $ | — | $ | 43,131 | $ | 43,131 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | — | $ | — | $ | — | $ | 43,131 | $ | 43,131 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liability Derivatives | ||||||||||||||||||||
Futures Contracts (1) | $ | — | $ | — | $ | — | $ | (21,874 | ) | $ | (21,874 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | — | $ | — | $ | — | $ | (21,874 | ) | $ | (21,874 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Statement of Operations: | ||||||||||||||||||||
Net Realized Gain (Loss) | ||||||||||||||||||||
Forward Contracts | $ | — | $ | — | $ | 1,544,558 | $ | — | $ | 1,544,558 | ||||||||||
Futures Contracts | — | — | — | 7,279,661 | 7,279,661 | |||||||||||||||
Options Written | — | — | — | 290,468 | 290,468 | |||||||||||||||
Swap Agreements | — | — | — | 69,582 | 69,582 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Realized Gain (Loss) | $ | — | $ | — | $ | 1,544,558 | $ | 7,639,711 | $ | 9,184,269 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Change in Appreciation (Depreciation) |
| |||||||||||||||||||
Forward Contracts | — | $ | — | $ | (70,399 | ) | $ | — | $ | (70,399 | ) | |||||||||
Futures Contracts | — | — | — | 273,380 | 273,380 | |||||||||||||||
Swap Agreements | — | — | — | 145,100 | 145,100 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Change in Appreciation (Depreciation) | $ | — | $ | — | $ | (70,399 | ) | $ | 418,480 | $ | 348,081 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Number of Contracts or Notional Amounts(2) |
| |||||||||||||||||||
Forward Currency Contracts | $ — | $ — | $22,888,543 | $ — | $22,888,543 | |||||||||||||||
Futures Contracts | — | — | — | 721 | 721 | |||||||||||||||
Swap Agreements | $ — | $ — | $ — | $133,211,667 | $133,211,667 | |||||||||||||||
Options Written | — | — | — | 145 | 145 |
TCW Enhanced Commodity Strategy Fund
Credit Risk | Commodity Risk | Foreign Currency Risk | Interest Rate Risk | Total | ||||||||||||||||
Statement of Asset and Liabilities | ||||||||||||||||||||
Liability Derivatives | ||||||||||||||||||||
Swap Agreements | — | (24,161 | ) | — | — | (24,161 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | — | $ | (24,161 | ) | $ | — | $ | — | $ | (24,161 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Statement of Operations: | ||||||||||||||||||||
Net Realized Gain (Loss) | ||||||||||||||||||||
Swap Agreements | — | (64,317 | ) | — | — | (64,317 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Realized Gain (Loss) | $ | — | $ | (64,317 | ) | $ | — | $ | — | $ | (64,317 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Change in Appreciation (Depreciation) |
| |||||||||||||||||||
Swap Agreements | — | (32,640 | ) | — | — | (32,640 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Change in Appreciation (Depreciation) | $ | — | $ | (32,640 | ) | $ | — | $ | — | $ | (32,640 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Notional Amounts (2) |
| |||||||||||||||||||
Swap Agreements | — | 1,122,463 | — | — | 1,122,463 |
103
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
TCW Global Bond Fund
Credit Risk | Commodity Risk | Foreign Currency Risk | Interest Rate Risk | Total | ||||||||||||||||
Statement of Assets and Liabilities | ||||||||||||||||||||
Asset Derivatives |
| |||||||||||||||||||
Forward Contracts | $ | — | $ | — | $ | 35,562 | $ | — | $ | 35,562 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | — | $ | — | $ | 35,562 | $ | — | $ | 35,562 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liability Derivatives |
| |||||||||||||||||||
Forward Contracts | $ | — | $ | — | $ | (19,021 | ) | $ | — | $ | (19,021 | ) | ||||||||
Futures Contracts (1) | — | — | — | (911 | ) | (911 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | — | �� | $ | — | $ | (19,021 | ) | $ | (911 | ) | $ | (19,932 | ) | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Statement of Operations: |
| |||||||||||||||||||
Net Realized Gain (Loss) |
| |||||||||||||||||||
Forward Contracts | $ | — | $ | — | $ | 106,035 | $ | — | $ | 106,035 | ||||||||||
Futures Contracts | — | — | — | 154,066 | 154,066 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Realized Gain (Loss) | $ | — | $ | — | $ | 106,035 | $ | 154,066 | $ | 260,101 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Change in Appreciation (Depreciation) |
| |||||||||||||||||||
Forward Contracts | — | — | 19,930 | — | 19,930 | |||||||||||||||
Futures Contracts | — | — | — | 24,260 | 24,260 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Change in Appreciation (Depreciation) | $ | — | $ | — | $ | 19,930 | $ | 24,260 | $ | 44,190 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Number of Contracts or Notional Amounts (2) |
| |||||||||||||||||||
Forward Currency Contracts | — | — | 5,941,250 | — | 5,941,250 | |||||||||||||||
Futures Contracts | — | — | — | 13 | 13 |
TCW High Yield Bond Fund
Credit Risk | Commodity Risk | Foreign Currency Risk | Interest Rate Risk | Total | ||||||||||||||||
Statement of Assets and Liabilities | ||||||||||||||||||||
Asset Derivatives |
| |||||||||||||||||||
Futures Contracts (1) | $ | — | $ | — | $ | — | $ | 191,037 | $ | 191,037 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | — | $ | — | $ | — | $ | 191,037 | $ | 191,037 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Statement of Operations: |
| |||||||||||||||||||
Net Realized Gain (Loss) |
| |||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | 62,012 | $ | 62,012 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Realized Gain (Loss) | $ | — | $ | — | $ | — | $ | 62,012 | $ | 62,012 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Change in Appreciation (Depreciation) |
| |||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | 160,613 | $ | 160,613 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Change in Appreciation (Depreciation) | $ | — | $ | — | $ | — | $ | 160,613 | $ | 160,613 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Number of Contracts |
| |||||||||||||||||||
Futures Contracts | — | — | — | 63 | 63 |
104
Table of Contents
TCW Funds, Inc.
October 31, 2020 |
Note 2 — Significant Accounting Policies (Continued)
TCW Short Term Bond Fund
Credit Risk | Commodity Risk | Foreign Currency Risk | Interest Rate Risk | Total | ||||||||||||||||
Statement of Assets and Liabilities | ||||||||||||||||||||
Asset Derivatives |
| |||||||||||||||||||
Futures Contracts (1) | $ | — | $ | — | $ | — | $ | 2,202 | $ | 2,202 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | — | $ | — | $ | — | $ | 2,202 | $ | 2,202 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Statement of Operations: |
| |||||||||||||||||||
Net Realized Gain (Loss) |
| |||||||||||||||||||
Forward Contracts | $ | — | $ | — | $ | 7,019 | $ | — | $ | 7,019 | ||||||||||
Futures Contracts | — | — | — | (7,451 | ) | (7,451 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Realized Gain (Loss) | $ | — | $ | — | $ | 7,019 | $ | (7,451 | ) | $ | (432 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Change in Appreciation (Depreciation) |
| |||||||||||||||||||
Forward Contracts | $ | — | $ | — | $ | 151 | $ | — | $ | 151 | ||||||||||
Futures Contracts | — | — | — | 3,037 | 3,037 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Change in Appreciation (Depreciation) | $ | — | $ | — | $ | 151 | $ | 3,037 | $ | 3,188 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Number of Contracts or Notional Amounts (2) |
| |||||||||||||||||||
Forward Currency Contracts | $ — | $ — | $ 140,615 | $ — | $ 140,615 | |||||||||||||||
Futures Contracts | — | — | — | 7 | 7 |
TCW Total Return Bond Fund
Credit Risk | Commodity Risk | Foreign Currency Risk | Interest Rate Risk | Total | ||||||||||||||||
Statement of Assets and Liabilities | ||||||||||||||||||||
Liability Derivatives |
| |||||||||||||||||||
Futures Contracts (1) | $ | — | $ | — | $ | — | $ | (22,486,174 | ) | $ | (22,486,174 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | — | $ | — | $ | — | $ | (22,486,174 | ) | $ | (22,486,174 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Statement of Operations: |
| |||||||||||||||||||
Net Realized Gain (Loss) |
| |||||||||||||||||||
Forward Contracts | $ | — | $ | — | $ | 1,933,359 | $ | — | $ | 1,933,359 | ||||||||||
Futures Contracts | — | — | — | 48,940,033 | 48,940,033 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Realized Gain (Loss) | $ | — | $ | — | $ | 1,933,359 | $ | 48,940,033 | $ | 50,873,392 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Change in Appreciation (Depreciation) |
| |||||||||||||||||||
Forward Contracts | $ | — | $ | — | $ | (611,710 | ) | $ | — | $ | (611,710 | ) | ||||||||
Futures Contracts | — | — | — | (19,340,572 | ) | (19,340,572 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Change in Appreciation (Depreciation) | $ | — | $ | — | $ | (611,710 | ) | $ | (19,340,572 | ) | $ | (19,952,282 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Number of Contracts or Notional Amounts (2) |
| |||||||||||||||||||
Forward Currency Contracts | $ — | $ — | $59,685,086 | $ — | $59,685,086 | |||||||||||||||
Futures Contracts | — | — | — | 9,649 | 9,649 |
(1) | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only variation margin on October 31, 2020 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 year ended October 31, 2020. |
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.
105
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
With exchange-traded futures and centrally cleared swaps, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, the credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Funds do not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.
For OTC derivatives, the Funds mitigate their counterparty risk by entering into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with each counterparty. An ISDA Master Agreement is a bilateral agreement between the Funds and a counterparty that governs OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Funds may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event a Fund’s net assets declines by a stated percentage or a Fund fails to meet the terms of its ISDA Master Agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.
Collateral requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral pledged or received by a Fund.
Cash collateral that has been pledged to cover obligations of a Fund is reported separately on the Statement of Assets and Liabilities. Non-cash collateral pledged by a Fund, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold, typically $250,000 or $500,000, before a transfer is required, which is determined at the close of each business day and the collateral is transferred on the next business day. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. The Funds attempt to mitigate counterparty risk by entering into agreements only with counterparties that the Advisor believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities. The Funds have implemented the disclosure requirements pursuant to FASB Accounting Standards Update (“ASU”)
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No. 2013-01, Disclosures about Offsetting Assets and Liabilities that requires disclosures to make financial statements that are prepared under GAAP more comparable to those prepared under International Financial Reporting Standards.
Master Agreements and Netting Arrangements. Certain Funds are parties to various agreements, including but not limited to International Swaps and Derivatives Association Agreements and related Credit Support Annex, Master Repurchase Agreements, and Master Securities Forward Transactions Agreements (collectively “Master Agreements”), which govern the terms of certain transactions with select counterparties. These Master Agreements generally include provisions for general obligations, representations, agreements, collateral, and certain events of default or termination. These Master Agreements also include provisions for netting arrangements that help reduce credit and counterparty risk associated with relevant transactions (“netting arrangements”). The netting arrangements are generally tied to credit-related events that, if triggered, would cause an event of default or termination giving a Fund or counterparty the right to terminate early and cause settlement, on a net basis, of all transactions under the applicable Master Agreement. In the event of an early termination as a result of an event of default under the Master Agreement, the total value exposure of all transactions will be offset against collateral exchanged to date, which would result in a net receivable or payable that would be due from or to the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in the event of a bankruptcy or insolvency of the counterparty. Credit related events include, but are not limited to, bankruptcy, failure to make timely payments, restructuring, obligation acceleration, obligation default, a material decline in net assets, decline in credit rating or repudiation/moratorium. Any election made by a counterparty to early terminate the transactions under a Master Agreement could have a material adverse impact on a Fund’s financial statements. A Fund’s overall exposure to credit risk, subject to netting arrangements can change substantially within a short period, as it is affected by each transaction subject to the arrangement.
Master Agreements can also help limit counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under the Master Agreements, collateral is routinely transferred if the total net exposure to certain transactions under the relevant Master Agreement with a counterparty in a given Fund exceeds a specified threshold, net of collateral already in place, typically $250,000 or $500,000 depending on the counterparty and the type of Master Agreement. Collateral under the Master Agreements is usually in the form of cash or U.S. Treasury Bills but could include other types of securities. If permitted under the Master Agreement, certain funds may rehypothecate cash collateral received from a counterparty. The value of all derivative transactions outstanding under a Master Agreement is calculated daily to determine the amount of collateral to be received or pledged by the counterparty. Posting of collateral for OTC derivative transactions are covered under tri-party collateral agreements between the Fund, the Fund’s custodian, and each counterparty. Collateral for centrally cleared derivatives transactions are posted with the applicable derivatives clearing organization.
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The following table presents the Funds’ OTC derivatives assets and liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement and net of the related collateral received by the Funds as of October 31, 2020:
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 | $ | — | $ | (24,161 | ) | $ | (24,161 | ) | $ | — | $ | (24,161 | ) | |||||||
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Total | $ | — | $ | (24,161 | ) | $ | (24,161 | ) | $ | — | $ | (24,161 | ) | |||||||
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(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
TCW Global Bond Fund
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Counterparty | Gross Assets Subject to Master Agreements | Gross Liabilities Subject to Master Agreements | Net Assets (Liabilities) Subject to Master Agreements | Collateral Pledged (Received) | Net Amount (1) | |||||||||||||||
Goldman Sachs & Co. | 13,377 | (3,899 | ) | $ | 9,478 | $ | — | $ | 9,478 | |||||||||||
State Street Bank & Trust Co. | 22,185 | (15,122 | ) | 7,063 | — | 7,063 | ||||||||||||||
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Total | $ | 35,562 | $ | (19,021 | ) | $ | 16,541 | $ | — | $ | 16,541 | |||||||||
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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
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experience greater than anticipated prepayments of principal, a Fund may not fully recoup its initial investment in IOs.
Inflation-Indexed Bonds: The Funds may invest in inflation-indexed bonds, which are fixed income securities whose principal value or coupon is periodically adjusted according to the rate of inflation. Any increase or decrease in the principal amount of an inflation-indexed bond will be included as interest income.
Inflation-indexed securities issued by the U.S. Treasury have maturities of five, ten, twenty, or thirty years, although it is possible that securities with other maturities will be issued in the future. The U.S. Treasury securities pay interest on a semi-annual basis, equal to a fixed percentage of the inflation-adjusted principal amount.
If the periodic adjustment rate measuring inflation falls, the principal value of inflation-indexed bonds will be adjusted downward, and consequently the interest payable on these securities (calculated with respect to a smaller principal amount) will be reduced. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds, even during a period of deflation. However, the current market value of the bonds is not guaranteed, and will fluctuate. The Funds may also invest in other inflation- related bonds which may or may not provide a similar guarantee. If a guarantee of principal is not provided, the adjusted principal value of the bond repaid at maturity may be less than the original principal.
The value of inflation-indexed bonds is expected to change in response to changes in real interest rates. Real interest rates in turn are tied to the relationship between nominal interest rates and the rate of inflation. Therefore, if inflation were to rise at a faster rate than nominal interest rates, real interest rates might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increased at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds.
While the values of these securities are expected to be protected from long-term inflationary trends, short-term increases in inflation may lead to declines in values. If interest rates rise due to reasons other than inflation (for example, due to changes in currency exchange rates), investors in these securities may not be protected to the extent that the increase is not reflected in the bond’s inflation measure.
When-Issued, Delayed-Delivery, To Be Announced (“TBA”) and Forward Commitment Transactions: The Funds may enter into when-issued, delayed-delivery, TBA or forward commitment transactions in order to 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, TBA or forward commitment transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. Although the Fund does not pay for the securities or start earning interest on them until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If a Fund’s counterparty fails to deliver a security purchased on a when-issued, delayed-delivery, TBA or forward commitment basis, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.
Prior to settlement of these transactions, the value of the subject securities will fluctuate with market conditions. In addition, because the Fund is not required to pay for when-issued, delayed-delivery, TBA or forward commitment securities until the delivery date, they may result in a form of leverage to the extent the Fund does not set aside liquid assets to cover the commitment. To guard against this deemed leverage,
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the Fund monitors the obligations under these transactions on a daily basis and ensures that the Fund has sufficient liquid assets to cover them.
Dollar Roll Transactions: The Funds may enter into dollar roll transactions with financial institutions to take advantage of opportunities in the MBS market. A dollar roll transaction involves a simultaneous sale of securities by a Fund with an agreement to repurchase substantially similar securities at an agreed upon price and date, but generally will be collateralized at time of delivery by different pools of mortgages with different prepayment histories than those securities sold. These transactions are accounted for as financing transactions as opposed to sales and purchases. The differential between the sale price and the repurchase price is recorded as deferred income and recognized between the settlement dates of the sale and repurchase. During the period between the sale and repurchase, a Fund will not be entitled to receive interest and principal payments on the securities sold. Dollar roll transactions involve risk that the market value of the security sold by a Fund may decline below the repurchase price of the security and the counterparties may potentially be unable to complete the transaction. There were no such transactions by the Funds for the year ended October 31, 2020.
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 an MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, each Fund receives securities as collateral with a market value in excess of the repurchase price. Upon a bankruptcy or insolvency of the MRA counterparty, a Fund recognizes a liability with respect to such excess collateral to reflect the Fund’s obligation under bankruptcy law to return the excess to the counterparty. There were no repurchase agreements outstanding as of October 31, 2020.
Reverse Repurchase Agreements: The Funds may enter into reverse repurchase agreements. Under a reverse repurchase agreement, a Fund sells portfolio assets subject to an agreement by the Fund to repurchase the same assets at an agreed upon price and date. The Funds may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. During the term of the reverse repurchase agreement, the Funds continue to receive the principal and interest payments on the securities sold. There were no reverse repurchase agreements outstanding during the year ended October 31, 2020.
Security Lending: The Funds may lend their securities to qualified brokers. The loans must be collateralized at all times primarily with cash although the Funds can accept money market instruments or U.S. Government securities with a market value at least equal to the market value of the securities on loan. As with any extensions of credit, the Funds may bear the risk of delay in recovery or even loss of rights in the collateral if the borrowers of the securities fail financially. The Funds earn additional income for lending their securities by investing the cash collateral in short-term investments. The Funds did not lend any securities during the year ended October 31, 2020.
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
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daily and the change in market value is recorded by the Funds as unrealized gains or losses in the Statement of Assets and Liabilities. When a contract is closed or delivery is taken, a Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of the foreign currency relative to the U.S. dollar. The TCW Core Fixed Income Fund, the TCW Global Bond Fund, the TCW Short Term Bond Fund and the TCW Total Return Bond Fund entered into forward foreign currency contracts during the year to hedge against the foreign currency exposure within the Funds. Outstanding foreign currency forward contracts at October 31, 2020 are disclosed in the Schedule of Investments.
Futures Contracts: The Funds may enter into futures contracts. A Fund may seek to manage a variety of different risks through the use of futures contracts, such as interest rate risk, equity price risk, and currency risk. A Fund may use index futures to hedge against broad market risks to its portfolio or to gain broad market exposure. Securities index futures contracts are contracts to buy or sell units of a securities index at a specified future date at a price agreed upon when the contract is made, and are settled in cash. Positions in futures may be closed out only on an exchange or board of trade which provides a secondary market for such futures. Because futures contracts are exchange-traded, they typically have minimal exposure to counterparty risk. Parties to a futures contract are not required to post the entire notional amount of the contract, but rather a small percentage of that amount (by way of margin), both at the time they enter into futures transactions, and then on a daily basis if their positions decline in value; as a result, futures contracts are highly leveraged. Such payments are known as variation margin and are recorded by a Fund as unrealized gains or losses. Because futures markets are highly leveraged, they can be extremely volatile, and there can be no assurance that the pricing of a futures contract will correlate precisely with the pricing of the asset or index underlying it or the asset or liability of a Fund that is the subject of the hedge. It may not always be possible for a Fund to enter into a closing transaction with respect to a futures contract it has entered into at a favorable time or price. When a Fund enters into a futures transaction, it is subject to the risk that the value of the futures contract will move in a direction unfavorable to it.
When a Fund uses futures contracts for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part. When a futures contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The TCW Core Fixed Income Fund, the TCW Global Bond Fund, the TCW High Yield Bond Fund, the TCW Short Term Bond Fund and the TCW Total Return Bond Fund utilized futures during the year ended October 31, 2020 to help manage interest rate duration of those Funds. Futures contracts outstanding at October 31, 2020 are listed on the Schedule of Investments.
Options: The Funds may purchase and sell put and call options on a security or an index of securities to enhance investment performance and to protect against changes in market prices. The Funds may also enter into currency options to hedge against or to take advantage of currency fluctuations.
A call option gives the holder the right to purchase, and obligates the writer to sell, a security at the strike price at any time before the expiration date. A put option gives the holder the right to sell, and obligates the writer to buy, a security at the exercise price at any time before the expiration date. A Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by
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it. A Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If a Fund holds the security underlying the option, the option premium and any transaction costs will reduce any profit the Fund might have realized had it sold the underlying security instead of buying the put option. A Fund may purchase call options to hedge against an increase in the price of securities that the Fund ultimately wants to buy. A Fund may also purchase a call option as a long directional investment hoping to profit from an anticipated increase in the value of the underlying security. In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit a Fund might have realized had it bought the underlying security at the time it purchased the call option.
Purchasing foreign currency options gives a Fund the right, but not the obligation, to buy or sell specified amounts of currency at a rate of exchange that may be exercised by a certain date. These currency options may be used as a short or long hedge against possible variations in foreign exchange rates or to gain exposure to foreign currencies.
When a Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the underlying security does not rise (in the case of a call) or fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. Premiums paid for purchasing options that expired are treated as realized losses.
Options purchased or sold by a Fund may be traded on a securities or options exchange. Such options typically have minimal exposure to counterparty risk. However, an exchange or market may at times find it necessary to impose restrictions on particular types of options transactions, such as opening transactions. If an underlying security ceases to meet qualifications imposed by an exchange or the Options Clearing Corporation, new series of options on that security will no longer be opened to replace the expiring series, and opening transactions in existing series may be prohibited.
OTC options are options not traded on exchanges or backed by clearinghouses. Rather, they are entered into directly between a Fund and the counterparty to the option. In the case of an OTC option purchased by a Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result a Fund may be required to remain obligated on an unfavorable OTC option until its expiration.
During the year ended October 31, 2020, the TCW Core Fixed Income Fund held written options.
Swap Agreements. The Funds may enter into swap agreements. Swap agreements are typically two-party contracts entered into primarily by institutional investors. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments, which may be adjusted for an interest factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount” (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or in a “basket” of securities representing a particular index).
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In a total return swap, one party typically agrees to pay to the other a short-term interest rate in return for a payment at one or more times in the future based on the increase in the value of an underlying security or other asset, or index of securities or assets; if the underlying security, asset, or index declines in value, the party that pays the short-term interest rate must also pay to its counterparty a payment based on the amount of the decline. A Fund may take either side of such a swap, and so may take a long or short position in the underlying security, asset, or index. A Fund may enter into a total return swap to hedge against an exposure in its portfolio — such as interest rate risk (including to adjust the duration or credit quality of a Fund’s bond portfolio), equity risk, or credit risk—or generally to put cash to work efficiently in the markets in anticipation of, or as a replacement for, cash investments. A Fund may also enter into a total return swap to gain exposure to securities or markets in which it might not be able to invest directly (in so called market-access transactions).
Interest rate swaps are agreements in which one party pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time. Alternatively, a party may pay a fixed rate and receive a floating rate. In more complex swaps, the notional principal amount may decline (or amortize) over time. A Fund’s maximum risk of loss due to counterparty default is the discounted NAV of the cash flows paid to/received from the counterparty over the interest rate swap’s remaining life.
A Fund may enter into credit default swap transactions as a “buyer” or “seller” of credit protection. In a credit default swap, one party provides what is in effect insurance against a default or other adverse credit event affecting an issuer of debt securities (typically referred to as a “reference entity”). In general, the buyer of credit protection is obligated to pay the protection seller an upfront amount or a periodic stream of payments over the term of the swap. If a “credit event” occurs, the buyer has the right to deliver to the seller bonds (or other obligations of the reference entity with a value up to the full notional value of the swap), and to receive a payment equal to the par value of the bonds or other obligations. Credit events that would trigger a request that the seller make payment are specific to each credit default swap agreement, but generally include bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium. When a Fund buys protection, it may or may not own securities of the reference entity. When a Fund sells protection under a credit default swap, the position may have the effect of creating leverage in the Fund’s portfolio through the Fund’s indirect long exposure to the issuer or securities on which the swap is written. When a Fund sells protection, it may do so either to earn additional income or to create such a “synthetic” long position.
Whenever a Fund enters into a swap agreement, it takes on counterparty risk — the risk that its counterparty will be unable or unwilling to meet its obligations under the swap agreement. A Fund also takes the risk that the market will move against its position in the swap agreement. In the case of a total return swap, the swap will change in value depending on the change in value of the asset or index on which the swap is written. When a Fund enters into any type of swap for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the swap, at least in part. Swap agreements may be non-transferable or otherwise highly illiquid, and a Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.
During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking-to-market to reflect the market value of the swap. When the swap is terminated, a Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from (or cost
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of) the closing transaction and the Fund’s basis in the agreement. Upfront swap premium payments paid or received by a Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gains or losses on each Fund’s Statement of Operations upon termination or maturity of the swap agreement.
During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security. These periodic payments received or made by the Funds are recorded as realized gains and losses, respectively. During the year ended October 31, 2020, the TCW Core Fixed Income Fund entered into interest rate swaps to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds which may decrease when interest rates rise (interest rate risk); the TCW Enhanced Commodity Strategy Fund used total return swap agreements to gain exposure to the commodity market.
Note 4 — Risk Considerations
Market Risk: The Funds’ investments will fluctuate with market conditions, 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
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principal amount invested. Also, suitable derivative transactions may not be available in all circumstances and there can be no assurance that the Funds will achieve their objective through the use of the derivatives.
Credit Risk: The values of any of the Funds’ investments may also decline in response to events affecting the issuer or its credit rating. The lower-rated debt securities in which a Fund may invest are considered speculative and are subject to greater volatility and risk of loss than investment-grade securities, particularly in deteriorating economic conditions. The value of some mortgage-related securities in which the Funds invest also may fall because of unanticipated levels of principal prepayments that can occur when interest rates decline. Certain Funds invest a material portion of their assets in securities of issuers that hold mortgage- and asset-backed securities and direct investments in securities backed by commercial and residential mortgage loans and other financial assets. The value and related income of these securities are sensitive to changes in economic conditions, including delinquencies and/or defaults. Continuing shifts in the market’s perception of credit quality on securities backed by commercial and residential mortgage loans and other financial assets may result in increased volatility of market price and periods of illiquidity that can negatively impact the valuation of certain issuers held by the Funds.
MBS and ABS are characterized and classified in a variety of different ways. These classifications include a view of the securities’ cash flow structure (pass-through, sequential pay, prepayment-protected, interest only, principal-only, etc.), the security of the claim on the underlying assets (senior, mezzanine and subordinated), as well as types of underlying collateral (prime conforming loans, prime non-conforming loans, Alt-A loans, subprime loans, commercial loans, etc.). In many cases, the classification incorporates a degree of subjectivity: a particular loan might be categorized as “prime” by the underwriting standards of one mortgage issuer while another might classify the loan as “subprime.” In addition to other functions, the risk associated with an investment in a mortgage loan must take into account the nature of the collateral, the form and the level of credit enhancement, the vintage of the loan, the geography of the loan, the purpose of the loan (refinance versus purchase versus equity takeout), the borrower’s credit quality (e.g., FICO score), and whether the loan is a first trust deed or a second lien.
Counterparty Risk: The Funds may be exposed to counterparty risk, the risk that an entity with which the Funds have unsettled or open transactions may not fulfill its obligations.
Commodities Risk: The TCW Enhanced Commodity Strategy Fund has exposure to commodity markets through its investments in total return swap agreements. Therefore, the price of its shares is affected by factors particular to the commodity markets and may decline and fluctuate more than the price of shares of a fund with a broader range of investments. Commodity prices can be extremely volatile and are affected by many factors, including changes in overall market movements, real or perceived inflationary trends, commodity index volatility, changes in interest rates or currency exchange rates, population growth and changing demographics, nationalization, expropriation, or other confiscation, international regulatory, political and economic developments (e.g., regime changes and changes in economic activity levels), and developments affecting a particular industry or commodity, such as drought, floods or other weather conditions, livestock disease, trade embargoes, competition from substitute products, transportation bottlenecks or shortages, fluctuations in supply and demand, and tariffs.
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.
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Note 4 — Risk Considerations (Continued)
Foreign Investment Risk: The Funds may be exposed to the risk that the Funds’ share prices will fluctuate with market conditions, currency exchange rates and the economic and political climates in countries where the Funds invest.
Investment Style Risk: Certain Funds may also be subject to investment style risk. The Advisor’s investment styles may be out of favor at times or may not produce the best results over short or longer time periods and may increase the volatility of a Fund’s share price.
LIBOR Risk: The London Interbank Offered Rate (“LIBOR”) historically has been and currently is used extensively in the U.S. and globally as a “benchmark” or “reference rate” for various commercial and financial contracts, including corporate and municipal bonds, bank loans, asset-backed and mortgage-related securities, interest rate swaps and other derivatives. For example, debt securities in which a Fund invests may pay interest at floating rates based on LIBOR or may be subject to interest caps or floors based on LIBOR. A Fund’s derivative investments may also reference LIBOR. In July 2017, the head of the United Kingdom Financial Conduct Authority announced the intention to phase out the use of LIBOR by the end of 2021. There is currently no definitive information regarding the future utilization of LIBOR or of any particular replacement reference rate. Abandonment of or modifications to LIBOR could have adverse impacts on newly issued financial instruments and existing financial instruments that reference LIBOR. The expected discontinuation of LIBOR could have a significant impact on the financial markets and may present a material risk for certain market participants, including investment companies such as the Funds. Abandonment of or modifications to LIBOR could lead to significant short- and long-term uncertainty and market instability. The risks associated with this discontinuation and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. It remains uncertain how such changes would be implemented and the effects such changes would have on the Funds, issuers of instruments in which the Funds invest, and the financial markets generally.
Public Health Emergencies Risk and Impact of the Coronavirus (COVID-19): Pandemics and other local, national, and international public health emergencies, including outbreaks of infectious diseases such as SARS, H1N1/09 Flu, the Avian Flu, Ebola and the current outbreak of the novel coronavirus (“COVID-19”), can result, and in the case of COVID-19 is resulting, in market volatility and disruption, and any similar future emergencies may materially and adversely impact economic production and activity in ways that cannot be predicted, all of which could result in substantial investment losses.
The World Health Organization officially declared in March 2020 that the COVID-19 outbreak formally constitutes a “pandemic.” This outbreak has caused a worldwide public health emergency, straining healthcare resources and resulting in extensive and growing numbers of infections, hospitalizations and deaths. In an effort to contain COVID-19, local, regional, and national governments, as well as private businesses and other organizations, have imposed and continue to impose severely restrictive measures, including instituting local and regional quarantines, restricting travel (including closing certain international borders), prohibiting public activity (including “stay-at-home,” “shelter-in-place,” and similar orders), and ordering the closure of a wide range of offices, businesses, schools, and other public venues. Consequently, COVID-19 has significantly diminished and disrupted global economic production and activity of all kinds and has contributed to both volatility and a severe decline in financial markets. Among other things, these unprecedented developments have resulted in: (i) material reductions in demand across most categories of consumers and businesses; (ii) dislocation (or, in some cases, a complete halt) in the credit and capital markets; (iii) labor force and operational disruptions; (iv) slowing or complete
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Note 4 — Risk Considerations (Continued)
idling of certain supply chains and manufacturing activity; and (v) strain and uncertainty for businesses and households, with a particularly acute impact on industries dependent on travel and public accessibility, such as transportation, hospitality, tourism, retail, sports, and entertainment. The ultimate impact of COVID-19 (and of the resulting precipitous decline and disruption in economic and commercial activity across many of the world’s economies) on global economic conditions, and on the operations, financial condition, and performance of any particular market, industry or business, is impossible to predict. However, ongoing and potential additional materially adverse effects, including further global, regional and local economic downturns (including recessions) of indeterminate duration and severity, are possible. The extent of COVID-19’s impact will depend on many factors, including the ultimate duration and scope of the public health emergency and the restrictive countermeasures being undertaken, as well as the effectiveness of other governmental, legislative, and financial and monetary policy interventions designed to mitigate the crisis and address its negative externalities, all of which are evolving rapidly and may have unpredictable results. Even if COVID-19’s spread is substantially contained, it will be difficult to assess what the longer-term impacts of an extended period of unprecedented economic dislocation and disruption will be on future economic developments, the health of certain markets, industries and businesses, and commercial and consumer behavior.
The ongoing COVID-19 crisis and any other public health emergency could have a significant adverse impact on our investments and result in significant investment losses. The extent of the impact on business operations and performance of market participants and the companies in which we invest depends and will continue to depend on many factors, virtually all of which are highly uncertain and unpredictable, and this impact may include or lead to: (i) significant reductions in revenue and growth; (ii) unexpected operational losses and liabilities; (iii) impairments to credit quality; and (iv) reductions in the availability of capital. These same factors may limit the ability to source, research, and execute new investments, as well as to sell investments in the future, and governmental mitigation actions may constrain or alter existing financial, legal, and regulatory frameworks in ways that are adverse to the investment strategies we intend to pursue, all of which could materially diminish our ability to fulfill investment objectives. They may also impair the ability of the companies in which we invest or their counterparties to perform their respective obligations under debt instruments and other commercial agreements (including their ability to pay obligations as they become due), potentially leading to defaults with uncertain consequences, including the potential for defaults by borrowers under debt instruments held in a client’s portfolio. In addition, an extended period of remote working by the employees of the companies in which we invest subjects those companies to additional operational risks, including heightened cybersecurity risk. Remote working environments may be less secure and more susceptible to cyberattacks that seek to exploit the COVID-19 pandemic, and the operational damage of any such events could potentially disrupt our business and reduce the value of our investments. The operations of securities markets may also be significantly impacted, or even temporarily or permanently halted, as a result of government quarantine measures, restrictions on travel and movement, remote-working requirements, and other factors related to a public health emergency, including the potential adverse impact on the health of any such entity’s personnel. These measures may also hinder normal business operations by impairing usual communication channels and methods, hampering the performance of administrative functions such as processing payments and invoices, and diminishing the ability to make accurate and timely projections of financial performance. Because our ability to execute transactions on behalf of the Funds is dependent upon the timely performance of multiple third parties, any interruptions in the business operations of those third parties could impair our ability to effectively implement a Fund’s investment strategies.
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Notes to Financial Statements (Continued)
Note 4 — Risk Considerations (Continued)
For complete information on the various risks involved, please refer to the Funds’ prospectus and the Statement of Additional Information which can be obtained on the Funds’ website (www.tcw.com) or by calling customer service at 800-FUND-TCW (800-386-3829).
Note 5 — Federal Income Taxes
It is the policy of each Fund to comply with the requirements under Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its net taxable income, including any net realized gains on investments, to its shareholders. Therefore, no federal income tax provision is required.
At October 31, 2020, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Gain | Total Distributable Earnings | ||||||||||
TCW Core Fixed Income Fund | $ | 29,951,449 | $ | 10,445,101 | $ | 40,396,550 | ||||||
TCW Enhanced Commodity Strategy Fund | 3,919 | 2,093 | 6,012 | |||||||||
TCW Global Bond Fund | 696,074 | 270,114 | 966,188 | |||||||||
TCW High Yield Bond Fund | 407,157 | — | 407,157 | |||||||||
TCW Total Return Bond Fund | 45,472,713 | 37,218,358 | 82,691,071 |
At the end of the previous fiscal year ended October 31, 2019, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Gain | Total Distributable Earnings | ||||||||||
TCW Core Fixed Income Fund | $ | 2,834,577 | $ | — | $ | 2,834,577 | ||||||
TCW Enhanced Commodity Strategy Fund | 12,088 | 1,591 | 13,679 | |||||||||
TCW Global Bond Fund | 263,635 | 205,856 | 469,491 | |||||||||
TCW High Yield Bond Fund | 118,403 | — | 118,403 | |||||||||
TCW Short Term Bond Fund | 22,787 | — | �� | 22,787 | ||||||||
TCW Total Return Bond Fund | 38,910,864 | — | 38,910,864 |
Permanent differences incurred during the year ended October 31, 2020, resulting from differences in book and tax accounting, have been reclassified at year-end between undistributed net investment income (loss), undistributed (accumulated) net realized gain (loss) and paid-in capital as follows, with no impact to the net asset value per share:
Undistributed Net Investment Income (Loss) | Undistributed (Accumulated) Net Realized Gain (Loss) | Paid-in Capital | ||||||||||
TCW Core Fixed Income Fund | $ | 2,377,508 | $ | (7,907,866 | ) | $ | 5,530,358 | |||||
TCW Enhanced Commodity Strategy Fund | 4,266 | (4,266 | ) | — | ||||||||
TCW Global Bond Fund | (168,551 | ) | 151,900 | 16,651 | ||||||||
TCW High Yield Bond Fund | 152,098 | (487,122 | ) | 335,024 | ||||||||
TCW Short Term Bond Fund | (9,053 | ) | 9,053 | — | ||||||||
TCW Total Return Bond Fund | 6,357,013 | (30,406,081 | ) | 24,049,068 |
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Note 5 — Federal Income Taxes (Continued)
During the year ended October 31, 2020, the tax character of distributions paid was as follows:
Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distributions | |||||||||||||
TCW Core Fixed Income Fund | $ | 27,086,856 | $ | $ | $ | 27,086,856 | ||||||||||
TCW Enhanced Commodity Strategy Fund | 42,313 | 1,594 | — | 43,907 | ||||||||||||
TCW Global Bond Fund | 496,144 | 205,958 | — | 702,102 | ||||||||||||
TCW High Yield Bond Fund | 1,907,838 | — | — | 1,907,838 | ||||||||||||
TCW Short Term Bond Fund | 95,527 | — | 23,540 | 119,067 | ||||||||||||
TCW Total Return Bond Fund | 195,474,335 | — | — | 195,474,335 |
During the previous fiscal year ended October 31, 2019, the tax character of distributions paid was as follows:
Ordinary Income | Long-Term Capital Gain | Total Distributions | ||||||||||
TCW Core Fixed Income Fund | $ | 32,114,075 | $ | — | $ | 32,114,075 | ||||||
TCW Enhanced Commodity Strategy Fund | 37,641 | — | 37,641 | |||||||||
TCW Global Bond Fund | 260,216 | — | 260,216 | |||||||||
TCW High Yield Bond Fund | 825,192 | — | 825,192 | |||||||||
TCW Short Term Bond Fund | 198,576 | — | 198,576 | |||||||||
TCW Total Return Bond Fund | 252,214,676 | — | 252,214,676 |
At October 31, 2020, net unrealized appreciation (depreciation) on investments for federal income tax purposes was as follows:
Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation | Cost of Investments for Federal Income Tax Purposes | |||||||||||||
TCW Core Fixed Income Fund | $ | 44,531,489 | $ | (5,525,574 | ) | $ | 39,005,915 | $ | 1,940,086,861 | |||||||
TCW Enhanced Commodity Strategy Fund | 22,413 | (7,222 | ) | 15,191 | 1,215,140 | |||||||||||
TCW Global Bond Fund | 837,381 | (361,072 | ) | 476,309 | 23,065,099 | |||||||||||
TCW High Yield Bond Fund | 1,686,102 | (1,132,412 | ) | 553,690 | 100,302,018 | |||||||||||
TCW Short Term Bond Fund | 73,292 | (26,839 | ) | 46,453 | 7,783,688 | |||||||||||
TCW Total Return Bond Fund | 372,254,892 | (96,958,148 | ) | 275,296,744 | 8,730,758,391 |
At October 31, 2020, the following Funds had net realized losses that will be carried forward indefinitely for federal income tax purposes:
Short-Term Capital Losses | Long-Term Capital Losses | Total | ||||||||||
TCW Short Term Bond Fund | 54,087 | 223,686 | 277,773 |
The Funds did not have any unrecognized tax benefits at October 31, 2020, nor were there any increases or decreases in unrecognized tax benefits for the year ended October 31, 2020. 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.
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Note 6 — Fund Management Fees and Other Expenses
The Funds pay to the Advisor, as compensation for services rendered, facilities furnished and expenses borne by it, the following annual management fees as a percentage of daily net assets:
TCW Core Fixed Income Fund | 0.40 | % | ||
TCW Enhanced Commodity Strategy Fund | 0.50 | % | ||
TCW Global Bond Fund | 0.50 | % | ||
TCW High Yield Bond Fund | 0.45 | % | ||
TCW Short Term Bond Fund | 0.35 | % | ||
TCW Total Return Bond Fund | 0.40 | % (1) |
(1) | From November 1, 2019 through February 29, 2020, the management fee was 0.50%. |
The Advisor limits the operating expenses of the Funds not to exceed the following expense ratios relative to the Funds’ average daily net assets.
TCW Core Fixed Income Fund | ||||
I Class | 0.49% | (1) | ||
N Class | 0.70% | (1) (2) | ||
P Class | 0.44% | (1) | ||
TCW Enhanced Commodity Strategy Fund | ||||
I Class | 0.70% | (1) | ||
N Class | 0.75% | (1) | ||
TCW Global Bond Fund | ||||
I Class | 0.60% | (1) | ||
N Class | 0.70% | (1) | ||
TCW High Yield Bond Fund | ||||
I Class | 0.55% | (1) | ||
N Class | 0.80% | (1) | ||
TCW Short Term Bond Fund | ||||
I Class | 0.44% | (1) | ||
TCW Total Return Bond Fund | ||||
I Class | 0.49% | (1) | ||
N Class | 0.70% | (1) (3) | ||
P Class | 0.44% | (1) |
(1) | These limitations are based on an agreement between the Advisor and Company. |
(2) | This limitation was in effect March 1, 2020. From November 1, 2019, through February 29, 2020, the expense limitation was 0.73% for Class N. |
(3) | This limitation was in effect March 1, 2020. From November 1, 2019, through February 29, 2020, the expense limitation was 0.79% for 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 a Non-Qualified Deferred Compensation Plan. Deferred compensation is included within directors’ fees and expenses in the Statements of Assets and Liabilities.
Note 7 — Distribution Plan
TCW Funds Distributors LLC (“Distributor”), an affiliate of the Advisor and the Funds, serves as the nonexclusive distributor of each class of the Funds’ shares. The Funds have a distribution plan pursuant to Rule 12b-1 under the 1940 Act with respect to the N Class shares of each Fund. Under the terms of the
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Note 7 — Distribution Plan (Continued)
plan, each Fund compensates the Distributor at a rate equal to 0.25% of the average daily net assets of the Fund attributable to its N Class shares for distribution and related services.
Note 8 — Purchases and Sales of Securities
Investment transactions (excluding short-term investments) for the year ended October 31, 2020 were as follows:
Purchases at Cost | Sales or Maturity Proceeds | U.S. Government Purchases at Cost | U.S. Government Sales or Maturity Proceeds | |||||||||||||
TCW Core Fixed Income Fund | $ | 320,643,392 | $ | 279,412,160 | $ | 4,899,565,516 | $ | 4,638,277,445 | ||||||||
TCW Enhanced Commodity Strategy Fund | 136,413 | 303,668 | 296,830 | 446,135 | ||||||||||||
TCW Global Bond Fund | 14,234,920 | 11,107,484 | 35,157,394 | 34,402,554 | ||||||||||||
TCW High Yield Bond Fund | 112,619,972 | 48,187,368 | — | — | ||||||||||||
TCW Short Term Bond Fund | 2,880,857 | 2,378,452 | 6,363,689 | 6,577,463 | ||||||||||||
TCW Total Return Bond Fund | 1,393,672,568 | 571,986,739 | 16,659,438,805 | 16,843,114,326 |
Note 9 — Capital Share Transactions
Transactions in each Fund’s shares were as follows:
TCW Core Fixed Income Fund | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||
I Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 52,707,857 | $ | 623,559,707 | 20,412,530 | $ | 224,801,039 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,870,022 | 21,920,091 | 2,215,980 | 24,276,889 | ||||||||||||
Shares Redeemed | (25,332,375 | ) | (297,696,855 | ) | (32,398,242 | ) | (353,777,024 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 29,245,504 | $ | 347,782,943 | (9,769,732 | ) | $ | (104,699,096 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 6,245,822 | $ | 72,926,666 | 3,728,977 | $ | 40,890,099 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 317,229 | 3,699,131 | 474,381 | 5,181,391 | ||||||||||||
Shares Redeemed | (7,425,673 | ) | (86,263,658 | ) | (8,883,465 | ) | (96,962,941 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (862,622 | ) | $ | (9,637,861 | ) | (4,680,107 | ) | $ | (50,891,451 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Plan Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 9 | $ | 100 | — | $ | — | ||||||||||
Shares Issued upon Reinvestment of Dividends | — | (1) | 1 | — | — | |||||||||||
Shares Redeemed | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 9 | $ | 101 | — | $ | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Enhanced Commodity Strategy Fund | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||
I Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | — | $ | — | — | $ | — | ||||||||||
Shares Issued upon Reinvestment of Dividends | 6,298 | 26,314 | 4,371 | 20,916 | ||||||||||||
Shares Redeemed | — | — | (92,757 | ) | (432,249 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 6,298 | $ | 26,314 | (88,386 | ) | $ | (411,333 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | — | $ | — | — | $ | — | ||||||||||
Shares Issued upon Reinvestment of Dividends | 4,223 | 17,593 | 2,986 | 14,276 | ||||||||||||
Shares Redeemed | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 4,223 | $ | 17,593 | 2,986 | $ | 14,276 | ||||||||||
|
|
|
|
|
|
|
|
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Notes to Financial Statements (Continued)
Note 9 — Capital Share Transactions (Continued)
TCW Global Bond Fund | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||
I Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 72,459 | $ | 763,424 | 5,125 | $ | 49,122 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 36,988 | 373,807 | 12,018 | 117,727 | ||||||||||||
Shares Redeemed | (9,427 | ) | (94,838 | ) | (2,718 | ) | (26,417 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 100,020 | $ | 1,042,393 | 14,425 | $ | 140,432 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 226,745 | $ | 2,353,170 | 5,987 | $ | 61,058 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 33,347 | 337,539 | 9,971 | 97,600 | ||||||||||||
Shares Redeemed | (38,171 | ) | (406,236 | ) | (65 | ) | (643 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 221,921 | $ | 2,284,473 | 15,893 | $ | 158,015 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW High Yield Bond Fund | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||
I Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 12,579,884 | $ | 82,671,859 | 2,794,449 | $ | 17,909,893 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 196,895 | 1,287,679 | 70,867 | 448,646 | ||||||||||||
Shares Redeemed | (2,879,180 | ) | (18,508,549 | ) | (1,112,414 | ) | (7,070,994 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 9,897,599 | $ | 65,450,989 | 1,752,902 | $ | 11,287,545 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 2,944,513 | $ | 19,425,304 | 1,338,853 | $ | 8,560,656 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 55,222 | 362,371 | 47,067 | 299,769 | ||||||||||||
Shares Redeemed | (1,861,336 | ) | (12,039,501 | ) | (681,680 | ) | (4,352,105 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 1,138,399 | $ | 7,748,174 | 704,240 | $ | 4,508,320 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Short Term Bond Fund | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||
I Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 1,544,093 | $ | 13,181,895 | 78,821 | $ | 676,100 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 15,279 | 130,949 | 19,359 | 166,401 | ||||||||||||
Shares Redeemed | (1,321,794 | ) | (11,312,650 | ) | (293,559 | ) | (2,525,558 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 237,578 | $ | 2,000,194 | (195,379 | ) | $ | (1,683,057 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Total Return Bond Fund | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||
I Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 290,749,088 | $ | 2,998,972,723 | 157,210,742 | $ | 1,541,044,870 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 10,128,418 | 104,175,795 | 12,113,185 | 118,950,642 | ||||||||||||
Shares Redeemed | (238,483,907 | ) | (2,471,739,023 | ) | (273,291,006 | ) | (2,682,011,673 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 62,393,599 | $ | 631,409,495 | (103,967,079 | ) | $ | (1,022,016,161 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 112,795,737 | $ | 1,223,148,641 | 14,032,682 | $ | 142,224,608 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 2,580,140 | 27,324,613 | 3,830,880 | 38,749,683 | ||||||||||||
Shares Redeemed | (37,125,969 | ) | (395,752,373 | ) | (39,974,125 | ) | (404,518,775 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 78,249,908 | $ | 854,720,881 | (22,110,563 | ) | $ | (223,544,484 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Plan Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 10 | $ | 100 | — | $ | — | ||||||||||
Shares Issued upon Reinvestment of Dividends | — | (1) | 1 | — | — | |||||||||||
Shares Redeemed | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 10 | $ | 101 | — | $ | — | ||||||||||
|
|
|
|
|
|
|
|
(1) | Amount Rounds to less than 1. |
122
Table of Contents
TCW Funds, Inc.
October 31, 2020 |
Note 10 — Affiliate Ownership
As of October 31, 2020, affiliates of the Funds and Advisor owned 99.83%, and 85.68% of the NAV of the TCW Enhanced Commodity Strategy Fund and the TCW Global Bond Fund, respectively.
Note 11 — Restricted Securities
The Funds are permitted to invest in securities that have legal or contractual restrictions on resale. These securities may be sold privately, but are required to be registered before being sold to the public (exemption rules apply). Private placement securities are generally considered to be restricted except for those securities traded between qualified institutional investors under the provisions of Rule 144A of the Securities Act of 1933, as amended (the “Securities Act”). However, the Company considers 144A securities to be restricted if those securities have been deemed illiquid. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Restricted securities held by the Funds at October 31, 2020 are listed below:
TCW Enhanced Commodity Strategy Fund
Issuer Description | Acquisition Date | Acquisition Cost | Aggregate Value | Percentage of Net Assets | ||||||||||
LB-UBS Commercial Mortgage Trust (06-C6 XCL) (I/O), (144A), 0.69%, due 09/15/39 | 7/15/16 | $ | 923 | $ | 1,997 | 0.17 | % | |||||||
|
|
|
|
|
| |||||||||
TCW Global Bond Fund |
| |||||||||||||
Issuer Description | Acquisition Date | Acquisition Cost | Aggregate Value | Percentage of Net Assets | ||||||||||
Bank of America-First Union NB Commercial Mortgage (01-3-XC) (I/O), (144A), 1.30%, due 04/11/37 | 3/26/15 | $ | 0 | $ | 19,998 | 0.09 | % | |||||||
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|
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|
|
| |||||||||
TCW Short Term Bond Fund |
| |||||||||||||
Issuer Description | Acquisition Date | Acquisition Cost | Aggregate Value | Percentage of Net Assets | ||||||||||
UBS Commercial Mortgage Trust (12-C1-XA) (I/O), 2.06%, due 05/10/45 | 4/6/20 | $ | 8,280 | $ | 5,210 | 0.07 | % | |||||||
|
|
|
|
|
|
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 year ended October 31, 2020. 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
123
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 13 — Indemnifications (Continued)
Director in any proceeding arising out of or in connection with the Director’s services to the Company, to the fullest extent permitted by the Company’s Articles of Incorporation and By-Laws, the Maryland General Corporation Law, the Securities Act, and the 1940 Act, each as now or hereinafter in force. Additionally, in the normal course of business, the Company enters into agreements with service providers that may contain indemnification clauses. The Company’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Company that have not yet occurred. However, based on experience, the Company expects the risk of loss to be remote. The Company has not accrued any liability in connection with such indemnification.
Note 14 — New Accounting Pronouncement
In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2020-04, Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in the ASU provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (LIBOR) and other interbank offered reference rates as of the end of 2021. The ASU is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management has reviewed the requirements and believes the adoption of this ASU will not have a material impact on the financial statements.
In October 2020, FASB issued Accounting Standards Update No. 2020-08 (“ASU 2020-08”), “Receivables — Nonrefundable Fees and Other Costs (Codification Improvements Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities”. ASU 2020-08 is an update of ASU No. 2017-08, which amends the amortization period of certain purchased callable debt securities held at a premium. ASU 2020-08 updates the amortization period for callable debt securities to be amortized to the next call date. For purposes of this update, the next call date is the first date when a call option at a specified price becomes exercisable. Once that date has passed, the next call date is when the next call option at a specified price becomes exercisable, if applicable. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2020. Management has evaluated the implication of the additional disclosure requirement and determined that there is no impact to the Funds’ financial statements.
124
Table of Contents
TCW Core Fixed Income Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value per Share, Beginning of year | $ | 11.41 | $ | 10.52 | $ | 10.99 | $ | 11.28 | $ | 11.14 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.20 | 0.30 | 0.25 | 0.22 | 0.19 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.61 | 0.89 | (0.45 | ) | (0.15 | ) | 0.24 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.81 | 1.19 | (0.20 | ) | 0.07 | 0.43 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: |
| |||||||||||||||||||
Distributions from Net Investment Income | (0.24 | ) | (0.30 | ) | (0.27 | ) | (0.23 | ) | (0.19 | ) | ||||||||||
Distributions from Net Realized Gain | — | — | — | (0.13 | ) | (0.10 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.24 | ) | (0.30 | ) | (0.27 | ) | (0.36 | ) | (0.29 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of year | $ | 11.98 | $ | 11.41 | $ | 10.52 | $ | 10.99 | $ | 11.28 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 7.14 | % | 11.48 | % | (1.87 | )% | 0.68 | % | 3.97 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net Assets, End of year (in thousands) | $ | 1,344,787 | $ | 946,896 | $ | 975,741 | $ | 1,379,196 | $ | 1,421,267 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 0.51 | % | 0.51 | % | 0.51 | % | 0.51 | % | 0.51 | % | ||||||||||
After Expense Reimbursement | 0.49 | % | 0.49 | % | 0.49 | % | 0.49 | % | 0.49 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.66 | % | 2.69 | % | 2.34 | % | 1.96 | % | 1.70 | % | ||||||||||
Portfolio Turnover Rate | 371.22 | % | 214.76 | % | 267.96 | % | 287.39 | % | 283.38 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
125
Table of Contents
TCW Core Fixed Income Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value per Share, Beginning of year | $ | 11.38 | $ | 10.49 | $ | 10.96 | $ | 11.25 | $ | 11.12 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.18 | 0.27 | 0.23 | 0.19 | 0.16 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.60 | 0.90 | (0.46 | ) | (0.15 | ) | 0.24 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.78 | 1.17 | (0.23 | ) | 0.04 | 0.40 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: |
| |||||||||||||||||||
Distributions from Net Investment Income | (0.21 | ) | (0.28 | ) | (0.24 | ) | (0.20 | ) | (0.17 | ) | ||||||||||
Distributions from Net Realized Gain | — | — | — | (0.13 | ) | (0.10 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.21 | ) | (0.28 | ) | (0.24 | ) | (0.33 | ) | (0.27 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of year | $ | 11.95 | $ | 11.38 | $ | 10.49 | $ | 10.96 | $ | 11.25 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 6.92 | % | 11.27 | % | (2.10 | )% | 0.41 | % | 3.66 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net Assets, End of year (in thousands) | $ | 241,938 | $ | 240,107 | $ | 270,477 | $ | 356,930 | $ | 487,223 | ||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||
Before Expense Reimbursement | 0.80 | % | 0.81 | % | 0.81 | % | 0.79 | % | 0.79 | % | ||||||||||
After Expense Reimbursement | 0.67 | % | 0.70 | % | 0.72 | % | 0.75 | % | 0.77 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.53 | % | 2.48 | % | 2.12 | % | 1.69 | % | 1.41 | % | ||||||||||
Portfolio Turnover Rate | 371.22 | % | 214.76 | % | 267.96 | % | 287.39 | % | 283.38 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
126
Table of Contents
TCW Core Fixed Income Fund
Financial Highlights — Plan Class
February 28, 2020 (Commencement of Operations) through October 31, 2020 | ||||
Net Asset Value per Share, Beginning of year | $ | 11.72 | ||
|
| |||
Income (Loss) from Investment Operations: |
| |||
Net Investment Income (1) | 0.18 | |||
Net Realized and Unrealized Gain on Investments | 0.29 | |||
|
| |||
Total from Investment Operations | 0.47 | |||
|
| |||
Less Distributions: |
| |||
Distributions from Net Investment Income | (0.13 | ) | ||
|
| |||
Net Asset Value per Share, End of year | $ | 12.06 | ||
|
| |||
Total Return | 3.98 | % (2) | ||
Ratios/Supplemental Data: |
| |||
Net assets, end of year (in thousands) | $ | 0.00 | (3) | |
Ratio of Expenses to Average Net Assets: |
| |||
Before Expense Reimbursement | 14703.31 | % (4) | ||
After Expense Reimbursement | 0.44 | % (4) | ||
Ratio of Net Investment Income to Average Net Assets | 2.20 | % (4) | ||
Portfolio Turnover Rate | 371.22 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period February 28, 2020 (Commencement of Operations) through October 31, 2020. |
(3) | Amount Rounds to less than $1,000. |
(4) | Annualized. |
See accompanying Notes to Financial Statements.
127
Table of Contents
TCW Enhanced Commodity Strategy Fund
Consolidated Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value per Share, Beginning of year | $ | 4.84 | $ | 5.01 | $ | 5.20 | $ | 5.15 | $ | 5.30 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||
Net Investment Income (1) | 0.10 | 0.17 | 0.11 | 0.12 | 0.04 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.41 | ) | (0.20 | ) | (0.20 | ) | 0.10 | (0.14 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | (0.31 | ) | (0.03 | ) | (0.09 | ) | 0.22 | (0.10 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: |
| |||||||||||||||||||
Distributions from Net Investment Income | (0.15 | ) | (0.14 | ) | (0.10 | ) | (0.11 | ) | (0.05 | ) | ||||||||||
Distributions from Net Realized Gain | (0.02 | ) | — | — | (0.06 | ) | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.17 | ) | (0.14 | ) | (0.10 | ) | (0.17 | ) | (0.05 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of year | $ | 4.36 | $ | 4.84 | $ | 5.01 | $ | 5.20 | $ | 5.15 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | (5.82 | )% | (0.96 | )% | (1.96 | )% | 4.55 | % | (1.83 | )% | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net Assets, End of year (in thousands) | $ | 693 | $ | 740 | $ | 1,208 | $ | 758 | $ | 725 | ||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||
Before Expense Reimbursement | 16.92 | % | 17.82 | % | 11.53 | % | 16.65 | % | 9.74 | % | ||||||||||
After Expense Reimbursement | 0.70 | % | 0.70 | % | 0.70 | % | 0.70 | % | 0.70 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.29 | % | 3.45 | % | 2.06 | % | 2.31 | % | 0.88 | % | ||||||||||
Portfolio Turnover Rate | 54.50 | % | 122.23 | % | 75.52 | % | 0.00 | % | 2.44 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
128
Table of Contents
TCW Enhanced Commodity Strategy Fund
Consolidated Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value per Share, Beginning of year | $ | 4.84 | $ | 5.01 | $ | 5.21 | $ | 5.15 | $ | 5.31 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||
Net Investment Income (1) | 0.10 | 0.17 | 0.11 | 0.12 | 0.04 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.42 | ) | (0.20 | ) | (0.21 | ) | 0.11 | (0.15 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | (0.32 | ) | (0.03 | ) | (0.10 | ) | 0.23 | (0.11 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: |
| |||||||||||||||||||
Distributions from Net Investment Income | (0.15 | ) | (0.14 | ) | (0.10 | ) | (0.11 | ) | (0.05 | ) | ||||||||||
Distributions from Net Realized Gain | (0.02 | ) | — | — | (0.06 | ) | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.17 | ) | (0.14 | ) | (0.10 | ) | (0.17 | ) | (0.05 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of year | $ | 4.35 | $ | 4.84 | $ | 5.01 | $ | 5.21 | $ | 5.15 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | (5.90 | )% | (1.16 | )% | (1.96 | )% | 4.55 | % | (2.03 | )% | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net Assets, End of year (in thousands) | $ | 472 | $ | 504 | $ | 507 | $ | 517 | $ | 496 | ||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||
Before Expense Reimbursement | 17.60 | % | 19.14 | % | 12.59 | % | 18.01 | % | 10.21 | % | ||||||||||
After Expense Reimbursement | 0.75 | % | 0.75 | % | 0.75 | % | 0.75 | % | 0.75 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.24 | % | 3.57 | % | 2.02 | % | 2.26 | % | 0.83 | % | ||||||||||
Portfolio Turnover Rate | 54.50 | % | 122.23 | % | 75.52 | % | 0.00 | % | 2.44 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
129
Table of Contents
TCW Global Bond Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value per Share, Beginning of year | $ | 10.26 | $ | 9.45 | $ | 9.75 | $ | 9.88 | $ | 9.85 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||
Net Investment Income (1) | 0.25 | 0.24 | 0.19 | 0.17 | 0.20 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.54 | 0.73 | (0.43 | ) | (0.07 | ) | 0.19 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.79 | 0.97 | (0.24 | ) | 0.10 | 0.39 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: |
| |||||||||||||||||||
Distributions from Net Investment Income | (0.15 | ) | (0.16 | ) | (0.05 | ) | (0.16 | ) | (0.22 | ) | ||||||||||
Distributions from Net Realized Gain | (0.24 | ) | — | (0.01 | ) | (0.07 | ) | (0.14 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.39 | ) | (0.16 | ) | (0.06 | ) | (0.23 | ) | (0.36 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of year | $ | 10.66 | $ | 10.26 | $ | 9.45 | $ | 9.75 | $ | 9.88 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 7.99 | % | 10.42 | % | (2.54 | )% | 1.07 | % | 4.03 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net Assets, End of year (in thousands) | $ | 10,822 | $ | 9,384 | $ | 8,505 | $ | 8,714 | $ | 8,648 | ||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||
Before Expense Reimbursement | 1.66 | % | 1.79 | % | 1.63 | % | 1.60 | % | 1.48 | % | ||||||||||
After Expense Reimbursement | 0.60 | % | 0.66 | % | 1.00 | % | 1.04 | % | 1.05 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.40 | % | 2.48 | % | 1.99 | % | 1.75 | % | 2.02 | % | ||||||||||
Portfolio Turnover Rate | 228.14 | % | 83.18 | % | 102.42 | % | 90.08 | % | 116.87 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
130
Table of Contents
TCW Global Bond Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value per Share, Beginning of year | $ | 10.26 | $ | 9.45 | $ | 9.75 | $ | 9.88 | $ | 9.85 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||
Net Investment Income (1) | 0.24 | 0.24 | 0.19 | 0.17 | 0.20 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.55 | 0.72 | (0.43 | ) | (0.07 | ) | 0.19 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.79 | 0.96 | (0.24 | ) | 0.10 | 0.39 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: |
| |||||||||||||||||||
Distributions from Net Investment Income | (0.15 | ) | (0.15 | ) | (0.05 | ) | (0.16 | ) | (0.22 | ) | ||||||||||
Distributions from Net Realized Gain | (0.24 | ) | — | (0.01 | ) | (0.07 | ) | (0.14 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.39 | ) | (0.15 | ) | (0.06 | ) | (0.23 | ) | (0.36 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of year | $ | 10.66 | $ | 10.26 | $ | 9.45 | $ | 9.75 | $ | 9.88 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 7.93 | % | 10.32 | % | (2.54 | )% | 1.07 | % | 4.03 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net Assets, End of year (in thousands) | $ | 10,972 | $ | 8,282 | $ | 7,476 | $ | 7,679 | $ | 7,586 | ||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||
Before Expense Reimbursement | 1.94 | % | 2.09 | % | 1.92 | % | 1.89 | % | 1.76 | % | ||||||||||
After Expense Reimbursement | 0.70 | % | 0.74 | % | 1.00 | % | 1.04 | % | 1.05 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.29 | % | 2.39 | % | 1.99 | % | 1.75 | % | 2.02 | % | ||||||||||
Portfolio Turnover Rate | 228.14 | % | 83.18 | % | 102.42 | % | 90.08 | % | 116.87 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
131
Table of Contents
TCW High Yield Bond Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value per Share, Beginning of year | $ | 6.49 | $ | 6.15 | $ | 6.37 | $ | 6.23 | $ | 6.18 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||
Net Investment Income (1) | 0.24 | 0.27 | 0.26 | 0.24 | 0.24 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.19 | 0.36 | (0.17 | ) | 0.18 | 0.06 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.43 | 0.63 | 0.09 | 0.42 | 0.30 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: |
| |||||||||||||||||||
Distributions from Net Investment Income | (0.26 | ) | (0.29 | ) | (0.31 | ) | (0.28 | ) | (0.25 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of year | $ | 6.66 | $ | 6.49 | $ | 6.15 | $ | 6.37 | $ | 6.23 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 6.88 | % | 10.44 | % | 1.40 | % | 6.80 | % | 5.06 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net Assets, End of year (in thousands) | $ | 85,990 | $ | 19,563 | $ | 7,749 | $ | 14,195 | $ | 20,265 | ||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||
Before Expense Reimbursement | 0.97 | % | 1.68 | % | 1.50 | % | 1.22 | % | 1.03 | % | ||||||||||
After Expense Reimbursement | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 3.67 | % | 4.18 | % | 4.13 | % | 3.85 | % | 3.88 | % | ||||||||||
Portfolio Turnover Rate | 111.34 | % | 121.56 | % | 104.21 | % | 179.87 | % | 244.36 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
132
Table of Contents
TCW High Yield Bond Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value per Share, Beginning of year | $ | 6.54 | $ | 6.19 | $ | 6.42 | $ | 6.28 | $ | 6.23 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||
Net Investment Income (1) | 0.23 | 0.25 | 0.25 | 0.23 | 0.22 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.18 | 0.38 | (0.18 | ) | 0.18 | 0.07 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.41 | 0.63 | 0.07 | 0.41 | 0.29 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: |
| |||||||||||||||||||
Distributions from Net Investment Income | (0.25 | ) | (0.28 | ) | (0.30 | ) | (0.27 | ) | (0.24 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of year | $ | 6.70 | $ | 6.54 | $ | 6.19 | $ | 6.42 | $ | 6.28 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 6.61 | % | 10.16 | % | 1.04 | % | 6.59 | % | 4.82 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net Assets, End of year (in thousands) | $ | 17,805 | $ | 9,923 | $ | 5,041 | $ | 6,934 | $ | 7,526 | ||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||
Before Expense Reimbursement | 1.47 | % | 2.05 | % | 1.98 | % | 1.65 | % | 1.40 | % | ||||||||||
After Expense Reimbursement | 0.80 | % | 0.80 | % | 0.80 | % | 0.80 | % | 0.80 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 3.46 | % | 3.96 | % | 3.90 | % | 3.60 | % | 3.64 | % | ||||||||||
Portfolio Turnover Rate | 111.34 | % | 121.56 | % | 104.21 | % | 179.87 | % | 244.36 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
133
Table of Contents
TCW Short Term Bond Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value per Share, Beginning of year | $ | 8.59 | $ | 8.54 | $ | 8.62 | $ | 8.70 | $ | 8.69 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||
Net Investment Income (1) | 0.16 | 0.25 | 0.15 | 0.08 | 0.05 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.01 | ) | 0.07 | (0.04 | ) | (0.01 | ) | 0.02 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.15 | 0.32 | 0.11 | 0.07 | 0.07 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: |
| |||||||||||||||||||
Distributions from Net Investment Income | (0.11 | ) | (0.27 | ) | (0.19 | ) | (0.15 | ) | (0.06 | ) | ||||||||||
Distributions from Return of Capital | (0.03 | ) | — | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.14 | ) | (0.27 | ) | (0.19 | ) | (0.15 | ) | (0.06 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of year | $ | 8.60 | $ | 8.59 | $ | 8.54 | $ | 8.62 | $ | 8.70 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 1.70 | % | 3.83 | % | 1.26 | % | 0.75 | % | 0.84 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net Assets, End of year (in thousands) | $ | 7,698 | $ | 5,644 | $ | 7,280 | $ | 7,951 | $ | 7,698 | ||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||
Before Expense Reimbursement | 2.77 | % | 3.37 | % | 2.28 | % | 1.65 | % | 2.46 | % | ||||||||||
After Expense Reimbursement | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.83 | % | 2.94 | % | 1.70 | % | 0.96 | % | 0.58 | % | ||||||||||
Portfolio Turnover Rate | 191.22 | % | 248.19 | % | 199.55 | % | 131.31 | % | 46.36 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
134
Table of Contents
TCW Total Return Bond Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value per Share, Beginning of year | $ | 10.07 | $ | 9.46 | $ | 9.98 | $ | 10.33 | $ | 10.28 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.26 | 0.34 | 0.31 | 0.27 | 0.26 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.44 | 0.68 | (0.48 | ) | (0.20 | ) | 0.11 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.70 | 1.02 | (0.17 | ) | 0.07 | 0.37 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: |
| |||||||||||||||||||
Distributions from Net Investment Income | (0.31 | ) | (0.41 | ) | (0.35 | ) | (0.26 | ) | (0.25 | ) | ||||||||||
Distributions from Net Realized Gain | — | — | — | (0.16 | ) | (0.07 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.31 | ) | (0.41 | ) | (0.35 | ) | (0.42 | ) | (0.32 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of year | $ | 10.46 | $ | 10.07 | $ | 9.46 | $ | 9.98 | $ | 10.33 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 7.08 | % | 10.82 | % | (1.67 | )% | 0.72 | % | 3.63 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net Assets, End of year (in thousands) | $ | 5,737,736 | $ | 4,898,103 | $ | 5,587,668 | $ | 7,103,832 | $ | 8,042,194 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 0.55 | % | 0.62 | % | 0.62 | % | 0.61 | % | 0.60 | % | ||||||||||
After Expense Reimbursement | 0.49 | % | 0.49 | % | 0.49 | % | 0.49 | % | 0.49 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.50 | % | 3.47 | % | 3.20 | % | 2.73 | % | 2.55 | % | ||||||||||
Portfolio Turnover Rate | 269.04 | % | 177.80 | % | 241.76 | % | 287.55 | % | 318.48 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
135
Table of Contents
TCW Total Return Bond Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value per Share, Beginning of year | $ | 10.37 | $ | 9.76 | $ | 10.29 | $ | 10.65 | $ | 10.60 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.23 | 0.32 | 0.29 | 0.25 | 0.24 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.47 | 0.69 | (0.49 | ) | (0.21 | ) | 0.11 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.70 | 1.01 | (0.20 | ) | 0.04 | 0.35 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: |
| |||||||||||||||||||
Distributions from Net Investment Income | (0.29 | ) | (0.40 | ) | (0.33 | ) | (0.24 | ) | (0.23 | ) | ||||||||||
Distributions from Net Realized Gain | — | — | — | (0.16 | ) | (0.07 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.29 | ) | (0.40 | ) | (0.33 | ) | (0.40 | ) | (0.30 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of year | $ | 10.78 | $ | 10.37 | $ | 9.76 | $ | 10.29 | $ | 10.65 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 6.86 | % | 10.46 | % | (1.96 | )% | 0.41 | % | 3.35 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net Assets, End of year (in thousands) | $ | 1,844,170 | $ | 963,512 | $ | 1,121,741 | $ | 1,902,308 | $ | 2,762,803 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 0.79 | % | 0.88 | % | 0.88 | % | 0.88 | % | 0.87 | % | ||||||||||
After Expense Reimbursement | 0.73 | % | 0.79 | % | 0.79 | % | 0.79 | % | 0.79 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.21 | % | 3.16 | % | 2.89 | % | 2.42 | % | 2.25 | % | ||||||||||
Portfolio Turnover Rate | 269.04 | % | 177.80 | % | 241.76 | % | 287.55 | % | 318.48 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
136
Table of Contents
TCW Total Return Bond Fund
Financial Highlights — Plan Class
February 28, 2020 (Commencement of Operations) through October 31, 2020 | ||||
Net Asset Value per Share, Beginning of year | $ | 10.33 | ||
|
| |||
Income (Loss) from Investment Operations: |
| |||
Net Investment Income (1) | 0.20 | |||
Net Realized and Unrealized Gain on Investments | 0.13 | |||
|
| |||
Total from Investment Operations | 0.33 | |||
|
| |||
Less Distributions: |
| |||
Distributions from Net Investment Income | (0.16 | ) | ||
|
| |||
Net Asset Value per Share, End of year | $ | 10.50 | ||
|
| |||
Total Return | 3.22 | % (2) | ||
Ratios/Supplemental Data: |
| |||
Net assets, end of year (in thousands) | $ | 0.00 | (3) | |
Ratio of Expenses to Average Net Assets: |
| |||
Before Expense Reimbursement | 14761.71 | % (4) | ||
After Expense Reimbursement | 0.44 | % (4) | ||
Ratio of Net Investment Income to Average Net Assets | 2.84 | % (4) | ||
Portfolio Turnover Rate | 269.04 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period February 28, 2020 (Commencement of Operations) through October 31, 2020. |
(3) | Amount Rounds to less than $1,000. |
(4) | Annualized. |
See accompanying Notes to Financial Statements.
137
Table of Contents
TCW Funds, Inc.
Report of Independent Registered Public Accounting Firm
To the Board of Directors and Shareholders of
the TCW Fund, Inc.:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities of TCW Core Fixed Income Fund, TCW Global Bond Fund, TCW High Yield Bond Fund, TCW Short Term Bond Fund, and TCW Total Return Bond Fund and the consolidated statement of assets and liabilities of TCW Enhanced Commodity Strategy Fund (collectively, the “TCW Fixed Income Funds”) (six of eighteen funds comprising the TCW Funds, Inc.), including the schedules of investments of TCW Core Fixed Income Fund, TCW Global Bond Fund, TCW High Yield Bond Fund, TCW Short Term Bond Fund, and TCW Total Return Bond Fund and the consolidated schedule of investments of TCW Enhanced Commodity Strategy Fund, as of October 31, 2020, and the related statements of operations for TCW Core Fixed Income Fund, TCW Global Bond Fund, TCW High Yield Bond Fund, TCW Short Term Bond Fund, and TCW Total Return Bond Fund and the related consolidated statement of operations for TCW Enhanced Commodity Strategy Fund for the year then ended, the statements of changes in net assets for TCW Core Fixed Income Fund, TCW Global Bond Fund, TCW High Yield Bond Fund, TCW Short Term Bond Fund, and TCW Total Return Bond Fund and the consolidated statements of changes in net assets for TCW Enhanced Commodity Strategy Fund for each of the two years in the period then ended, the financial highlights for TCW Core Fixed Income Fund, TCW Global Bond Fund, TCW High Yield Bond Fund, TCW Short Term Bond Fund, and TCW Total Return Bond Fund and the consolidated financial highlights for TCW Enhanced Commodity Strategy Fund for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights for TCW Core Fixed Income Fund, TCW Global Bond Fund, TCW High Yield Bond Fund, TCW Short Term Bond Fund, and TCW Total Return Bond Fund and the consolidated financial statements and consolidated financial highlights for TCW Enhanced Commodity Strategy Fund present fairly, in all material respects, the financial position of each of the respective TCW Fixed Income Funds as of October 31, 2020, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the TCW Fixed Income Funds’ management. Our responsibility is to express an opinion on the TCW Fixed Income Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The TCW Fixed Income Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the TCW Fixed Income Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of October 31, 2020, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Los Angeles, California
December 21, 2020
We have served as the auditor of one or more TCW/Metropolitan West Funds investment companies since 1990.
138
Table of Contents
TCW Funds, Inc.
Shareholder Expenses (Unaudited)
As a shareholder of a Fund, you incur ongoing operational costs of the Fund, including management fees and other fund expenses. The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in a Fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from May 1, 2020 to October 31, 2020 (184 days).
Actual Expenses: The first line under each Fund in the table below provides information about the actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your Fund under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes: The second line under each Fund in the table below provides information about the hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account value and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
TCW Funds, Inc. | Beginning Account Value May 1, 2020 | Ending Account Value October 31, 2020 | Annualized Expense Ratio | Expenses Paid During Period (May 1, 2020 to October 31, 2020) | ||||||||||||
TCW Core Fixed Income Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,020.80 | 0.49 | % | $ | 2.49 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.67 | 0.49 | % | 2.49 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,019.80 | 0.67 | % | $ | 3.40 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.77 | 0.67 | % | 3.40 | |||||||||||
Plan Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,026.20 | 0.44 | % | $ | 2.24 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.92 | 0.44 | % | 2.24 | |||||||||||
TCW Enhanced Commodity Strategy Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,206.20 | 0.70 | % | $ | 3.88 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.62 | 0.70 | % | 3.56 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,206.00 | 0.75 | % | $ | 4.16 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.37 | 0.75 | % | 3.81 |
139
Table of Contents
TCW Funds, Inc.
Shareholder Expenses (Unaudited) (Continued)
TCW Funds, Inc. | Beginning Account Value May 1, 2020 | Ending Account Value October 31, 2020 | Annualized Expense Ratio | Expenses Paid During Period (May 1, 2020 to October 31, 2020) | ||||||||||||
TCW Global Bond Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,069.40 | 0.60 | % (1) | $ | 3.12 | (1) | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.12 | 0.60 | % (1) | 3.05 | (1) | ||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,069.10 | 0.70 | % (1) | $ | 3.64 | (1) | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.62 | 0.70 | % (1) | 3.56 | (1) | ||||||||||
TCW High Yield Bond Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,075.60 | 0.55 | % | $ | 2.87 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.37 | 0.55 | % | 2.80 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,073.90 | 0.80 | % | $ | 4.17 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.12 | 0.80 | % | 4.06 | |||||||||||
TCW Short Term Bond Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,011.30 | 0.44 | % | $ | 2.22 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.93 | 0.44 | % | 2.24 | |||||||||||
TCW Total Return Bond Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,017.50 | 0.49 | % | $ | 2.48 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.67 | 0.49 | % | 2.49 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,015.80 | 0.70 | % | $ | 3.55 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.62 | 0.70 | % | 3.56 | |||||||||||
Plan Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,019.70 | 0.44 | % | $ | 2.23 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.92 | 0.44 | % | 2.24 |
(1) | Does not include expenses of the underlying affiliated investments. |
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The TCW Group, Inc. and Subsidiaries
TCW Investment Management Company LLC
TCW Asset Management Company LLC
Metropolitan West Asset Management, LLC
TCW Funds, Inc. | Sepulveda Management LLC | |
TCW Strategic Income Fund, Inc. | TCW Direct Lending LLC | |
Metropolitan West Funds | TCW Direct Lending VII LLC |
What You Should Know
At TCW, we recognize the importance of keeping information about you secure and confidential. We do not sell or share your nonpublic personal and financial information with marketers or others outside our affiliated group of companies.
We carefully manage information among our affiliated group of companies to safeguard your privacy and to provide you with consistently excellent service.
We are providing this notice to you to comply with the requirements of Regulation S-P, “Privacy of Consumer Financial Information,” issued by the United States Securities and Exchange Commission.
Our Privacy Policy
We, The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Strategic Income Fund, Inc., the Metropolitan West Funds, Sepulveda Management LLC and TCW Direct Lending (collectively, “TCW”) are committed to protecting the nonpublic personal and financial information of our customers and consumers who obtain or seek to obtain financial products or services primarily for personal, family or household purposes. We fulfill our commitment by establishing and implementing policies and systems to protect the security and confidentiality of this information.
In our offices, we limit access to nonpublic personal and financial information about you to those TCW personnel who need to know the information in order to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal and financial information.
Categories of Information We Collect
We may collect the following types of nonpublic personal and financial information about you from the following sources:
• | Your name, address and identifying numbers, and other personal and financial information, from you and from identification cards and papers you submit to us, on applications, subscription agreements or other forms or communications. |
• | Information about your account balances and financial transactions with us, our affiliated entities, or nonaffiliated third parties, from our internal sources, from affiliated entities and from nonaffiliated third parties. |
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Privacy Policy (Continued)
• | Information about your account balances and financial transactions and other personal and financial information, from consumer credit reporting agencies or other nonaffiliated third parties, to verify information received from you or others. |
Categories of Information We Disclose to Nonaffiliated Third Parties
• | We may disclose your name, address and account and other identifying numbers, as well as information about your pending or past transactions and other personal financial information, to nonaffiliated third parties, for our everyday business purposes such as necessary to execute, process, service and confirm your securities transactions and mutual fund transactions, to administer and service your account and commingled investment vehicles in which you are invested, to market our products and services through joint marketing arrangements or to respond to court orders and legal investigations. |
• | We may disclose nonpublic personal and financial information concerning you to law enforcement agencies, federal regulatory agencies, self-regulatory organizations or other nonaffiliated third parties, if required or requested to do so by a court order, judicial subpoena or regulatory inquiry. |
• | We do not otherwise disclose your nonpublic personal and financial information to nonaffiliated third parties, except where we believe in good faith that disclosure is required or permitted by law. Because we do not disclose your nonpublic personal and financial information to nonaffiliated third parties, our Customer Privacy Policy does not contain opt-out provisions. |
Categories of Information We Disclose to Our Affiliated Entities
• | We may disclose your name, address and account and other identifying numbers, account balances, information about your pending or past transactions and other personal financial information to our affiliated entities for any purpose. |
• | We regularly disclose your name, address and account and other identifying numbers, account balances and information about your pending or past transactions to our affiliates to execute, process and confirm securities transactions or mutual fund transactions for you, to administer and service your account and commingled investment vehicles in which you are invested, or to market our products and services to you. |
Information About Former Customers
We do not disclose nonpublic personal and financial information about former customers to nonaffiliated third parties unless required or requested to do so by a court order, judicial subpoena or regulatory inquiry, or otherwise where we believe in good faith that disclosure is required or permitted by law.
Questions
Should you have any questions about our Customer Privacy Policy, please contact us by email or by regular mail at the address at the end of this policy.
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Reminder About TCW’s Financial Products
Financial products offered by The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Strategic Income Fund, Inc., the Metropolitan West Funds, Sepulveda Management LLC and TCW Direct Lending.
• | Are not guaranteed by a bank; |
• | Are not obligations of The TCW Group, Inc. or of its subsidiaries; |
• | Are not insured by the Federal Deposit Insurance Corporation; and |
• | Are subject to investment risks, including possible loss of the principal amount committed or invested, and earnings thereon. |
THE TCW GROUP, INC.
TCW FUNDS, INC.
TCW STRATEGIC INCOME FUND, INC.
METROPOLITAN WEST FUNDS
SEPULVEDA MANAGEMENT LLC
TCW DIRECT LENDING LLC
TCW DIRECT LENDING VII LLC
Attention: Privacy Officer | 865 South Figueroa St. Suite 1800 | Los Angeles, CA 90017 | email: privacy@tcw.com
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Approval of Investment Management and Advisory Agreement
Renewal of Investment Advisory and Management Agreement (unaudited)
TCW Funds, Inc. (the “Corporation”) and TCW Investment Management Company LLC (the “Advisor”) are parties to an Investment Advisory and Management Agreement (“Agreement”), pursuant to which the Advisor is responsible for managing the investments of each separate investment series (each, a “Fund” and collectively, the “Funds”) of the Corporation. Unless terminated by either party, the Agreement continues in effect from year to year provided that the continuance is specifically approved at least annually by the vote of the holders of at least a majority of the outstanding shares of the Funds, or by the Board of Directors of the Corporation (the “Board”), and, in either event, by a majority of the Directors who are not “interested persons” of the Corporation, as such term is defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “Independent Directors”), casting votes in person at a meeting called for that purpose.
On September 14, 2020, the Board approved the renewal of the Agreement for an additional one-year term from February 6, 2021 through February 5, 2022. The Board met by telephone to approve that renewal, notwithstanding the in-person approval requirement that normally applies under the Investment Company Act, as permitted by relief provided by the Securities and Exchange Commission in light of the COVID-19 pandemic. The renewal of the Agreement was approved by the Board (including by a majority of the Independent Directors) upon the recommendation of the Independent Directors. The Independent Directors also met by telephone in a working session on August 26, 2020 to hear presentations by representatives of the Advisor, to ask related questions, to review and discuss materials provided by the Advisor for their consideration, and to meet separately with their independent legal counsel. On September 14, 2020 they also met separately with their independent legal counsel to review and discuss supplemental information that had been requested on their behalf by their independent legal counsel and presented by the Advisor. The information, material facts, and conclusions that formed the basis for the Independent Directors’ recommendation and the Board’s subsequent approval are described below.
1. Information received
Materials reviewed — During the course of each year, the Directors receive a wide variety of materials relating to the services provided by the Advisor, including reports on the Advisor’s investment processes, as well as on each Fund’s investment results, portfolio composition, portfolio trading practices, compliance monitoring, shareholder services, and other information relating to the nature, extent, and quality of services provided by the Advisor to the Funds. In addition, the Board reviewed information furnished to the Independent Directors in response to a detailed request sent to the Advisor on their behalf. The information in the Advisor’s responses included extensive materials regarding each Fund’s investment results, advisory fee comparisons to advisory fees charged by the Advisor to its institutional clients, financial and profitability information regarding the Advisor, descriptions of various services provided to the Funds and to other advisory and sub-advisory clients, descriptions of functions such as compliance monitoring and portfolio trading practices, and information about the personnel providing investment management services to each Fund. The Directors also considered information provided by an independent data provider, Broadridge, comparing the investment performance and the fee and expense levels of each Fund to those of appropriate peer groups of mutual funds selected by Broadridge. After reviewing this information, the Directors requested additional financial, profitability and service information from the Advisor, which the Advisor provided and the Directors considered.
Review process — The Directors’ determinations were made on the basis of each Director’s business judgment after consideration of all the information presented. The Independent Directors were advised by
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their independent legal counsel throughout the renewal process and received and reviewed advice from their independent legal counsel regarding legal and industry standards applicable to the renewal of the Agreement, including a legal memorandum from their independent legal counsel discussing their fiduciary duties related to their approval of the continuation of the Agreement. The Independent Directors also discussed the renewal of the Agreement with the Advisor’s representatives and in private sessions at which no representatives of the Advisor were present. In deciding to recommend the renewal of the Agreement with respect to each Fund, the Independent Directors did not identify any single piece of information or particular factor that, in isolation, was the controlling factor. Each Independent Director may also have weighed factors differently. This summary describes the most important, but not all, of the factors considered by the Board and the Independent Directors.
2. Nature, extent, and quality of services provided by the Advisor
The Board and the Independent Directors considered the depth and quality of the Advisor’s investment management process, including its research and strong analytical capabilities; the experience, capability, and integrity of its senior management and other personnel; the relatively low turnover rates of its key personnel; the overall resources available to the Advisor; and the ability of its organizational structure to address the fluctuations in assets that had been experienced over the past several years. The Board and the Independent Directors considered the ability of the Advisor to attract and retain well-qualified investment professionals, noting in particular the Advisor’s hiring of professionals in various areas over the past several years, continued upgrading of resources in its middle office and back office operations and other areas, as well as a continuing and extensive program of infrastructure and systems enhancements. The Board and the Independent Directors also considered that the Advisor made available to its investment professionals a variety of resources and systems relating to investment management, compliance, trading, operations, administration, research, portfolio accounting, and legal matters. They noted the substantial additional resources made available by The TCW Group, Inc., the parent company of the Advisor. The Board and the Independent Directors examined and discussed a detailed description of the extensive additional services provided to the Funds to support their operations and compliance, as compared to the much narrower range of services provided to the Advisor’s institutional and sub-advised clients, as well as the Advisor’s oversight and coordination of numerous outside service providers to the Funds. They further noted the high level of regular communication between the Advisor and the Independent Directors. The Advisor explained its responsibility to supervise the activities of the Funds’ various service providers, as well as supporting the Independent Directors and their meetings, regulatory filings, and various operational personnel, and the related costs.
The Board and the Independent Directors concluded that the nature, extent, and quality of the services provided by the Advisor are of a high quality and have benefited and should continue to benefit the Funds and their shareholders.
3. Investment results
The Board and the Independent Directors considered the investment results of each Fund in light of its investment objective(s) and principal investment strategies. They compared each Fund’s total returns with the total returns of other mutual funds in peer group reports prepared by Broadridge with respect to various longer and more recent periods all ended May 31, 2020. The Board and the Independent Directors reviewed information as to peer group selections presented by Broadridge and discussed the methodology for those selections with Broadridge. In reviewing each Fund’s relative performance, the Board and the
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Approval of Investment Management and Advisory Agreement (Continued)
Independent Directors took into account each Fund’s investment strategies, distinct characteristics, asset size and diversification.
The Board and the Independent Directors noted that most Funds’ performance was satisfactory over the relevant periods. The Board and the Independent Directors noted that the investment performance of most of the Funds was generally close to or above the median performance of the applicable peer group during the three-year period emphasized by Broadridge in the supplemental materials, but five Funds ranked in the fourth or fifth quintile of their peer groups for that three-year period. For those Funds that lagged peer group averages, they noted that the Advisor had discussed with the Board the reasons for the underperformance and the actions taken or to be taken by the Advisor to address the underperformance, and they indicated that they would continue to monitor portfolio investment performance on a regular basis and discuss with the Advisor from time to time any instances of long-term underperformance as appropriate. The Board and the Independent Directors noted that the performance of some Funds for periods when they lagged their peer group averages remained satisfactory when assessed on a risk-adjusted basis because performance quintiles do not necessarily reflect the degree of risk employed by peer funds to achieve their returns. The Board also considered the Advisor’s assessment of the Funds’ performance during the recent period of significant market volatility.
With respect to the fixed income Funds, the Board and the Independent Directors recognized the Advisor’s deliberate strategy to manage risk in light of its critical view of the fixed income securities markets and overall investment market conditions at present and in the near term. For that reason, the Board and the Independent Directors believed that relative performance also should be considered in light of future market conditions expected by the Advisor. The Board and the Independent Directors noted the Advisor’s view that longer term performance can be more meaningful for active fixed income funds than shorter term performance because fixed income market cycles are generally longer than three years.
For the U.S. fixed income Funds, the Board and the Independent Directors noted the conservative profile of these Funds, which generally experienced less volatility compared to various other funds in the applicable peer group (except for the relative volatility of Total Return Bond Fund, which is a mortgage-focused Fund). They also noted the Advisor’s conservative posture for these Funds with respect to credit and interest rate risks.
For the Total Return Bond Fund, the Board and the Independent Directors noted that the Fund’s performance was in the first quintile for the ten-, five-, three- and one-year periods.
For the Core Fixed Income Fund, the Board and the Independent Directors noted that the Fund’s performance was in the second quintile for the ten- and five-year periods and the first quintile for the three- and one-year periods.
For the Global Bond Fund, the Board and the Independent Directors noted that the Fund’s performance was in the third quintile for the five-year period and the first quintile for the three- and one-year periods.
For the High Yield Bond Fund, the Board and the Independent Directors noted that the Fund’s performance was in the first quintile for the ten-, five-, three- and one-year periods.
For the Short Term Bond Fund, the Board and the Independent Directors noted that the Fund’s performance was in the fourth quintile for the ten-, five-, three- and one-year periods.
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For the Enhanced Commodity Strategy Fund, the Board and the Independent Directors noted that the Fund’s performance was in the second quintile for the five-, three- and one-year periods.
With respect to the U.S. equity Funds, the Board and the Independent Directors noted that the performance of most Funds for the various periods reviewed ranked in the first, second or third quintiles.
The Select Equities Fund ranked in the second quintile for the ten-year period, the first quintile for the five- and three-year periods, and the second quintile for the one-year period.
The Relative Value Dividend Appreciation Fund ranked in the fourth quintile for the ten-year period and the fifth quintile for the five-, three- and one-year periods. The Relative Value Large Cap Fund ranked in the third quintile for the ten-year period, the fourth quintile for the five-year period, the fifth quintile for the three-year period and the fourth quintile for the one-year period. The Relative Value Mid Cap Fund ranked in the fourth quintile for the ten-, five-, three- and one-year periods. The Board and the Independent Directors noted the Advisor’s explanation that the diversification tool used to mitigate risk of the Relative Value Funds weighed on their near-term performance in a momentum-driven market and its opinion that each of the Relative Value Funds is well-positioned to excel in a strengthening economic environment. The Board and the Independent Directors also noted that the Relative Value Funds outperformed their respective benchmarks by 200 to 550 basis points between March 31, 2020 and July 31, 2020 and had appreciatively narrowed the underperformance versus their respective benchmarks year-to-date through July 2020.
The New America Premier Equities Fund ranked in the second quintile for the three-year period and the fifth quintile for the one-year period.
The Artificial Intelligence Equity Fund ranked in the third quintile for the one-year period, improving to the universe median, and the fourth quintile for the period since inception. The Board and the Independent Directors considered the Advisor’s explanation that the peer funds had greater exposure to the information technology sector, making the peer group less useful in comparing relative performance than if those funds’ principal investment strategies were more closely aligned with the Fund’s investment focus. The Board and the Independent Directors also noted the relatively short operating history of the Fund and determined to continue to closely monitor its performance.
The Global Real Estate Fund ranked in the second quintile for the five-year period and in the first quintile for the three- and one-year periods.
With respect to the international and emerging markets Funds, the Board and the Independent Directors noted that the performance of a majority of these Funds ranked in the first, second or third quintiles over various time periods. The Emerging Markets Income Fund ranked in the first quintile for the ten-year period and the second quintile for the five-year period but ranked in the fourth quintile for the three-year period and the fifth quintile for the one-year period. The Emerging Markets Local Currency Income Fund ranked in the first quintile for the five-year period and the third quintile for the three- and one-year periods. The Emerging Markets Multi-Asset Opportunities Fund ranked in the second quintile for the five-year period and the first quintile for the three- and one-year periods. The Developing Markets Equity Fund ranked in the third quintile for the three-year period and the first quintile for the one-year period.
The Board and the Independent Directors noted the Advisor’s explanation that the challenging international and emerging market conditions in recent years weighed on near-term performance for some
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Approval of Investment Management and Advisory Agreement (Continued)
Funds and its opinion that each of the international and emerging markets Funds is well-positioned to excel in a strengthening economic environment.
For the asset allocation Fund, the Board and the Independent Directors noted that the Conservative Allocation Fund’s performance was in the first quintile for the ten-, five-, three- and one-year periods.
The Board and the Independent Directors concluded that the Advisor was implementing each Fund’s investment objective(s) and that the Advisor’s record in managing the Funds indicated that its continued management should benefit each Fund and its shareholders over the long term.
4. Advisory fees and total expenses
The Board and the Independent Directors compared the management fees (which Broadridge defines to include the advisory fee and the administrative fee) and total expenses of each Fund (each as a percentage of average net assets) with the median management fee and operating expense level of the other mutual funds in the relevant Broadridge peer groups. These comparisons assisted the Board and the Independent Directors by providing a reasonable statistical measure to assess each Fund’s fees relative to its relevant peers. The Board and the Independent Directors observed that each Fund’s management fee, after giving effect to applicable waivers and/or reimbursements, was below or near the median of the peer group funds on a current basis, with the exception of the Emerging Markets Income Fund and the Conservative Allocation Fund. They also observed that each Fund’s total expenses, after giving effect to applicable waivers and/or reimbursements, were below or near the median of the peer group funds. The Board and the Independent Directors also noted the contractual expense limitations to which the Advisor has agreed with respect to each Fund and that the Advisor historically has absorbed any expenses in excess of these limits. The Board and the Independent Directors noted that for several Funds, their below-median management fee and total expenses were in part due to substantial waiver and/or reimbursement pursuant to the contractual expense limitations. The Board and the Independent Directors concluded that the competitive fees charged by the Advisor, and competitive expense ratios, should continue to benefit each Fund and its shareholders.
The Board and the Independent Directors also reviewed information regarding the advisory fees charged by the Advisor to its institutional and sub-advisory clients with similar investment mandates. The Board and the Independent Directors concluded that, although the fees paid by those clients generally were lower than advisory fees paid by the Funds, the differences appropriately reflected the more extensive services provided by the Advisor to the Funds and the Advisor’s significantly greater responsibilities and expenses with respect to the Funds, including the additional time spent by portfolio managers for reasons such as managing the more active cash flows from purchases and redemptions by shareholders, the additional risks of managing a pool of assets for public investors, administrative burdens, daily pricing, valuation and liquidity responsibilities, the supervision of vendors and service providers, and the costs of additional infrastructure and operational resources and personnel and of complying with and supporting the more comprehensive regulatory and governance regime applicable to mutual funds.
5. The Advisor’s costs, level of profits, and economies of scale
The Board and the Independent Directors reviewed information regarding the Advisor’s costs of providing services to the Funds, as well as the resulting level of profits to the Advisor. They reviewed the Advisor’s stated assumptions and methods of allocating certain costs, such as personnel costs, which constitute the Advisor’s largest operating cost. The Board and the Independent Directors recognized that the Advisor
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should be entitled to earn a reasonable level of profits for the services that it provides to each Fund. The Board and the Independent Directors also reviewed a comparison of the Advisor’s profitability with respect to the Funds to the profitability of certain unaffiliated publicly traded asset managers, which the Advisor believed supported its view that the Advisor’s profitability was reasonable. Based on their review, the Board and the Independent Directors concluded that they were satisfied that the Advisor’s level of profitability from its relationship with each Fund was not unreasonable or excessive.
The Board and the Independent Directors considered the extent to which potential economies of scale could be realized as the Funds grow and whether the advisory fees reflect those potential economies of scale. They recognized that the advisory fees for the Funds do not have breakpoints, which would otherwise result in lower advisory fee rates as the Funds grow larger. They also recognized the Advisor’s view that the advisory fees compare favorably to peer group fees and expenses and remain competitive even at higher asset levels and that the relatively low advisory fees reflect the potential economies of scale. The Board and the Independent Directors recognized the benefits of the Advisor’s substantial past and ongoing investment in the advisory business, such as successfully recruiting and retaining key professional talent, systems and technology upgrades, added resources dedicated to legal, compliance and cybersecurity programs, and improvements to the overall firm infrastructure, as well as the financial pressures of competing against much larger firms and passive investment products. The Board and the Independent Directors further noted the Advisor’s past and current subsidies of the operating expenses of newer and smaller Funds and the Advisor’s commitment to maintain reasonable overall operating expenses for each Fund. The Board and the Independent Directors also recognized that the Funds benefit from receiving investment advice from an organization with other types of advisory clients in addition to mutual funds. The Board and the Independent Directors considered the risk borne by the Advisor that the Funds’ net assets and thus the Advisor’s fees might decline in the event of redemptions and that smaller Funds might not grow to become profitable. The Board and the Independent Directors concluded that the Advisor was satisfactorily sharing potential economies of scale with the Funds through low fees and expenses, and through reinvesting in its capabilities for serving the Funds and their shareholders.
6. Ancillary benefits
The Board and the Independent Directors also considered ancillary benefits received or to be received by the Advisor and its affiliates as a result of the relationship of the Advisor with the Funds, including compensation for certain compliance support services. The Board and the Independent Directors noted that, in addition to the fees the Advisor receives under the Agreement, the Advisor receives additional benefits in connection with management of the Funds in the form of reports, research and other services from brokers and their affiliates in return for brokerage commissions paid to such brokers. The Board and the Independent Directors concluded that any potential benefits received or to be derived by the Advisor from its relationships with the Funds are reasonably related to the services provided by the Advisor to the Funds.
7. Conclusions
Based on their overall review, including their consideration of each of the factors referred to above (and others), the Board and the Independent Directors concluded that the Agreement is fair and reasonable to each Fund and its shareholders, that each Fund’s shareholders received reasonable value in return for the advisory fees and other amounts paid to the Advisor by each Fund, and that the renewal of the Agreement was in the best interests of each Fund and its shareholders.
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Supplemental Information
The policies and procedures that the Company uses to determine how to vote proxies are available without charge. The Board has delegated the Company’s proxy voting authority to the Advisor.
Disclosure of Proxy Voting Guidelines
The proxy voting guidelines of the Advisor are available:
1. | By calling 800-FUND-TCW (800-386-3829) to obtain a hard copy; or |
2. | By going to the SEC website at http://www.sec.gov. |
When the Company receives a request for a description of the Advisor’s proxy voting guidelines, it will deliver the description that is disclosed in the Company’s Statement of Additional Information. This information will be sent out via first class mail (or other means designed to ensure equally prompt delivery) within three business days of receiving the request.
The Advisor, on behalf of the Company, prepares and files Form N-PX with the SEC not later than August 31 of each year, which includes the Company’s proxy voting record for the most recent twelve-month period ended June 30 of that year. The Company’s proxy voting record for the most recent twelve-month period ended June 30 is available:
1. | By calling 800-FUND-TCW (800-386-3829) to obtain a hard copy; or |
2. | By going to the SEC website at http://www.sec.gov. |
When the Company receives a request for the Company’s proxy voting record, it will send the information disclosed in the Company’s most recently filed report on Form N-PX via first class mail (or other means designed to ensure equally prompt delivery) within three business days of receiving the request.
The Company also discloses its proxy voting record on its website as soon as is reasonably practicable after its report on Form N-PX is filed with the SEC.
Availability of Quarterly Portfolio Schedule
The Company files a complete schedule of its portfolio holdings with the SEC for the first and third quarters of its fiscal year on Form NPORT-P. Such filings occur no later than 60 days after the end of the Funds’ first and third quarters and are available on the SEC’s website at www.sec.gov.
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Tax Information Notice (Unaudited)
On account of the year ended October 31, 2020, the following Funds paid a capital gain distribution within the meaning 852 (b) (3) (c) of the Code. Each Fund also designates as a capital gain distribution a portion of earnings and profits paid to shareholders in redemption of their shares.
Fund | Amounts per Share | |||
TCW Core Fixed Income Fund | $ | 0.08 | ||
TCW Enhanced Commodity Strategy Fund | $ | 0.01 | ||
TCW Global Bond Fund | $ | 0.13 | ||
TCW Total Return Bond Fund | $ | 0.05 |
This information is given to meet certain requirements of the Code and should not be used by shareholders for preparing their income tax returns. In February 2021, shareholders will receive Form 1099-DIV which will show the actual distribution received and include their share of qualified dividends during the calendar year of 2020. Shareholders are advised to check with their tax advisors for information on the treatment of these amounts on their individual tax returns.
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Directors and Officers of the Company
A board of seven directors is responsible for overseeing the operations of the Company, which consists of 18 Funds at October 31, 2020. The directors of the Company, and their business addresses and their principal occupation for the last five years are set forth below.
Independent Directors
Name, and Year of Birth (1) | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Other Directorships held by Director | |||
Samuel P. Bell (1936) | Mr. Bell has served as a director of TCW Funds, Inc. since October 2002. | Private Investor. | Point.360 (post production services); TCW Strategic Income Fund, Inc. (closed-end fund). | |||
Patrick C. Haden (1953) Chairman of the Board | Mr. Haden has served as a director of TCW Funds, Inc. since May 2001. | President (since 2003), Wilson Ave. Consulting (business consulting firm); Senior Advisor to President (July 2016 – June 2017) and Athletic Director (August 2010 – June 2016), University of Southern California. | Tetra Tech, Inc. (environmental consulting); Auto Club (affiliate of AAA); Metropolitan West Funds (mutual fund); TCW Strategic Income Fund, Inc. (closed-end fund). | |||
Peter McMillan (1957) | Mr. McMillan has served as a director of TCW Funds, Inc. since August 2010. | Co-founder (since 2019), Pacific Oak Capital Advisors (investment advisory firm); Co-founder, Managing Partner and Chief Investment Officer (since May 2013), Temescal Canyon Partners (investment advisory firm); Co-founder and Executive Vice President (2005-2019), KBS Capital Advisors (a manager of real estate investment trusts). | Pacific Oak Strategic Opportunity REIT (real estate investments); Pacific Oak Strategic Opportunity REIT II (real estate investments); Keppel Pacific Oak U.S. REIT (real estate investments); Pacific Oak Residential Trust (real estate investments); Metropolitan West Funds (mutual fund); TCW DL VII Financing LLC (business development company); TCW Strategic Income Fund, Inc. (closed-end fund). | |||
Victoria B. Rogers (1961) | Ms. Rogers has served as a director of the TCW Funds, Inc. since October 2011. | President and Chief Executive Officer (since 1996), The Rose Hills Foundation (charitable foundation). | Norton Simon Museum (art museum); Stanford University (university); Causeway Capital Management Trust (mutual fund; 6 portfolios); Causeway ETML Trust (mutual fund); The Rose Hills Foundation (charitable foundation) TCW Strategic Income Fund, Inc. (closed-end fund). | |||
Andrew Tarica (1959) | Mr. Tarica has served as a director of the TCW Funds, Inc. since March 2012. | Chief Executive Officer (since February 2001), Meadowbrook Capital Management (asset management company); and Employee (since 2003), Cowen Prime Services (broker dealer). | Metropolitan West Funds (mutual fund); TCW Strategic Income Fund, Inc. (closed-end fund); TCW Direct Lending VII, LLC (business development company). |
(1) | The address of each Independent Director is c/o Morgan Lewis, & Bockius LLP, Counsel to the Independent Directors, 300 South Grand Avenue 22nd Floor, Los Angeles, CA 90071. |
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Interested Directors
These directors are “interested persons” of the Company as defined in the 1940 Act because they are directors and officers of the Advisor, and shareholders and directors of The TCW Group, Inc., the parent company of the Advisor.
Name and Year of Birth | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Other Directorships held by Director | |||
Marc I. Stern (1944) | Mr. Stern has served as a director since inception of TCW Funds, Inc. in September 1992. | Chairman (since January 2016), TCW LLC; Chairman (since February 2013), The TCW Group Inc., TCW Investment Management Company LLC, TCW Asset Management Company LLC and Metropolitan West Asset Management, LLC; Vice Chairman (November 2010 – December 2014) and Chairman (2014 – December 2015), Trust Company of the West. | N/A | |||
David S. DeVito (1962) President and Chief Executive Officer | Mr. DeVito has served as a director of the TCW Funds, Inc. since January 2014 and as its President and Chief Executive Officer since January 2014. | Executive Vice President and Chief Operating Officer (since January 2016), TCW LLC; Executive Vice President and Chief Operating Officer (since October 2013), TCW Investment Management Company LLC, The TCW Group, Inc., Metropolitan West Asset Management, LLC and TCW Asset Management Company LLC; President and Chief Executive Officer (since January 2014), TCW Strategic Income Fund, Inc.; Chief Financial Officer and Treasurer (since 2010), Metropolitan West Funds. | TCW Strategic Income Fund, Inc. (closed-end fund) |
The officers of the Company who are not directors of the Company are:
Name and Year of Birth | Position(s) Held with Company | Principal Occupation(s) During Past 5 Years (1) | ||
Lisa Eisen (1963) Tax Officer | Ms. Eisen has served as Tax Officer of TCW Funds, Inc. since December 2016. | Tax Officer (since December 2016), Metropolitan West Funds and TCW Strategic Income Fund, Inc.; Managing Director and Director of Tax (since August 2016), TCW LLC; Vice President of Corporate Tax and Payroll for Health Net, Inc. (1998 – July 2016). |
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Directors and Officers of the Company (Continued)
Name and Year of Birth | Position(s) Held with Company | Principal Occupation(s) During Past 5 Years (1) | ||
Meredith S. Jackson (1959) Senior Vice President, General Counsel and Secretary | Ms. Jackson has served as Senior Vice President since January 2016 and General Counsel and Secretary of TCW Funds, Inc. since February 2013. | Executive Vice President, General Counsel and Secretary (since January 2016), TCW LLC; Executive Vice President, General Counsel and Secretary (since February 2013), TCW Investment Management Company LLC, The TCW Group Inc., TCW Asset Management Company LLC, and Metropolitan West Asset Management, LLC and Trust Company of the West (2013 – December 2015); Senior Vice President, General Counsel and Secretary (since February 2013), TCW Strategic Income Fund, Inc.; Vice President and Secretary (since February 2013), Metropolitan West Funds. | ||
Jeffrey Engelsman (1967) Chief Compliance Officer and AML Officer | Mr. Engelsman has served as Chief Compliance Officer of TCW Funds, Inc. since September 2014 and AML Officer of TCW Funds, Inc. since December 2016. | AML Officer (since December 2016), Metropolitan West Funds, and TCW Strategic Income Fund, Inc.; Managing Director and Global Chief Compliance Officer (since January 2016), TCW LLC; Chief Compliance Officer (since 2014), Metropolitan West Funds; Managing Director, Global Chief Compliance Officer (since August 2014), Metropolitan West Asset Management Company, LLC, and TCW Asset Management Company LLC (since August 2014) and Trust Company of the West (2014 – December 2015); Global Chief Compliance Officer (since September 2014), The TCW Group, Inc.; Chief Compliance Officer (since September 2014), TCW Strategic Income Fund, Inc. | ||
Richard M. Villa (1964) Treasurer Principal Financial and Accounting Officer | Mr. Villa has served as Treasurer and Principal Financial and Accounting Officer of TCW Funds, Inc. since February 2014. | Managing Director, Chief Financial Officer and Assistant Secretary (since January 2016), TCW LLC; Treasurer and Principal Financial and Accounting Officer (since February 2014), TCW Strategic Income Fund, Inc.; Managing Director and Chief Financial Officer and Assistant Secretary (since July 2008), TCW Investment Management Company LLC, the TCW Group, Inc., TCW Asset Management Company LLC, Metropolitan West Asset Management, LLC and Trust Company of the West (2008 – December 2015). |
(1) | Positions with The TCW Group, Inc. and its affiliates may have changed over time. |
* | Address is 865 South Figueroa Street, 18th Floor, Los Angeles, California 90017. |
In addition, Eric Chan, Senior Vice President of Fund Operations for the Advisor, TCW Asset Management Company LLC, TCW LLC (since 2009), and Metropolitan West Asset Management, LLC (since November 2006), is Assistant Treasurer of the Company (since June 2019) and Metropolitan West Funds (since 2010). Mr. Chan is a Certified Public Accountant. Patrick W. Dennis, Senior Vice President, Associate General Counsel and Assistant Secretary of TCW Asset Management Company LLC, Metropolitan West
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Asset Management, LLC, TCW LLC, the Advisor (since February 2013) and Trust Company of the West (February 2013 – December 2015), is Vice President and Assistant Secretary of the Company.
The SAI (Statement of Additional Information) has additional information regarding the Board of Directors. A copy is available without charge by calling 1-800-FUND-TCW (1-800-386-3829) to obtain a hard copy or by going to the SEC website at http://www.sec.gov.
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Disclaimers for Use of Bloomberg Barclays Indexes
BARCLAYS is a trademark and service mark of Barclays Bank Plc, used under license. Barclays Capital Inc. and its affiliates (“Barclays”) is not the issuer or producer of TCW Funds, Inc. and Barclays has no responsibilities, obligations or duties to investors in TCW Funds, Inc. (the “Funds”). Barclays’ only relationship with the Funds is the licensing of the BARCLAYS mark as part of the name of the respective Barclays Indexes, which Barclays does not determine, compose or calculate. Additionally, the Funds may for itself execute transaction(s) with Barclays in or relating to the Indexes used in connection with the Funds. Investors who acquire the Funds neither acquire any interest in the Indexes nor enter into any relationship of any kind whatsoever with Barclays upon making an investment in the Funds. The Funds are not sponsored, endorsed, sold or promoted by Barclays. Barclays does not make any representation or warranty, express or implied regarding the advisability of investing in the Funds or the advisability of investing in securities generally or the ability of the Indexes to track corresponding or relative market performance. Barclays has not passed on the legality or suitability of the Funds with respect to any person or entity. Barclays is not responsible for and has not participated in the determination of the timing of, prices at, or quantities of the Funds to be issued. Barclays has no obligation or liability in connection with administration, marketing or trading of the Funds.
The licensing agreement between Bloomberg and Barclays is solely for the benefit of Bloomberg and Barclays and not for the benefit of the owners of the Funds’ investors or other third parties.
BARCLAYS SHALL HAVE NO LIABILITY TO THE ISSUER, INVESTORS OR TO OTHER THIRD PARTIES FOR THE QUALITY, ACCURACY AND/OR COMPLETENESS OF THE INDEXES OR ANY DATA INCLUDED THEREIN OR FOR INTERRUPTIONS IN THE DELIVERY OF THE INDEXES. BARCLAYS MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, THE INVESTORS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEXES OR ANY DATA INCLUDED THEREIN. BARCLAYS MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE INDEXES OR ANY DATA INCLUDED THEREIN. BARCLAYS DOES NOT CALCULATE OR PUBLISH THE BLOOMBERG BARCLAYS INDEXES AND SHALL NOT BE LIABLE FOR ANY MISCALCULATION OF OR ANY INCORRECT, DELAYED OR INTERRUPTED PUBLICATION WITH RESPECT TO ANY OF THE BLOOMBERG BARCLAYS INDEXES. BARCLAYS SHALL NOT BE LIABLE FOR ANY DAMAGES, INCLUDING, WITHOUT LIMITATION, ANY SPECIAL, INDIRECT OR CONSEQUENTIAL DAMAGES, OR ANY LOST PROFITS AND EVEN IF ADVISED OF THE POSSIBILITY OF SUCH, RESULTING FROM THE USE OF THE INDEXES OR ANY DATA INCLUDED THEREIN OR WITH RESPECT TO THE FUNDS.
None of the information supplied by Barclays and used in this publication may be reproduced in any manner without the prior written permission of Barclays Capital, the investment banking division of Barclays Bank Plc. Barclays Bank Plc is registered in England No. 1026167. Registered office 1 Churchill Place London E14 5HP.
BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. Bloomberg Finance L.P. and its affiliates (collectively, “Bloomberg”) or Bloomberg’s licensors own all proprietary right in the Barclays Indexes. Bloomberg does not guarantee the timeliness, accuracy or completeness of any data or information relating to the Indexes. Bloomberg makes no warranty, express or implied, as to the Indexes or any data or values relating thereto or results to be obtained therefrom, and expressly disclaims all warranties of merchantability and fitness for a particular purpose with respect thereto. It is not possible to
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invest directly in an index. Back-tested performance is not actual performance. To the maximum extent allowed by law, Bloomberg, its licensors, and its and their respective employees, contractors, agents, suppliers and vendors shall have no liability or responsibility whatsoever for any injury or damages — whether direct, indirect, consequential, incidental, punitive or otherwise — arising in connection with Indexes or any data or values relating thereto — whether arising from their negligence or otherwise. Nothing in the Indexes shall constitute or be construed as an offering of financial instruments or as investment advice or investment recommendations (i.e., recommendations as to whether or not to “buy”, “sell”, “hold”, or to enter or not to enter into any other transaction involving any specific interest or interests) by Bloomberg or its affiliates or a recommendation as to an investment or other strategy by Bloomberg or its affiliates. Data and other information available via the Indexes should not be considered as information sufficient upon which to base an investment decision. All information provided by the Indexes is impersonal and not tailored to the needs of any person, entity or group of persons. Bloomberg and its affiliates do not express an opinion on the future or expected value of any security or other interest and do not explicitly or implicitly recommend or suggest an investment strategy of any kind.
The only relationship of Bloomberg or any of its subsidiaries or affiliates to the Funds is the licensing of certain trademarks, trade names and service marks and of the Indexes, which is determined, composed and calculated by Bloomberg without regard to the Funds. Bloomberg has no obligation to take the needs of the Funds or the owners of the Funds into consideration in determining, composing or calculating the Indexes. The Funds are not sponsored, endorsed, sold or promoted by Bloomberg or any of its subsidiaries or affiliates.
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TCW Funds, Inc.
865 South Figueroa Street, Suite 1800
Los Angeles, California 90017
800 FUND TCW
(800 386 3829)
www.TCW.com
INVESTMENT ADVISOR
TCW Investment Management Company LLC
865 South Figueroa Street, Suite 1800
Los Angeles, California 90017
TRANSFER AGENT
U.S. Bancorp Fund Services, LLC
615 E. Michigan Street
Milwaukee, Wisconsin 53202
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
555 West 5th Street
Los Angeles, California 90013
CUSTODIAN & ADMINISTRATOR
State Street Bank & Trust Company
One Lincoln Street
Boston, Massachusetts 02111
DISTRIBUTOR
TCW Funds Distributors LLC
865 South Figueroa Street, Suite 1800
Los Angeles, California 90017
DIRECTORS
Patrick C. Haden
Director and Chairman of the Board
Samuel P. Bell
Director
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
FUNDarFI1020
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OCTOBER 31
A N N U A L
R E P O R T
INTERNATIONAL FUNDS
TCW Developing Markets Equity Fund
TCW Emerging Markets Income Fund
TCW Emerging Markets Local Currency Income Fund
TCW Emerging Markets Multi-Asset Opportunities Fund
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.
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The Letter to Shareholders and/or Management Discussions contained in this Annual Report are the opinions of each Fund’s portfolio managers and are not the opinions of TCW Funds, Inc. or its Board of Directors. Various matters discussed in the Letter to Shareholders and/or Management Discussions constitute forward-looking statements within the meaning of the federal securities laws. Actual results and the timing of certain events could differ materially from those projected or contemplated by these forward-looking statements due to a number of factors, including general economic conditions, overall availability of securities for investment by a Fund, the level of volatility in the securities markets and in the share price of a Fund, and other risk factors discussed in the SEC filings of TCW Funds, Inc. The data presented in the Letter to Shareholders and/or Management Discussions represents past performance and cannot be used to predict future results. |
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David S. DeVito President, Chief Executive Officer and Director |
Dear Valued Investors,
I am pleased to present the 2020 annual report for the TCW Funds, Inc. covering the 12-month period ended October 31, 2020. I would like to express our appreciation for your continued investment in the TCW Funds as well as to welcome new shareholders to our fund family. As of October 31, 2020, the TCW Funds held total net assets of approximately $17.6 billion.
This report contains information and portfolio management discussions of our TCW International Funds.
The International Markets
2020 has been a volatile year for Emerging Markets (EM). Sovereign spreads widened from a tight of 285bps to approximately 720bps in March on concerns regarding sovereigns’ access to credit and the breakdown of the OPEC production agreement, which impacted the oil exporting countries/companies in EM. The significant monetary response from both Developed Markets (DM) and EM Central Banks, along with strong fiscal stimulus and the Rapid Financing Initiative from the IMF, helped the asset class start to recover. As of October 31, EM sovereign spreads were approximately 425bps.
We are constructive on Emerging Markets as we head into 2021. While Emerging and Developed Markets economies are facing recessions and rising fiscal deficits this year, we project Emerging Markets growth to outperform Developed Markets growth in both 2020 and 2021. In addition, we believe global growth is turning, emerging from a recession to an expansion, and EM is an asset class that benefits from stronger global growth. In particular, EM is levered to growth in China, which appears to be the only major economy that can eke out positive growth in 2020. We are closely monitoring the recent increase in COVID-19 cases in Europe and the U.S. and, while attendant lockdowns are likely to have a negative impact on growth in the fourth quarter, we believe the expansion
story should reassert itself by early 2021. Recent positive vaccine developments further support the growth story.
Looking ahead, we believe that the longer-term trend for the dollar is weaker. Rising fiscal and current account deficits in the U.S. have traditionally put downward pressure on the dollar all other things being equal. In the last couple of years, however, the impact of growing deficits has been offset by foreign inflows attracted by higher real yields in the U.S. than in other developed markets. As the Fed has reduced rates, this differential has contracted, and as such, the attractiveness of the dollar has declined. However, in order for emerging markets currencies (EMFX) to take the lead against the dollar, we likely will need to see a continued recovery in global growth. The dollar is largely a countercyclical currency, and EM tends to outperform in the early stages of the business cycle. Finally, while it is difficult to time the turn, dollar-cycles tend to be longer-term in nature. While there may be some choppiness in the near term as the dollar tends to be a safe haven during periods of volatility, we believe that EMFX opportunities are being created.
From a valuation perspective, the asset class continues to appear attractive relative both to its own history and to other fixed income asset classes. Spreads have, in our view, moved a long way to incorporating the impact of this year’s credit quality deterioration. Moreover, average yields on hard and local currency debt range from 4.3-4.8%. In an environment where Central Banks are likely to remain accommodative and approximately 70% of global fixed income trading is below 2%, EM debt appears to be one of the only carry opportunities left within fixed income.
Differentiation between sovereigns remains key, and we continue to remain constructive on the asset class in light of: (i) expectations of the beginning of a global recovery cycle in 2021 which historically favors cyclical asset classes such as EM; (ii) weakness in the U.S. dollar which tends to
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Letter to Shareholders (Continued) |
support commodity prices and flows into EM currency markets; and (iii) attractive relative valuation metrics in this low rate environment.
The main risks we are concerned about include a global backsliding on the containment of COVID-19 as economies reopen. While lockdowns have proven an effective means for containing infection rates, they come at a substantial economic cost. A second, and related, risk is disappointment with finding, producing and disseminating an effective COVID vaccine. Markets appear to believe that a vaccine will be approved later this year and widely available in 2021. If that optimism fades, this could have a powerful negative effect on sentiment across the global economy and financial markets. A third risk is the potential for additional sanctions from the U.S. administration during the lame duck session that may weigh on Chinese assets in particular.
These are challenging times for all of us, both in our personal and professional lives, and on behalf of everyone at TCW, I wish you and your loved ones good health and safety. We truly value our relationship with you and thank you for making the TCW Funds part of your long-term investment plan. If you have any questions or require further information, I invite you to visit our website at www.tcw.com, or call our shareholder services department at 800-386-3829.
I look forward to further correspondence with you through our semi-annual report next year.
Sincerely,
David S. DeVito
President, Chief Executive Officer and Director
Morningstar Analyst Rating Disclosure:
The Morningstar Analyst RatingTM is not a credit or risk rating. It is a subjective evaluation performed by Morningstar’s manager research group, which consists of various Morningstar,
Inc. subsidiaries (“Manager Research Group”). In the United States, that subsidiary is Morningstar Research Services LLC, which is registered with and governed by the U.S. Securities and Exchange Commission. The Manager Research Group evaluates funds based on five key pillars, which are process, performance, people, parent, and price. The Manager Research Group uses this five-pillar evaluation to determine how they believe funds are likely to perform relative to a benchmark over the long term on a risk adjusted basis. They consider quantitative and qualitative factors in their research. For actively managed strategies, people and process each receive a 45% weighting in their analysis, while parent receives a 10% weighting. For passive strategies, process receives an 80% weighting, while people and parent each receive a 10% weighting. For both active and passive strategies, performance has no explicit weight as it is incorporated into the analysis of people and process; price at the share-class level (where applicable) is directly subtracted from an expected gross alpha estimate derived from the analysis of the other pillars. The impact of the weighted pillar scores for people, process and parent on the final Analyst Rating is further modified by a measure of the dispersion of historical alphas among relevant peers. For certain peer groups where standard benchmarking is not applicable, primarily peer groups of funds using alternative investment strategies, the modification by alpha dispersion is not used.
The Analyst Rating scale is Gold, Silver, Bronze, Neutral, and Negative. For active funds, a Morningstar Analyst Rating of Gold, Silver, or Bronze reflects the Manager Research Group’s expectation that an active fund will be able to deliver positive alpha net of fees relative to the standard benchmark index assigned to the Morningstar category. The level of the rating relates to the level of expected positive net alpha relative to Morningstar category peers for active funds. For passive funds, a Morningstar Analyst Rating of Gold, Silver, or Bronze reflects the Manager Research Group’s expectation that a fund will be able to deliver a higher alpha net of fees than the lesser of the relevant Morningstar category median or 0. The level of the rating relates to the level of expected net alpha relative to Morningstar category peers for passive funds. For certain peer groups where standard benchmarking is not applicable, primarily peer groups of funds using alternative investment
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Letter to Shareholders (Continued) |
strategies, a Morningstar Analyst Rating of Gold, Silver, or Bronze reflects the Manager Research Group’s expectation that a fund will deliver a weighted pillar score above a predetermined threshold within its peer group. Analyst Ratings ultimately reflect the Manager Research Group’s overall assessment, are overseen by an Analyst Rating Committee, and are continuously monitored and reevaluated at least every 14 months.
For more detailed information about Morningstar’s Analyst Rating, including its methodology, please go to https://shareholders.morningstar.com/investor-relations/governance/Compliance–Disclosure/default.aspx.
The Morningstar Analyst Rating (i) should not be used as the sole basis in evaluating a fund, (ii) involves unknown risks and uncertainties which may cause the Manager Research Group’s expectations not to occur or to differ significantly from what they expected, and (iii) should not be considered an offer or solicitation to buy or sell the fund.
Morningstar Rating Disclosure as of 9/30/20:
The Morningstar RatingTM for 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-, and 10-year (if applicable) Morningstar Rating metrics. The weights are: 100% three-year rating for 36-59 months of total returns, 60% five-year rating/40% three-year rating for 60-119 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 the 10-year overall star rating formula seems to give the most weight to the 10-year period, the most recent three-year period actually has the greatest impact because it is included in all three rating periods.
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TCW Developing Markets Equity Fund
For the year ended October 31, 2020, the TCW Developing Markets Equity Fund (the “Fund”) returned 17.90% and 17.80% on its I Class and N Class shares, respectively. The performance of the Fund’s share classes varies because of differing expenses. The Fund’s benchmark, the MSCI Emerging Markets Net Total Return Index (“Index”), returned 8.25% over the same period. Per Morningstar, the Fund is in the top 15% relative to peers for the 1-year period.
The Fund’s emphasis on structural growth against underweights in energy and financials contributed to relative outperformance. For the year, the Fund outperformed in almost all of the major sectors, particularly communication services, energy, consumer staples and healthcare.
Several of the key themes expressed within the equity exposure include: 1) growth in Internet ecosystems, 2) China technology independence, 3) Emerging Markets (EM) drug discovery/pharma innovation, 4) EM education and 5) Modern retail penetration with a focus on pharmacies, grocery and pet stores. We are materially overweight China in light of the growth recovery. Key underweights remain South Korea, South Africa and the GCC1. By sector, our single largest overweight is healthcare, which we believe to be the next major sector as the composition of the benchmark evolves. We have also increased the level of portfolio concentration further focusing the positioning on our key themes.
We are constructive on Emerging Markets equities as we head into 2021, and are maintaining our overweight to equities relative to fixed income. We believe global growth is turning, emerging from a recession to an expansion, and EM is an asset class that benefits from stronger global growth. In particular, EM is levered to growth in China, which appears to be the only major economy that can eke out positive growth in 2020. In addition, we believe that the longer-term trend for the dollar is weaker; the dollar is largely a countercyclical currency, and EM tends to outperform in the early stages of the business cycle. Weakness in the U.S. dollar typically supports commodity prices and flows into EM equities.
As for valuations, EM equities are trading at a premium relative to their long-run valuations, although the extent of this premium is below that at which U.S. and broad Developed Markets equities are trading. Looking at an aggregate valuation across a number of metrics, the MSCI EM is about 1.7 standard deviations expensive versus its long run averages, compared to about 2.4 standard deviations for the S&P.
We are closely monitoring the recent increase in COVID-19 cases in Europe and the U.S. and, while attendant lockdowns are likely to have a negative impact on growth in the fourth quarter, we believe the expansion story should reassert itself by early 2021, which combined with positive vaccine developments will, in our view, support EM equity returns.
1 | The Cooperation Council for the Arab States of the Gulf, originally known as the Gulf Cooperation Council (GCC), is a regional intergovernmental political and economic union consisting of all Arab states of the Persian Gulf, except Iraq: Bahrain, Kuwait, Oman, Qatar, Saudi Arabia, and the United Arab Emirates. |
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TCW Developing Markets Equity Fund
Management Discussions (Continued)
The total number of Emerging Markets Bond Funds for the 3- and 5-year time periods were 732, and 681, respectively. The TCW Developed Markets Equity Fund I Share and N Share received a Morningstar rating of three stars for the 3- and 5-year periods.
Annualized Return(1) | ||||||||||||||||
One Year | Three Years | Five Years | Inception To Date | |||||||||||||
TCW Developing Markets Equity Fund | ||||||||||||||||
Class I (Inception Date: 07/01/2015) | 17.90 | % | 2.61 | % | 7.19 | % | 3.79 | % | ||||||||
Class N (Inception Date: 07/01/2015) | 17.80 | % | 2.58 | % | 7.17 | % | 3.77 | % | ||||||||
MSCI Emerging Markets Net Total Return Index | 8.25 | % | 1.94 | % | 7.91 | % | 4.84 | % |
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
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TCW Emerging Markets Income Fund
Management Discussions
For the year ended October 31, 2020, the TCW Emerging Markets Income Fund (the “Fund”) returned -0.69% net on both its I Class and N Class shares. The Fund’s benchmark, the JP Morgan EMBI Global Diversified Index (“EMBI”), returned 0.98% over the same period.
As of October 31, 2020, the TCW Emerging Markets Income Fund (TGEIX) is ranked in the first quartile of its Morningstar Emerging Markets Bond peer group for the 5-year and 10-year time periods ended October 31, 2020.
The underperformance for the year stems from March 2020. We were positioned for a stable to improving growth environment, and underestimated the spread of COVID-19 and the possibility of lockdowns in the developed world. At the same time, the OPEC production agreement was abandoned, leading to a swift and very sharp drop in oil prices. During this time, we reviewed each credit in the portfolio in light of the global economic lockdown and chose to exit select exposure that we deemed more vulnerable in this lower growth environment. In addition, we steadily upgraded the credit quality of the portfolio, largely adding high quality investment grade sovereigns through the new issue market. As a consequence, since the end of March 2020 through the end of October, the Fund has performed in the top 10% relative to its Morningstar Emerging Markets Bond peer group.
We are constructive on Emerging Markets (EM) as we head into 2021, although would note that differentiation between sovereigns remain key, given the extent of fiscal deficits in some cases and limited scope to loosen monetary and fiscal policy further. We believe global growth is turning, emerging from a recession to an expansion, and EM is an asset class that benefits from stronger global growth. In particular, EM is levered to growth in China, which appears to be the only major economy that can eke out positive growth in 2020. In addition, we believe that the longer-term trend for the dollar is weaker; the dollar is largely a countercyclical currency, and EM tends to outperform in the early stages of the business cycle. Weakness in the U.S. dollar tends to support commodity prices and flows into EM. Furthermore, average yields on hard and local currency debt range from 4.3-4.8%. In an environment where central banks are likely to remain accommodative and approximately 70% of global fixed income trading is below 2%, EM debt appears to be one of the only carry opportunities left within fixed income.
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TCW Emerging Markets Income Fund
Management Discussions (Continued)
The total number of Emerging Markets Bond Funds for the 3-, 5-, and 10-year time periods were 263, 229, and 95, respectively. The TCW Emerging Markets Income Fund I Share received a Morningstar rating of 4 stars for the 3- and 5-year periods, and 5 stars for the 10-year period. The TCW Emerging Markets Income Fund N Share received a rating of 3 stars for the 3-year period, and 4 stars for the 5- and 10-year periods.
Annualized Return(1) | ||||||||||||||||||||||||
One Year | Three Years | Five Years | Ten Years | Inception To Date | Inception Index | |||||||||||||||||||
TCW Emerging Markets Income Fund | ||||||||||||||||||||||||
Class I (Inception Date: 09/01/1996) | -0.69 | % | 2.25 | % | 5.69 | % | 4.65 | % | 8.69 | %(2) | 8.74 | % | ||||||||||||
Class N (Inception Date: 03/01/2004) | -0.69 | % | 2.05 | % | 5.46 | % | 4.40 | % | 7.11 | % | 7.10 | % | ||||||||||||
JPMorgan EMBI Global Diversified Index | 0.98 | % | 3.35 | % | 5.57 | % | 5.24 | % | ||||||||||||||||
Class P (Inception Date: 02/28/2020) | — | — | — | — | -2.59 | %(3) | -1.08 | %(3) |
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TCW Emerging Markets Income Fund
Management Discussions (Continued)
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
(2) | Performance data includes the performance of the predecessor entity for periods before the Fund’s registration became effective. The predecessor entity was not registered under the 1940 Act, and therefore, was not subject to certain investment restrictions that we imposed by the 1940 Act. If the predecessor entity had been registered under the 1940 Act, the predecessor entity’s performance may have been lower. |
(3) | Non-annualized. Cumulative return for the Class Plan during the period of February 28, 2020 through October 31, 2020. |
8
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Management Discussions
For the year ended October 31, 2020, the TCW Emerging Markets Local Currency Income Fund (the “Fund”) returned -5.26% and -5.28% net on its I Class and N Class shares, respectively. The performance of the Fund’s share classes varies because of differing expenses. The Fund’s benchmark, the JP Morgan GBI-EM Global Diversified Index (“GBI-EM”), returned -3.81% over the same period.
The underperformance for the year stems from March 2020. We were positioned for a stable to improving growth environment, and underestimated the spread of COVID-19 and the possibility of widespread lockdowns in the developed world. At the same time, the OPEC production agreement was abandoned, leading to a swift and very sharp drop in oil prices. Overweight positioning in EMFX relative to the dollar hurt relative performance. We have been making up this underperformance since the end of March.
We are constructive on Emerging Markets local currency debt as we head into 2021. We believe global growth is turning, emerging from a recession to an expansion, and EM is an asset class that benefits from stronger global growth. In particular, EM is levered to growth in China, which appears to be the only major economy that can eke out positive growth in 2020. We are closely monitoring the recent increase in COVID-19 cases in Europe and the U.S. and, while attendant lockdowns are likely to have a negative impact on growth in the fourth quarter, we believe the expansion story should reassert itself by early 2021. Recent positive vaccine developments further support the growth story.
In addition, we believe that the longer-term trend for the dollar is weaker. Rising fiscal and current account deficits in the U.S. have traditionally put downward pressure on the dollar all other things being equal. In the last couple of years, however, the impact of growing deficits has been offset by foreign inflows attracted by higher real yields in the U.S. than in other developed markets. As the Fed has reduced rates, this differential has contracted, and as such, the attractiveness of the dollar has declined. However, in order for EMFX to take the lead against the dollar, we likely will need to see a continued recovery in global growth. The dollar is largely a countercyclical currency, and EM tends to outperform in the early stages of the business cycle. Finally, while it is difficult to time the turn, dollar-cycles tend to be longer-term in nature. While there may be some choppiness in the near term as the dollar tends to be a safe haven during periods of volatility, we believe that EMFX opportunities are being created.
Finally, average yields on local currency debt are approximately 4.3%, with the opportunity to access higher carry in select markets. In an environment where central banks are likely to remain accommodative and approximately 70% of global fixed income trading is below 2%, relative valuations appear attractive to us.
9
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Management Discussions (Continued)
Annualized Return(1) | ||||||||||||||||
One Year | Three Years | Five Years | Inception To Date | |||||||||||||
TCW Emerging Markets Local Currency Income Fund | ||||||||||||||||
Class I (Inception Date: 12/15/2010) | -5.26 | % | -0.04 | % | 3.46 | % | 0.90 | % | ||||||||
Class N (Inception Date: 12/15/2010) | -5.28 | % | -0.09 | % | 3.43 | % | 0.87 | % | ||||||||
JPMorgan GBI-EM Global Diversified Index | -3.81 | % | 1.27 | % | 3.94 | % | 0.72 | % |
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
10
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Management Discussions
For the year ended October 31, 2020, the TCW Emerging Markets Multi-Asset Opportunities Fund (the “Fund”) returned 10.34% and 10.08% on its I Class and N Class shares, respectively. The performance of the Fund’s share classes varies because of differing expenses. The Fund’s blended benchmark, 50% JP Morgan EMBI Global Diversified Index (“EMBI”) and 50% MSCI Daily Total Return Net Emerging Markets Index (“MSCI EM”) returned 4.82% over the same period.
Outperformance for the year was largely driven by overweight positioning to equities at the expense of fixed income, as well as security selection in the equity sleeve, given an emphasis on structural growth.
Several of the key themes expressed within the equity exposure include: 1) growth in Internet ecosystems, 2) China technology independence, 3) Emerging Markets (EM) drug discovery/pharma innovation, 4) EM education and 5) Modern retail penetration with a focus on pharmacies, grocery and pet stores. We are materially overweight China in light of the growth recovery. Within fixed income, we have a focus on hard currency, with larger overweights in Latin America and the Middle East/Africa against underweights in Asia and Europe.
We are constructive on Emerging Markets as we head into 2021, and are maintaining our overweight to equities relative to fixed income. We believe global growth is turning, emerging from a recession to an expansion, and EM is an asset class that benefits from stronger global growth. In particular, EM is levered to growth in China, which appears to be the only major economy that can eke out positive growth in 2020. In addition, we believe that the longer-term trend for the dollar is weaker; the dollar is largely a countercyclical currency, and EM tends to outperform in the early stages of the business cycle. Weakness in the U.S. dollar typically supports commodity prices and flows into EM.
As for valuations, EM equities are trading at a premium relative to their long-run valuations, although the extent of this premium is below that at which U.S. and broad DM equities are trading. Looking at an aggregate valuation across a number of metrics, the MSCI EM is about 1.7 standard deviations expensive versus its long run averages, compared to about 2.4 standard deviations for the S&P. For fixed income, average yields on hard and local currency debt range from 4.3-4.8%. In an environment where Central Banks are likely to remain accommodative and approximately 70% of global fixed income trading is below 2%, EM debt appears to be one of the only carry opportunities left within fixed income.
11
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Management Discussions (Continued)
Annualized Return(1) | ||||||||||||||||
One Year | Three Years | Five Years | Inception To Date | |||||||||||||
TCW EM Multi-Asset Opportunities Fund | ||||||||||||||||
Class I (Inception Date: 07/01/2013) | 10.34 | % | 3.44 | % | 7.48 | % | 4.87 | % | ||||||||
Class N (Inception Date: 07/01/2013) | 10.08 | % | 3.26 | % | 7.39 | % | 4.75 | % | ||||||||
50% JPM EMBI Global Diversified Index/50% MSCI Daily Total Return Net Emerging Markets Index | 4.82 | % | 2.88 | % | 6.94 | % | 5.29 | % |
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
12
Table of Contents
TCW Developing Markets Equity Fund
Schedule of Investments | October 31, 2020 |
Issues | Shares | Value | ||||||
Argentina — 2.5% (Cost: $86,159) | ||||||||
MercadoLibre, Inc. (1) | 125 | $ | 151,756 | |||||
|
| |||||||
Brazil — 8.5% | ||||||||
Localiza Rent a Car S.A. | 13,200 | 138,914 | ||||||
Magazine Luiza S.A. | 20,000 | 85,432 | ||||||
Notre Dame Intermedica Participacoes S.A. | 5,100 | 58,155 | ||||||
Pet Center Comercio e Participacoes S.A. (1) | 15,500 | 47,715 | ||||||
Raia Drogasil S.A. | 21,500 | 89,714 | ||||||
StoneCo, Ltd. (1) | 2,060 | 108,232 | ||||||
|
| |||||||
Total Brazil |
| |||||||
(Cost: $464,690) |
| 528,162 | ||||||
|
| |||||||
Chile — 0.4% (Cost: $30,279) | ||||||||
Empresa Nacional de Telecomunicaciones SA | 5,000 | 28,156 | ||||||
|
| |||||||
China — 47.4% | ||||||||
Alibaba Group Holding, Ltd. (SP ADR) (China) (1) | 2,084 | 634,974 | ||||||
CITIC Guoan Information Industry Co., Ltd. (1) | 120,000 | 46,181 | ||||||
Dongfang Electric Corp., Ltd. | 30,000 | 47,582 | ||||||
Galaxy Entertainment Group, Ltd. | 18,000 | 118,918 | ||||||
GDS Holdings, Ltd. (ADR) (1) | 1,300 | 109,252 | ||||||
Innovent Biologics, Inc. (1) | 5,000 | 37,064 | ||||||
JD.com, Inc. (ADR) (1) | 1,600 | 130,432 | ||||||
Kingboard Holdings, Ltd. | 14,000 | 47,404 | ||||||
Koolearn Technology Holding, Ltd. (1) | 18,500 | 59,880 | ||||||
KWG Living Group Holdings, Ltd | 13,250 | 10,388 | ||||||
KWG Property Holdings, Ltd. (1) | 26,500 | 35,131 | ||||||
Meituan Dianping — Class B (1) | 3,900 | 145,345 | ||||||
NAURA Technology Group Co., Ltd. | 3,200 | 81,991 | ||||||
New Oriental Education & Technology Group, Inc. (SP ADR) (1) | 600 | 96,228 | ||||||
Pharmaron Beijing Co., Ltd. — Class H | 7,800 | 112,895 | ||||||
Proya Cosmetics Co., Ltd. | 3,040 | 78,615 | ||||||
SF Holding Co., Ltd. | 7,200 | 89,185 | ||||||
Shanghai Tunnel Engineering Co., Ltd. | 55,000 | 45,893 | ||||||
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. | 1,100 | 63,675 | ||||||
Tencent Holdings, Ltd. | 7,600 | 580,507 | ||||||
WuXi AppTec Co., Ltd. — Class H | 5,964 | 95,325 | ||||||
Wuxi Biologics, Inc. (1) | 5,000 | 140,376 | ||||||
Yifeng Pharmacy Chain Co., Ltd. | 5,540 | 84,381 | ||||||
Zhongsheng Group Holdings, Ltd. | 5,000 | 35,640 | ||||||
|
| |||||||
Total China |
| |||||||
(Cost: $1,877,019) |
| 2,927,262 | ||||||
|
| |||||||
Egypt — 1.6% (Cost: $98,037) | ||||||||
Commercial International Bank Egypt SAE | 24,667 | 96,419 | ||||||
|
| |||||||
France — 1.6% (Cost: $75,277) | ||||||||
Hermes International | 105 | 97,782 | ||||||
|
|
Issues | Shares | Value | ||||||
Hungary —1.2% (Cost: $65,329) | ||||||||
Richter Gedeon Nyrt | 3,624 | $ | 73,993 | |||||
|
| |||||||
India — 7.1% | ||||||||
Avenue Supermarts, Ltd. (1) | 3,070 | 92,404 | ||||||
Bajaj Finance, Ltd. | 2,455 | 109,216 | ||||||
Divi’s Laboratories, Ltd. | 1,700 | 72,087 | ||||||
Reliance Industries, Ltd. | 4,107 | 114,411 | ||||||
Reliance Industries, Ltd | 273 | 4,371 | ||||||
Shriram Transport Finance Co., Ltd. | 4,796 | 44,618 | ||||||
|
| |||||||
Total India |
| |||||||
(Cost: $363,105) |
| 437,107 | ||||||
|
| |||||||
Mexico — 1.1% (Cost: $72,890) | ||||||||
Genomma Lab Internacional S.A.B. de C.V. — Class B (1) | 75,200 | 66,868 | ||||||
|
| |||||||
Poland — 0.6% (Cost: $46,227) | ||||||||
Polskie Gornictwo Naftowe i Gazownictwo S.A. | 35,000 | 36,862 | ||||||
|
| |||||||
Russia — 2.7% | ||||||||
X5 Retail Group NV (GDR) | 1,642 | 57,700 | ||||||
Yandex N.V. (1) | 1,900 | 109,383 | ||||||
|
| |||||||
Total Russia |
| |||||||
(Cost: $116,624) |
| 167,083 | ||||||
|
| |||||||
Singapore — 1.0% (Cost: $60,571) | ||||||||
Sea, Ltd. (SP ADR) (1) | 400 | 63,080 | ||||||
|
| |||||||
South Africa — 1.3% (Cost: $65,747) | ||||||||
Clicks Group, Ltd. | 5,486 | 79,663 | ||||||
|
| |||||||
South Korea — 4.2% | ||||||||
Kakao Corp. | 350 | 102,057 | ||||||
NCSoft Corp. | 120 | 82,450 | ||||||
Samsung Biologics Co., Ltd. (1) | 125 | 75,537 | ||||||
|
| |||||||
Total South Korea |
| |||||||
(Cost: $199,103) |
| 260,044 | ||||||
|
| |||||||
Taiwan — 13.3% | ||||||||
Acer, Inc. | 52,610 | 43,967 | ||||||
ASPEED Technology, Inc. | 1,000 | 48,399 | ||||||
Chailease Holding Co., Ltd. | 22,760 | 110,566 | ||||||
Pegatron Corp. | 21,000 | 45,256 | ||||||
Ruentex Development Co., Ltd. | 34,000 | 47,016 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 35,000 | 529,539 | ||||||
|
| |||||||
Total Taiwan |
| |||||||
(Cost: $554,881) |
| 824,743 | ||||||
|
| |||||||
United Kingdom —1.5% (Cost: $66,145) | ||||||||
Genus PLC | 1,750 | 92,824 | ||||||
|
| |||||||
United States — 2.7% | ||||||||
Applied Materials, Inc. | 1,300 | 76,999 |
See accompanying Notes to Financial Statements.
13
Table of Contents
TCW Developing Markets Equity Fund
Schedule of Investments (Continued)
Issues | Shares | Value | ||||||
United States (Continued) | ||||||||
MSCI, Inc. | 250 | $ | 87,460 | |||||
|
| |||||||
Total United States |
| |||||||
(Cost: $96,497) |
| 164,459 | ||||||
|
| |||||||
Total Common Stock |
| |||||||
(Cost: $4,338,580) |
| 6,096,263 | ||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 2.2% | ||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (2) | 132,258 | 132,258 | ||||||
|
| |||||||
Total Money Market Investments |
| |||||||
(Cost: $132,258) |
| 132,258 | ||||||
|
| |||||||
Total Investments (100.9%) | ||||||||
(Cost: $4,470,838) |
| 6,228,521 | ||||||
|
| |||||||
Liabilities In Excess Of Other Assets (-0.9%) |
| (53,661 | ) | |||||
|
| |||||||
Total Net Assets (100.0%) |
| $ | 6,174,860 | |||||
|
|
Notes to the Schedule of Investments:
ADR | American Depositary Receipt. ADRs are receipts typically issued by a U.S. bank or trust company, evidencing ownership of underlying securities issued by a foreign corporation. |
GDR | Global Depositary Receipt. A negotiable certificate held in the bank of one country representing a specific number of shares of a stock traded on an exchange of another country. |
SP ADR | Sponsored American Depositary Receipt. ADRs are receipts, typically issued by a U.S. bank or trust company, evidencing ownership of underlying securities issued by a foreign corporation. Sponsored ADRs are ADRs issued with the cooperation of the foreign corporation. |
(1) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of October 31, 2020. |
See accompanying Notes to Financial Statements.
14
Table of Contents
TCW Developing Markets Equity Fund
Investments by Sector | October 31, 2020 |
Sector | Percentage of Net Assets | |||
Air Freight & Logistics | 1.4 | % | ||
Banks | 1.6 | |||
Biotechnology | 2.1 | |||
Capital Markets | 1.4 | |||
Construction & Engineering | 0.7 | |||
Consumer Finance | 2.5 | |||
Diversified Consumer Services | 2.6 | |||
Diversified Financial Services | 1.8 | |||
Electrical Equipment | 0.8 | |||
Electronic Equipment, Instruments & Components | 0.8 | |||
Entertainment | 2.3 | |||
Food & Staples Retailing | 6.6 | |||
Health Care Equipment & Supplies | 1.0 | |||
Health Care Providers & Services | 0.9 | |||
Hotels, Restaurants & Leisure | 1.9 | |||
IT Services | 3.5 | |||
Interactive Media & Services | 15.4 | |||
Internet & Direct Marketing Retail | 14.7 | |||
Life Sciences Tools & Services | 8.0 | |||
Media | 0.7 | |||
Multiline Retail | 1.4 | |||
Oil, Gas & Consumable Fuels | 2.5 | |||
Personal Products | 1.3 | |||
Pharmaceuticals | 2.3 | |||
Real Estate | 0.2 | |||
Real Estate Management & Development | 1.3 | |||
Road & Rail | 2.2 | |||
Semiconductors & Semiconductor Equipment | 12.0 | |||
Specialty Retail | 1.4 | |||
Technology Hardware, Storage & Peripherals | 1.4 | |||
Textiles, Apparel & Luxury Goods | 1.6 | |||
Wireless Telecommunication Services | 0.4 | |||
Money Market Investments | 2.2 | |||
|
| |||
Total | 100.9 | % | ||
|
|
See accompanying Notes to Financial Statements.
15
Table of Contents
TCW Developing Markets Equity Fund
Fair Valuation Summary | October 31, 2020 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 2020 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 | ||||||||||||||||
Air Freight & Logistics | $ | — | $ | 89,185 | $ | — | $ | 89,185 | ||||||||
Banks | — | 96,419 | — | 96,419 | ||||||||||||
Biotechnology | — | 129,888 | — | 129,888 | ||||||||||||
Capital Markets | 87,460 | — | — | 87,460 | ||||||||||||
Construction & Engineering | — | 45,893 | — | 45,893 | ||||||||||||
Consumer Finance | — | 153,834 | — | 153,834 | ||||||||||||
Diversified Consumer Services | 96,228 | 59,880 | — | 156,108 | ||||||||||||
Diversified Financial Services | — | 110,566 | — | 110,566 | ||||||||||||
Electrical Equipment | — | 47,582 | — | 47,582 | ||||||||||||
Electronic Equipment, Instruments & Components | — | 47,404 | — | 47,404 | ||||||||||||
Entertainment | 63,080 | 82,450 | — | 145,530 | ||||||||||||
Food & Staples Retailing | 227,077 | 176,785 | — | 403,862 | ||||||||||||
Health Care Equipment & Supplies | — | 63,675 | — | 63,675 | ||||||||||||
Health Care Providers & Services | 58,155 | — | — | 58,155 | ||||||||||||
Hotels, Restaurants & Leisure | — | 118,918 | — | 118,918 | ||||||||||||
IT Services | 217,484 | — | — | 217,484 | ||||||||||||
Interactive Media & Services | 261,139 | 682,564 | — | 943,703 | ||||||||||||
Internet & Direct Marketing Retail | 765,406 | 145,345 | — | 910,751 | ||||||||||||
Life Sciences Tools & Services | — | 496,220 | — | 496,220 | ||||||||||||
Media | — | 46,181 | — | 46,181 | ||||||||||||
Multiline Retail | 85,432 | — | — | 85,432 | ||||||||||||
Oil, Gas & Consumable Fuels | — | 155,644 | — | 155,644 | ||||||||||||
Personal Products | — | 78,615 | — | 78,615 | ||||||||||||
Pharmaceuticals | 66,868 | 73,993 | — | 140,861 | ||||||||||||
Real Estate Management & Development | — | 82,147 | — | 82,147 | ||||||||||||
Real Estate | 10,388 | — | — | 10,388 | ||||||||||||
Road & Rail | 138,914 | — | — | 138,914 | ||||||||||||
Semiconductors & Semiconductor Equipment | 76,999 | 659,929 | — | 736,928 | ||||||||||||
Specialty Retail | 47,715 | 35,640 | — | 83,355 | ||||||||||||
Technology Hardware, Storage & Peripherals | — | 89,223 | — | 89,223 | ||||||||||||
Textiles, Apparel & Luxury Goods | — | 97,782 | — | 97,782 | ||||||||||||
Wireless Telecommunication Services | 28,156 | — | — | 28,156 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 2,230,501 | 3,865,762 | — | 6,096,263 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 132,258 | — | — | 132,258 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 2,362,759 | $ | 3,865,762 | $ | — | $ | 6,228,521 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
16
Table of Contents
TCW Emerging Markets Income Fund
Schedule of Investments | October 31, 2020 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 97.7% of Net Assets |
| |||||||||||
Angola — 1.3% | ||||||||||||
Angolan Government International Bond |
| |||||||||||
8.25% (1) | 05/09/28 | $ | 57,179,000 | $ | 45,144,250 | |||||||
9.13% (1) | 11/26/49 | 26,255,000 | 20,117,894 | |||||||||
9.38% (1) | 05/08/48 | 24,145,000 | 18,571,054 | |||||||||
|
| |||||||||||
Total Angola |
| |||||||||||
(Cost: $105,342,824) |
| 83,833,198 | ||||||||||
|
| |||||||||||
Argentina — 1.3% | ||||||||||||
Argentine Republic Government International Bond |
| |||||||||||
0.13% | 07/09/30 | 86,066,367 | 31,586,357 | |||||||||
0.13% | 07/09/35 | 157,680,077 | 51,876,745 | |||||||||
1.00% | 07/09/29 | 10,729,397 | 4,425,876 | |||||||||
|
| |||||||||||
Total Argentina |
| |||||||||||
(Cost: $124,385,388) |
| 87,888,978 | ||||||||||
|
| |||||||||||
Bahrain — 3.0% | ||||||||||||
Bahrain Government International Bond |
| |||||||||||
5.63% (1) | 09/30/31 | 64,273,000 | 63,821,081 | |||||||||
6.00% (2) | 09/19/44 | 33,485,000 | 31,388,076 | |||||||||
6.75% (2) | 09/20/29 | 31,190,000 | 33,880,138 | |||||||||
7.50% (2) | 09/20/47 | 25,515,000 | 27,057,860 | |||||||||
CBB International Sukuk Programme Co. SPC |
| |||||||||||
6.25% (1) | 11/14/24 | 9,540,000 | 10,315,125 | |||||||||
Oil and Gas Holding Co. BSCC (The) |
| |||||||||||
7.50% (2) | 10/25/27 | 27,875,000 | 29,495,234 | |||||||||
|
| |||||||||||
Total Bahrain |
| |||||||||||
(Cost: $195,795,085) |
| 195,957,514 | ||||||||||
|
| |||||||||||
Brazil — 6.7% | ||||||||||||
Andrade Gutierrez International S.A. |
| |||||||||||
9.50% (1) | 12/30/24 | 23,076,000 | 13,845,600 | |||||||||
Banco do Brasil S.A. |
| |||||||||||
6.25% (10-year U.S. Treasury Constant Maturity Rate + 4.398%) (2)(3)(4) | 04/15/24 | 52,267,000 | 50,275,627 | |||||||||
Brazilian Government International Bond |
| |||||||||||
3.88% | 06/12/30 | 116,470,000 | 118,193,756 | |||||||||
CSN Islands XII Corp. |
| |||||||||||
7.00% (2)(4) | 12/23/20 | 20,188,000 | 18,118,730 | |||||||||
Globo Comunicacao e Participacoes S.A. |
| |||||||||||
4.88% (1) | 01/22/30 | 29,190,000 | 29,023,617 | |||||||||
Klabin Austria GmbH |
| |||||||||||
7.00% (1) | 04/03/49 | 31,225,000 | 35,835,566 | |||||||||
MV24 Capital B.V. |
| |||||||||||
6.75% (1) | 06/01/34 | 26,611,571 | 26,902,635 | |||||||||
Petrobras Global Finance B.V. |
| |||||||||||
6.85% | 06/05/15 | 91,763,000 | 98,700,283 | |||||||||
5.60% | 01/03/31 | 36,635,000 | 39,574,043 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Brazil (Continued) | ||||||||||||
Usiminas International S.A.R.L. |
| |||||||||||
5.88% (1) | 07/18/26 | $ | 13,178,000 | $ | 13,738,065 | |||||||
|
| |||||||||||
Total Brazil |
| |||||||||||
(Cost: $443,393,448) |
| 444,207,922 | ||||||||||
|
| |||||||||||
Chile — 2.5% | ||||||||||||
AES Gener S.A. |
| |||||||||||
7.13% (USD 5-Year Swap rate + 4.644%) (1)(3) | 03/26/79 | 28,054,000 | 29,110,862 | |||||||||
Chile Government International Bond |
| |||||||||||
2.45% | 01/31/31 | 56,230,000 | 58,574,791 | |||||||||
2.55% | 01/27/32 | 54,410,000 | 56,790,437 | |||||||||
Empresa de los Ferrocarriles del Estado |
| |||||||||||
3.07% (1) | 08/18/50 | 25,705,000 | 24,136,995 | |||||||||
|
| |||||||||||
Total Chile |
| |||||||||||
(Cost: $169,314,854) |
| 168,613,085 | ||||||||||
|
| |||||||||||
China — 4.1% | ||||||||||||
AIA Group, Ltd. |
| |||||||||||
3.20% (1) | 09/16/40 | 29,435,000 | 30,167,915 | |||||||||
China Evergrande Group |
| |||||||||||
8.25% (2) | 03/23/22 | 37,246,000 | 31,379,755 | |||||||||
Easy Tactic Ltd. |
| |||||||||||
5.75% (2) | 01/13/22 | 10,175,000 | 9,425,102 | |||||||||
8.13% (2) | 02/27/23 | 22,920,000 | 20,100,840 | |||||||||
Fantasia Holdings Group Co. Ltd. |
| |||||||||||
10.88% (2) | 01/09/23 | 5,500,000 | 5,658,400 | |||||||||
12.25% (2) | 10/18/22 | 900,000 | 950,580 | |||||||||
Kaisa Group Holdings, Ltd. |
| |||||||||||
8.50% (2) | 06/30/22 | 33,660,000 | 32,828,598 | |||||||||
Meituan |
| |||||||||||
3.05% (1) | 10/28/30 | 22,845,000 | 22,979,329 | |||||||||
New Metro Global Ltd. |
| |||||||||||
6.80% (2) | 08/05/23 | 5,656,000 | 5,856,788 | |||||||||
Ronshine China Holdings, Ltd. |
| |||||||||||
8.75% (2) | 10/25/22 | 17,571,000 | 18,053,578 | |||||||||
Sunac China Holdings, Ltd. |
| |||||||||||
7.88% (2) | 02/15/22 | 10,580,000 | 10,765,061 | |||||||||
Tencent Holdings, Ltd. |
| |||||||||||
2.39% (1) | 06/03/30 | 45,585,000 | 46,306,155 | |||||||||
3.24% (1) | 06/03/50 | 29,396,000 | 29,678,936 | |||||||||
Yuzhou Properties Co. Ltd. |
| |||||||||||
6.00% (2) | 10/25/23 | 9,475,000 | 9,396,628 | |||||||||
|
| |||||||||||
Total China |
| |||||||||||
(Cost: $272,968,073) |
| 273,547,665 | ||||||||||
|
| |||||||||||
Colombia — 2.7% | ||||||||||||
Bancolombia S.A. |
| |||||||||||
4.63% (5-year U.S. Treasury Constant Maturity Rate + 2.944%) (3) | 12/18/29 | 35,212,000 | 34,271,179 |
See accompanying Notes to Financial Statements.
17
Table of Contents
TCW Emerging Markets Income Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Colombia (Continued) | ||||||||||||
Colombia Government International Bond |
| |||||||||||
3.00% | 01/30/30 | $ | 12,525,000 | $ | 12,841,883 | |||||||
Ecopetrol S.A. |
| |||||||||||
5.88% | 05/28/45 | 33,163,000 | 36,150,986 | |||||||||
6.88% | 04/29/30 | 22,253,000 | 26,784,823 | |||||||||
Empresas Publicas de Medellin ESP |
| |||||||||||
4.38% (1) | 02/15/31 | 21,910,000 | 22,430,582 | |||||||||
Geopark, Ltd. |
| |||||||||||
5.50% (1) | 01/17/27 | 12,250,000 | 10,810,748 | |||||||||
Grupo Aval, Ltd. |
| |||||||||||
4.38% (1) | 02/04/30 | 24,875,000 | 24,253,125 | |||||||||
Millicom International Cellular S.A. |
| |||||||||||
6.25% (1) | 03/25/29 | 10,642,000 | 11,789,367 | |||||||||
|
| |||||||||||
Total Colombia |
| |||||||||||
(Cost: $169,306,203) |
| 179,332,693 | ||||||||||
|
| |||||||||||
Costa Rica — 1.0% | ||||||||||||
Costa Rica Government International Bond |
| |||||||||||
4.25% (2) | 01/26/23 | 19,891,000 | 18,150,736 | |||||||||
4.38% (2) | 04/30/25 | 11,797,000 | 10,040,427 | |||||||||
6.13% (1) | 02/19/31 | 30,420,000 | 25,507,170 | |||||||||
7.00% (2) | 04/04/44 | 15,549,000 | 12,208,395 | |||||||||
|
| |||||||||||
Total Costa Rica |
| |||||||||||
(Cost: $75,364,244) |
| 65,906,728 | ||||||||||
|
| |||||||||||
Dominican Republic — 3.6% | ||||||||||||
Dominican Republic International Bond |
| |||||||||||
4.50% (1) | 01/30/30 | 38,745,000 | 39,259,582 | |||||||||
4.88% (1) | 09/23/32 | 35,365,000 | 36,171,764 | |||||||||
5.88% (1) | 01/30/60 | 59,030,000 | 56,763,248 | |||||||||
5.95% (1) | 01/25/27 | 40,986,000 | 44,886,074 | |||||||||
6.40% (1) | 06/05/49 | 62,413,000 | 63,807,541 | |||||||||
|
| |||||||||||
Total Dominican Republic |
| |||||||||||
(Cost: $226,499,155) |
| 240,888,209 | ||||||||||
|
| |||||||||||
Ecuador — 1.5% | ||||||||||||
Ecuador Government International Bond |
| |||||||||||
0.00% (1)(5) | 07/31/30 | 8,119,397 | 3,696,863 | |||||||||
0.50% (1) | 07/31/30 | 38,373,465 | 25,518,354 | |||||||||
0.50% (1) | 07/31/35 | 90,221,829 | 50,073,115 | |||||||||
0.50% (1) | 07/31/40 | 34,944,995 | 17,472,847 | |||||||||
|
| |||||||||||
Total Ecuador |
| |||||||||||
(Cost: $107,204,792) |
| 96,761,179 | ||||||||||
|
| |||||||||||
Egypt — 3.9% | ||||||||||||
Egypt Government International Bond |
| |||||||||||
5.75% (1) | 05/29/24 | 31,433,000 | 32,263,271 | |||||||||
6.59% (2) | 02/21/28 | 35,825,000 | 36,216,836 | |||||||||
7.05% (1) | 01/15/32 | 59,785,000 | 58,729,421 | |||||||||
7.63% (1) | 05/29/32 | 51,669,000 | 52,516,695 | |||||||||
8.50% (2) | 01/31/47 | 38,414,000 | 38,335,972 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Egypt (Continued) | ||||||||||||
8.70% (1) | 03/01/49 | $ | 40,622,000 | $ | 41,046,337 | |||||||
|
| |||||||||||
Total Egypt |
| |||||||||||
(Cost: $257,037,909) |
| 259,108,532 | ||||||||||
|
| |||||||||||
El Salvador — 0.3% (Cost: $19,849,778) | ||||||||||||
El Salvador Government International Bond |
| |||||||||||
5.88% (2) | 01/30/25 | 22,666,000 | 18,851,312 | |||||||||
|
| |||||||||||
Ghana — 2.3% | ||||||||||||
Ghana Government International Bond |
| |||||||||||
7.88% (1) | 02/11/35 | 16,125,000 | 14,356,088 | |||||||||
8.13% (2) | 01/18/26 | 62,525,000 | 62,937,665 | |||||||||
8.13% (1) | 03/26/32 | 28,490,000 | 26,283,848 | |||||||||
8.95% (1) | 03/26/51 | 53,525,000 | 48,222,680 | |||||||||
|
| |||||||||||
Total Ghana |
| |||||||||||
(Cost: $159,779,847) |
| 151,800,281 | ||||||||||
|
| |||||||||||
Guatemala — 0.5% | ||||||||||||
Guatemala Government Bond |
| |||||||||||
5.38% (1) | 04/24/32 | 11,490,000 | 13,591,521 | |||||||||
6.13% (1) | 06/01/50 | 13,360,000 | 16,559,854 | |||||||||
|
| |||||||||||
Total Guatemala |
| |||||||||||
(Cost: $24,848,931) |
| 30,151,375 | ||||||||||
|
| |||||||||||
India — 1.0% | ||||||||||||
Adani Ports & Special Economic Zone, Ltd. |
| |||||||||||
4.20% (1) | 08/04/27 | 24,020,000 | 24,332,260 | |||||||||
4.38% (1) | 07/03/29 | 17,685,000 | 17,897,493 | |||||||||
Network i2i, Ltd. |
| |||||||||||
5.65% (5-year U.S. Treasury Constant Maturity Rate + 4.274%) (2)(3)(4) | 01/15/25 | 23,435,000 | 23,565,357 | |||||||||
|
| |||||||||||
Total India |
| |||||||||||
(Cost: $65,846,546) |
| 65,795,110 | ||||||||||
|
| |||||||||||
Indonesia — 6.4% | ||||||||||||
Freeport-McMoRan, Inc. |
| |||||||||||
4.63% | 08/01/30 | 17,310,000 | 18,509,150 | |||||||||
5.40% | 11/14/34 | 17,150,000 | 19,668,906 | |||||||||
Indonesia Asahan Aluminium Persero PT |
| |||||||||||
4.75% (1) | 05/15/25 | 13,190,000 | 14,368,856 | |||||||||
5.45% (1) | 05/15/30 | 16,550,000 | 18,883,111 | |||||||||
5.80% (1) | 05/15/50 | 9,300,000 | 10,846,297 | |||||||||
6.53% (1) | 11/15/28 | 29,163,000 | 35,405,705 | |||||||||
6.76% (1) | 11/15/48 | 48,162,000 | 61,609,733 | |||||||||
Indonesia Government International Bond |
| |||||||||||
3.85% | 10/15/30 | 30,800,000 | 35,164,360 | |||||||||
4.20% | 10/15/50 | 28,125,000 | 32,526,563 | |||||||||
Minejesa Capital B.V. |
| |||||||||||
5.63% (1) | 08/10/37 | 42,325,000 | 43,865,630 |
See accompanying Notes to Financial Statements.
18
Table of Contents
TCW Emerging Markets Income Fund
October 31, 2020 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Indonesia (Continued) | ||||||||||||
Pertamina Persero PT |
| |||||||||||
4.15% (1) | 02/25/60 | $ | 33,620,000 | $ | 33,071,994 | |||||||
Perusahaan Penerbit SBSN Indonesia III |
| |||||||||||
3.80% (1) | 06/23/50 | 50,913,000 | 54,298,715 | |||||||||
4.15% (2) | 03/29/27 | 43,105,000 | 48,467,262 | |||||||||
|
| |||||||||||
Total Indonesia |
| |||||||||||
(Cost: $380,494,785) |
| 426,686,282 | ||||||||||
|
| |||||||||||
Iraq — 0.9% (Cost: $60,136,397) | ||||||||||||
Iraq International Bond |
| |||||||||||
5.80% (2) | 01/15/28 | 68,569,688 | 59,316,071 | |||||||||
|
| |||||||||||
Israel — 2.5% | ||||||||||||
Leviathan Bond Ltd. |
| |||||||||||
5.75% (1) | 06/30/23 | 17,420,000 | 17,839,169 | |||||||||
6.13% (1) | 06/30/25 | 21,295,700 | 22,108,131 | |||||||||
6.50% (1) | 06/30/27 | 28,042,000 | 28,971,592 | |||||||||
6.75% (1) | 06/30/30 | 15,060,240 | 15,503,011 | |||||||||
State of Israel |
| |||||||||||
3.38% | 01/15/50 | 77,251,000 | 83,577,084 | |||||||||
|
| |||||||||||
Total Israel |
| |||||||||||
(Cost: $166,088,378) |
| 167,998,987 | ||||||||||
|
| |||||||||||
Ivory Coast — 0.6% (Cost: $38,870,695) | ||||||||||||
Ivory Coast Government International Bond |
| |||||||||||
6.88% (1) | 10/17/40 | EUR 34,795,000 | 39,582,514 | |||||||||
|
| |||||||||||
Kazakhstan — 2.5% | ||||||||||||
KazMunayGas National Co. JSC |
| |||||||||||
3.50% (1) | 04/14/33 | $ | 64,439,000 | 66,575,282 | ||||||||
5.38% (1) | 04/24/30 | 48,201,000 | 57,669,122 | |||||||||
5.75% (2) | 04/19/47 | 33,960,000 | 42,371,468 | |||||||||
|
| |||||||||||
Total Kazakhstan |
| |||||||||||
(Cost: $152,160,277) |
| 166,615,872 | ||||||||||
|
| |||||||||||
Kenya — 1.7% | ||||||||||||
Kenya Government International Bond |
| |||||||||||
7.00% (2) | 05/22/27 | 63,355,000 | 66,044,103 | |||||||||
8.00% (1) | 05/22/32 | 27,177,000 | 28,625,534 | |||||||||
8.25% (2) | 02/28/48 | 14,525,000 | 14,869,969 | |||||||||
|
| |||||||||||
Total Kenya |
| |||||||||||
(Cost: $105,893,895) |
| 109,539,606 | ||||||||||
|
| |||||||||||
Kuwait — 0.6% | ||||||||||||
MEGlobal Canada ULC |
| |||||||||||
5.00% (1) | 05/18/25 | 20,500,000 | 22,370,625 | |||||||||
5.88% (1) | 05/18/30 | 14,075,000 | 16,803,945 | |||||||||
|
| |||||||||||
Total Kuwait |
| |||||||||||
(Cost: $35,274,703) |
| 39,174,570 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Lebanon — 0.3% (Cost: $38,908,368) | ||||||||||||
Lebanon Government International Bond |
| |||||||||||
8.25% (6) | 05/17/34 | $ | 139,956,000 | $ | 19,943,730 | |||||||
|
| |||||||||||
Malaysia — 0.6% | ||||||||||||
Petronas Capital, Ltd. |
| |||||||||||
3.50% (1) | 04/21/30 | 21,525,000 | 24,052,035 | |||||||||
4.55% (1) | 04/21/50 | 10,415,000 | 13,153,560 | |||||||||
|
| |||||||||||
Total Malaysia |
| |||||||||||
(Cost: $31,667,924) |
| 37,205,595 | ||||||||||
|
| |||||||||||
Mexico — 5.0% | ||||||||||||
Banco Mercantil del Norte S.A. |
| |||||||||||
6.88% (5-year U.S. Treasury Constant Maturity Rate + 5.035%) (1)(3)(4) | 07/06/22 | 14,020,000 | 14,050,669 | |||||||||
Banco Mercantil del Norte S.A. |
| |||||||||||
7.50% (10-year U.S. Treasury Constant Maturity Rate + 5.470%) (1)(3)(4) | 06/27/29 | 21,424,000 | 21,376,867 | |||||||||
Cemex SAB de CV |
| |||||||||||
5.20% (1) | 09/17/30 | 20,180,000 | 21,343,175 | |||||||||
7.38% (1) | 06/05/27 | 26,550,000 | 29,348,370 | |||||||||
Industrias Penoles SAB de CV |
| |||||||||||
4.75% (1) | 08/06/50 | 9,835,000 | 10,352,370 | |||||||||
Infraestructura Energetica Nova SAB de CV |
| |||||||||||
4.75% (1) | 01/15/51 | 37,102,000 | 34,950,084 | |||||||||
Petroleos Mexicanos |
| |||||||||||
5.35% | 02/12/28 | 36,799,000 | 31,571,334 | |||||||||
5.95% | 01/28/31 | 86,685,000 | 72,772,058 | |||||||||
6.49% | 01/23/27 | 19,520,000 | 18,208,256 | |||||||||
6.50% | 03/13/27 | 18,475,000 | 17,183,782 | |||||||||
6.63% | 06/15/35 | 26,476,000 | 21,986,597 | |||||||||
6.88% | 08/04/26 | 10,772,000 | 10,366,973 | |||||||||
7.69% | 01/23/50 | 29,648,000 | 24,717,538 | |||||||||
|
| |||||||||||
Total Mexico |
| |||||||||||
(Cost: $321,863,682) |
| 328,228,073 | ||||||||||
|
| |||||||||||
Mongolia — 0.1% (Cost: $8,282,656) | ||||||||||||
Development Bank of Mongolia LLC |
| |||||||||||
7.25% (1) | 10/23/23 | 8,475,000 | 8,972,906 | |||||||||
|
| |||||||||||
Netherlands — 0.5% (Cost: $30,461,781) | ||||||||||||
Prosus NV |
| |||||||||||
4.03% (1) | 08/03/50 | 29,700,000 | 31,003,830 | |||||||||
|
| |||||||||||
Nigeria — 2.7% | ||||||||||||
IHS Netherlands Holdco BV |
| |||||||||||
7.13% (1) | 03/18/25 | 11,975,000 | 12,154,625 | |||||||||
8.00% (2) | 09/18/27 | 14,700,000 | 15,097,359 |
See accompanying Notes to Financial Statements.
19
Table of Contents
TCW Emerging Markets Income Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Nigeria (Continued) | ||||||||||||
Nigeria Government International Bond |
| |||||||||||
7.14% (1) | 02/23/30 | $ | 33,930,000 | $ | 32,844,240 | |||||||
7.63% (2) | 11/28/47 | 37,900,000 | 34,686,080 | |||||||||
7.70% (1) | 02/23/38 | 58,985,000 | 54,579,558 | |||||||||
7.88% (2) | 02/16/32 | 27,986,000 | 27,249,073 | |||||||||
|
| |||||||||||
Total Nigeria |
| |||||||||||
(Cost: $180,402,328) |
| 176,610,935 | ||||||||||
|
| |||||||||||
Oman — 1.9% | ||||||||||||
Oman Government International Bond |
| |||||||||||
5.38% (2) | 03/08/27 | 35,050,000 | 32,228,685 | |||||||||
5.63% (2) | 01/17/28 | 81,880,000 | 75,017,637 | |||||||||
6.50% (2) | 03/08/47 | 26,880,000 | 21,826,345 | |||||||||
|
| |||||||||||
Total Oman |
| |||||||||||
(Cost: $134,930,244) |
| 129,072,667 | ||||||||||
|
| |||||||||||
Pakistan — 0.9% (Cost: $60,567,515) | ||||||||||||
Pakistan Government International Bond |
| |||||||||||
6.88% (2) | 12/05/27 | 58,688,000 | 57,593,351 | |||||||||
|
| |||||||||||
Panama — 4.4% | ||||||||||||
Aeropuerto Internacional de Tocumen S. A. |
| |||||||||||
6.00% (1) | 11/18/48 | 6,927,242 | 7,746,077 | |||||||||
AES Panama Generation Holdings SRL |
| |||||||||||
4.38% (1) | 05/31/30 | 29,160,000 | 30,900,852 | |||||||||
C&W Senior Financing DAC |
| |||||||||||
6.88% (1) | 09/15/27 | 31,884,000 | 33,733,272 | |||||||||
Global Bank Corp. |
| |||||||||||
5.25% (3 mo. USD LIBOR + 3.300%) (1)(3) | 04/16/29 | 36,645,000 | 39,056,241 | |||||||||
Panama Government International Bond |
| |||||||||||
2.25% | 09/29/32 | 58,293,000 | 59,412,225 | |||||||||
3.16% | 01/23/30 | 66,183,000 | 72,404,202 | |||||||||
3.87% | 07/23/60 | 40,325,000 | 45,567,250 | |||||||||
|
| |||||||||||
Total Panama |
| |||||||||||
(Cost: $274,435,553) |
| 288,820,119 | ||||||||||
|
| |||||||||||
Paraguay — 0.7% |
| |||||||||||
Paraguay Government International Bond |
| |||||||||||
5.40% (1) | 03/30/50 | 18,830,000 | 22,963,185 | |||||||||
5.60% (2) | 03/13/48 | 19,042,000 | 23,516,870 | |||||||||
|
| |||||||||||
Total Paraguay |
| |||||||||||
(Cost: $36,787,023) |
| 46,480,055 | ||||||||||
|
| |||||||||||
Peru — 2.5% | ||||||||||||
Banco de Credito del Peru |
| |||||||||||
3.13% (U.S. 5-year Treasury Constant Maturity Rate + 3.000%) (1)(3) | 07/01/30 | 17,840,000 | 18,141,496 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Peru (Continued) | ||||||||||||
Nexa Resources S.A. |
| |||||||||||
5.38% (2) | 05/04/27 | $ | 14,488,000 | $ | 15,276,147 | |||||||
6.50% (1) | 01/18/28 | 17,025,000 | 18,993,516 | |||||||||
Peruvian Government International Bond |
| |||||||||||
2.78% | 01/23/31 | 104,860,000 | 113,605,324 | |||||||||
|
| |||||||||||
Total Peru |
| |||||||||||
(Cost: $160,599,679) |
| 166,016,483 | ||||||||||
|
| |||||||||||
Qatar — 3.3% | ||||||||||||
Qatar Government International Bond |
| |||||||||||
3.25% (2) | 06/02/26 | 40,370,000 | 44,643,165 | |||||||||
3.75% (1) | 04/16/30 | 99,825,000 | 116,233,734 | |||||||||
4.40% (1) | 04/16/50 | 47,399,000 | 60,509,563 | |||||||||
|
| |||||||||||
Total Qatar |
| |||||||||||
(Cost: $201,566,913) |
| 221,386,462 | ||||||||||
|
| |||||||||||
Romania — 2.1% | ||||||||||||
Romanian Government International Bond |
| |||||||||||
3.00% (1) | 02/14/31 | 58,782,000 | 61,032,410 | |||||||||
4.00% (1) | 02/14/51 | 78,386,000 | 80,199,774 | |||||||||
|
| |||||||||||
Total Romania |
| |||||||||||
(Cost: $139,437,010) |
| 141,232,184 | ||||||||||
|
| |||||||||||
Saudi Arabia — 4.2% |
| |||||||||||
Saudi Government International Bond |
| |||||||||||
2.50% (2) | 02/03/27 | 105,775,000 | 111,053,172 | |||||||||
2.75% (1) | 02/03/32 | 97,790,000 | 102,410,578 | |||||||||
3.75% (1) | 01/21/55 | 60,467,000 | 64,775,999 | |||||||||
|
| |||||||||||
Total Saudi Arabia |
| |||||||||||
(Cost: $270,274,059) |
| 278,239,749 | ||||||||||
|
| |||||||||||
Senegal — 0.7% (Cost: $46,809,726) | ||||||||||||
Senegal Government International Bond |
| |||||||||||
4.75% (2) | 03/13/28 | EUR 40,170,000 | 46,384,914 | |||||||||
|
| |||||||||||
South Africa — 2.7% | ||||||||||||
Eskom Holdings SOC, Ltd. |
| |||||||||||
6.75% (2) | 08/06/23 | $ | 44,396,000 | 42,243,549 | ||||||||
7.13% (2) | 02/11/25 | 60,565,000 | 56,987,879 | |||||||||
South Africa Government Bond |
| |||||||||||
4.30% | 10/12/28 | 62,705,000 | 61,058,994 | |||||||||
5.75% | 09/30/49 | 23,752,000 | 21,506,694 | |||||||||
|
| |||||||||||
Total South Africa |
| |||||||||||
(Cost: $185,878,541) |
| 181,797,116 | ||||||||||
|
| |||||||||||
Sri Lanka — 0.4% | ||||||||||||
Sri Lanka Government Bond |
| |||||||||||
5.75% (1) | 04/18/23 | 10,000,000 | 5,850,000 | |||||||||
6.75% (2) | 04/18/28 | 25,953,000 | 14,188,992 | |||||||||
7.55% (1) | 03/28/30 | 10,630,000 | 5,856,465 | |||||||||
|
| |||||||||||
Total Sri Lanka |
| |||||||||||
(Cost: $41,639,020) |
| 25,895,457 | ||||||||||
|
|
See accompanying Notes to Financial Statements.
20
Table of Contents
TCW Emerging Markets Income Fund
October 31, 2020 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Tanzania — 0.2% (Cost: $11,684,083) | ||||||||||||
HTA Group Ltd. |
| |||||||||||
7.00% (1) | 12/18/25 | $ | 11,750,000 | $ | 12,331,625 | |||||||
|
| |||||||||||
Thailand — 0.6% (Cost: $42,233,765) | ||||||||||||
Bangkok Bank PCL/Hong Kong |
| |||||||||||
5.00% (U.S. 5-year Treasury Constant Maturity Rate + 4.729%) (1)(3)(4) | 09/23/25 | 42,185,000 | 42,243,198 | |||||||||
|
| |||||||||||
Turkey — 2.3% | ||||||||||||
Turkey Government International Bond |
| |||||||||||
4.88% | 10/09/26 | 72,440,000 | 65,614,794 | |||||||||
5.13% | 02/17/28 | 42,400,000 | 37,802,250 | |||||||||
5.25% | 03/13/30 | 55,229,000 | 48,256,339 | |||||||||
|
| |||||||||||
Total Turkey |
| |||||||||||
(Cost: $155,578,778) |
| 151,673,383 | ||||||||||
|
| |||||||||||
Ukraine — 3.5% | ||||||||||||
Metinvest B.V. |
| |||||||||||
7.75% (1) | 10/17/29 | 21,330,000 | 20,501,330 | |||||||||
Ukraine Government International Bond |
| |||||||||||
0.00% (2)(5)(7) | 05/31/40 | 72,855,000 | 63,349,699 | |||||||||
7.75% (2) | 09/01/22 | 29,205,000 | 30,505,207 | |||||||||
7.75% (2) | 09/01/26 | 49,290,000 | 50,039,208 | |||||||||
7.75% (2) | 09/01/27 | 68,981,000 | 69,681,588 | |||||||||
|
| |||||||||||
Total Ukraine |
| |||||||||||
(Cost: $227,359,589) |
| 234,077,032 | ||||||||||
|
| |||||||||||
United Arab Emirates — 5.0% | ||||||||||||
Abu Dhabi Government International Bond |
| |||||||||||
1.70% (2) | 03/02/31 | 84,938,000 | 84,046,151 | |||||||||
2.50% (1) | 09/30/29 | 42,250,000 | 45,034,275 | |||||||||
3.13% (1) | 09/30/49 | 60,100,000 | 63,527,578 | |||||||||
3.13% (1) | 04/16/30 | 25,615,000 | 28,569,306 | |||||||||
DP World PLC |
| |||||||||||
4.70% (1) | 09/30/49 | 13,208,000 | 13,519,048 | |||||||||
DP World Salaam |
| |||||||||||
6.00% (U.S. 5-year Treasury Constant Maturity Rate + 5.750%) (2)(3)(4) | 10/01/25 | 44,993,000 | 47,278,644 | |||||||||
Galaxy Pipeline Assets Bidco, Ltd. |
| |||||||||||
1.75% (1)(8) | 09/30/27 | 23,145,000 | 23,098,678 | |||||||||
2.63% (1)(8) | 03/31/36 | 23,795,000 | 23,778,344 | |||||||||
|
| |||||||||||
Total United Arab Emirates |
| |||||||||||
(Cost: $319,436,581) |
| 328,852,024 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Uruguay — 1.5% |
| |||||||||||
Uruguay Government International Bond |
| |||||||||||
4.38% | 01/23/31 | $ | 24,170,000 | $ | 29,264,583 | |||||||
4.98% | 04/20/55 | 53,070,000 | 70,657,398 | |||||||||
|
| |||||||||||
Total Uruguay |
| |||||||||||
(Cost: $78,601,731) |
| 99,921,981 | ||||||||||
|
| |||||||||||
Venezuela — 0.2% | ||||||||||||
Venezuela Government International Bond |
| |||||||||||
8.25% (6)(9) | 10/13/24 | 60,057,200 | 5,555,291 | |||||||||
9.25% (6)(9) | 09/15/27 | 60,955,000 | 5,638,338 | |||||||||
9.25% (6)(9) | 05/07/28 | 49,048,000 | 4,536,940 | |||||||||
|
| |||||||||||
Total Venezuela |
| |||||||||||
(Cost: $55,533,009) |
| 15,730,569 | ||||||||||
|
| |||||||||||
Vietnam — 0.5% (Cost: $32,271,875) | ||||||||||||
Mong Duong Finance Holdings B.V. |
| |||||||||||
5.13% (1) | 05/07/29 | 32,430,000 | 33,185,011 | |||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $6,443,067,640) |
| 6,474,456,132 | ||||||||||
|
| |||||||||||
PURCHASED OPTIONS (10) (0.0%) |
| |||||||||||
(Cost: $605,326) |
| 721,766 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
SHORT TERM INVESTMENTS — 3.6% |
| |||||||||||
MONEY MARKET INVESTMENTS (3.6% ) | ||||||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (11) |
| 240,927,181 | 240,927,181 | |||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $240,927,181) |
| 240,927,181 | ||||||||||
|
| |||||||||||
Total Investments (101.3%) |
| 6,716,105,079 | ||||||||||
(Cost: $6,684,600,147) |
| |||||||||||
Liabilities In Excess Of Other Assets (-1.3%) |
| (88,131,062 | ) | |||||||||
|
| |||||||||||
Total Net Assets (100.0%) |
| $ | 6,627,974,017 | |||||||||
|
|
Purchased Options — OTC | ||||||||||||||||||||||||||||||||||
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid by Fund | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||
Currency Options |
| |||||||||||||||||||||||||||||||||
USD Put / ZAR Call | BNP Paribas S.A. | ZAR | 16 | 1/6/21 | 67,035,000 | $ | 67,035,000 | $ | 721,766 | $ | 605,326 | $ | 116,440 | |||||||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
21
Table of Contents
TCW Emerging Markets Income Fund
Schedule of Investments (Continued)
Notes to the Schedule of Investments:
EUR | Euro Currency. |
USD | U.S. 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 October 31, 2020, the value of these securities amounted to $3,108,707,737 or 46.9% of net assets. These securities are determined to be liquid by the Fund’s investment advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(2) | Investments issued under Regulation S of the Securities Act of 1933, as amended, may not be offered, sold, or delivered within the United States except under special exemptions. At October 31, 2020, the value of these securities amounted to $1,748,900,283 or 26.4% of net assets. |
(3) | Floating or variable rate security. The interest shown reflects the rate in effect at October 31, 2020. |
(4) | Perpetual maturity. |
(5) | Security is not accruing interest. |
(6) | Security is currently in default due to bankruptcy or failure to make payment of principal or interest of the issuer. Income is not being accrued. |
(7) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(8) | This security is purchased on a when-issued, delayed-delivery or forward commitment basis. |
(9) | For fair value measurement disclosure purposes, security is categorized as Level 3. Security is valued using significant unobservable inputs. |
(10) | See options table for description of purchased options. |
(11) | Rate disclosed is the 7-day net yield as of October 31, 2020. |
See accompanying Notes to Financial Statements.
22
Table of Contents
TCW Emerging Markets Income Fund
Investments by Sector | October 31, 2020 |
Sector | Percentage of Net Assets | |||
Banks | 3.8 | % | ||
Building Materials | 0.8 | |||
Chemicals | 0.6 | |||
Commercial Services | 1.5 | |||
Electric | 4.4 | |||
Engineering & Construction | 0.7 | |||
Foreign Government Bonds | 61.9 | |||
Insurance | 0.5 | |||
Internet | 2.0 | |||
Iron & Steel | 0.8 | |||
Media | 0.4 | |||
Metal Fabricate & Hardware | 0.2 | |||
Mining | 3.4 | |||
Oil & Gas | 11.5 | |||
Packaging & Containers | 0.5 | |||
Pipelines | 0.7 | |||
Real Estate | 2.2 | |||
Telecommunications | 1.0 | |||
Transportation | 0.8 | |||
Money Market Investments | 3.6 | |||
|
| |||
Total | 101.3 | % | ||
|
|
See accompanying Notes to Financial Statements.
23
Table of Contents
TCW Emerging Markets Income Fund
Fair Valuation Summary | October 31, 2020 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 2020 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 | $ | — | $ | 252,641,309 | $ | — | $ | 252,641,309 | ||||||||
Building Materials | — | 50,691,545 | — | 50,691,545 | ||||||||||||
Chemicals | — | 39,174,571 | — | 39,174,571 | ||||||||||||
Commercial Services | — | 103,027,445 | — | 103,027,445 | ||||||||||||
Electric | — | 293,674,449 | — | 293,674,449 | ||||||||||||
Engineering & Construction | — | 48,843,661 | — | 48,843,661 | ||||||||||||
Foreign Government Bonds | — | 4,086,015,697 | 15,730,569 | 4,101,746,266 | ||||||||||||
Insurance | — | 30,167,915 | — | 30,167,915 | ||||||||||||
Internet | — | 129,968,250 | — | 129,968,250 | ||||||||||||
Iron & Steel | — | 52,358,125 | — | 52,358,125 | ||||||||||||
Media | — | 29,023,617 | — | 29,023,617 | ||||||||||||
Metal Fabricate & Hardware | — | 12,331,625 | — | 12,331,625 | ||||||||||||
Mining | — | 223,913,792 | — | 223,913,792 | ||||||||||||
Oil & Gas | — | 759,638,018 | — | 759,638,018 | ||||||||||||
Packaging & Containers | — | 35,835,566 | — | 35,835,566 | ||||||||||||
Pipelines | — | 46,877,021 | — | 46,877,021 | ||||||||||||
Real Estate | — | 144,415,330 | — | 144,415,330 | ||||||||||||
Telecommunications | — | 69,087,997 | — | 69,087,997 | ||||||||||||
Transportation | — | 51,039,630 | — | 51,039,630 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 6,458,725,563 | 15,730,569 | 6,474,456,132 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Currency Options | — | 721,766 | — | 721,766 | ||||||||||||
Money Market Investments | 240,927,181 | — | — | 240,927,181 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 240,927,181 | $ | 6,459,447,329 | $ | 15,730,569 | $ | 6,716,105,079 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
24
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Schedule of Investments | October 31, 2020 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 91.3% of Net Assets |
| |||||||||||
Brazil — 10.0% | ||||||||||||
Brazil Notas do Tesouro Nacional, Series B |
| |||||||||||
6.00% | 05/15/35 | BRL | 2,100,000 | $ | 1,494,244 | |||||||
Brazil Notas do Tesouro Nacional, Series F |
| |||||||||||
10.00% | 01/01/23 | BRL | 25,599,000 | 4,865,240 | ||||||||
10.00% | 01/01/25 | BRL | 38,630,000 | 7,503,141 | ||||||||
10.00% | 01/01/27 | BRL | 25,382,000 | 4,944,990 | ||||||||
10.00% | 01/01/29 | BRL | 14,677,000 | 2,896,655 | ||||||||
|
| |||||||||||
Total Brazil | ||||||||||||
(Cost: $26,650,727) |
| 21,704,270 | ||||||||||
|
| |||||||||||
Chile — 2.1% | ||||||||||||
Bonos de la Tesoreria de la Republica en pesos |
| |||||||||||
4.70% (1) | 09/01/30 | CLP | 1,105,000,000 | 1,686,848 | ||||||||
5.00% | 03/01/35 | CLP | 945,000,000 | 1,473,994 | ||||||||
6.00% | 01/01/43 | CLP | 755,000,000 | 1,357,201 | ||||||||
|
| |||||||||||
Total Chile | ||||||||||||
(Cost: $4,244,019) |
| 4,518,043 | ||||||||||
|
| |||||||||||
China — 8.2% | ||||||||||||
Agricultural Development Bank of China |
| |||||||||||
3.75% | 01/25/29 | CNY | 56,370,000 | 8,449,981 | ||||||||
China Development Bank |
| |||||||||||
3.23% | 01/10/25 | CNY | 46,370,000 | 6,870,947 | ||||||||
3.48% | 01/08/29 | CNY | 17,910,000 | 2,626,185 | ||||||||
|
| |||||||||||
Total China | ||||||||||||
(Cost: $17,496,333) | 17,947,113 | |||||||||||
|
| |||||||||||
Colombia — 5.3% | ||||||||||||
Colombian TES (Treasury) Bond, Series B |
| |||||||||||
6.00% | 04/28/28 | COP | 16,928,800,000 | 4,595,456 | ||||||||
7.50% | 08/26/26 | COP | 13,297,000,000 | 3,948,774 | ||||||||
7.75% | 09/18/30 | COP | 5,848,000,000 | 1,739,486 | ||||||||
Empresas Publicas de Medellin ESP |
| |||||||||||
8.38% (2) | 11/08/27 | COP | 5,000,000,000 | 1,353,690 | ||||||||
|
| |||||||||||
Total Colombia | ||||||||||||
(Cost: $12,023,511) |
| 11,637,406 | ||||||||||
|
| |||||||||||
Czech Republic — 2.3% | ||||||||||||
Czech Republic Government Bond |
| |||||||||||
0.95% (1) | 05/15/30 | CZK | 26,380,000 | 1,124,653 | ||||||||
2.00% | 10/13/33 | CZK | 66,080,000 | 3,130,618 | ||||||||
2.50% (1) | 08/25/28 | CZK | 13,570,000 | 652,803 | ||||||||
|
| |||||||||||
Total Czech Republic |
| |||||||||||
(Cost: $4,834,274) |
| 4,908,074 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Hungary — 4.6% | ||||||||||||
Hungary Government Bond |
| |||||||||||
1.00% | 11/26/25 | HUF | 613,130,000 | $ | 1,898,550 | |||||||
2.50% | 10/24/24 | HUF | 716,180,000 | 2,375,964 | ||||||||
2.75% | 12/22/26 | HUF | 775,940,000 | 2,609,942 | ||||||||
3.00% | 10/27/27 | HUF | 492,000,000 | 1,687,297 | ||||||||
3.00% | 08/21/30 | HUF | 420,520,000 | 1,435,539 | ||||||||
|
| |||||||||||
Total Hungary |
| |||||||||||
(Cost: $9,827,071) |
| 10,007,292 | ||||||||||
|
| |||||||||||
Indonesia — 11.3% | ||||||||||||
Indonesia Treasury Bond |
| |||||||||||
6.50% | 02/15/31 | IDR | 7,288,000,000 | 494,986 | ||||||||
6.63% | 05/15/33 | IDR | 3,330,000,000 | 220,634 | ||||||||
7.00% | 05/15/27 | IDR | 35,560,000,000 | 2,532,358 | ||||||||
7.00% | 09/15/30 | IDR | 20,312,000,000 | 1,429,965 | ||||||||
7.50% | 08/15/32 | IDR | 36,865,000,000 | 2,607,647 | ||||||||
8.13% | 05/15/24 | IDR | 17,513,000,000 | 1,308,595 | ||||||||
8.25% | 05/15/29 | IDR | 5,872,000,000 | 444,465 | ||||||||
8.38% | 03/15/24 | IDR | 45,383,000,000 | 3,406,596 | ||||||||
8.38% | 09/15/26 | IDR | 83,494,000,000 | 6,402,634 | ||||||||
8.38% | 03/15/34 | IDR | 26,233,000,000 | 1,970,390 | ||||||||
9.00% | 03/15/29 | IDR | 48,692,000,000 | 3,825,443 | ||||||||
|
| |||||||||||
Total Indonesia | ||||||||||||
(Cost: $23,446,592) |
| 24,643,713 | ||||||||||
|
| |||||||||||
Malaysia — 5.3% | ||||||||||||
Malaysia Government Bond |
| |||||||||||
3.48% | 03/15/23 | MYR | 9,050,000 | 2,265,440 | ||||||||
3.50% | 05/31/27 | MYR | 6,170,000 | 1,590,390 | ||||||||
3.84% | 04/15/33 | MYR | 2,503,000 | 652,105 | ||||||||
3.89% | 08/15/29 | MYR | 8,350,000 | 2,204,548 | ||||||||
4.18% | 07/15/24 | MYR | 7,605,000 | 1,976,751 | ||||||||
4.23% | 06/30/31 | MYR | 5,174,000 | 1,407,129 | ||||||||
4.50% | 04/15/30 | MYR | 1,804,000 | 497,674 | ||||||||
4.89% | 06/08/38 | MYR | 3,338,000 | 943,156 | ||||||||
|
| |||||||||||
Total Malaysia |
| |||||||||||
(Cost: $11,015,450) |
| 11,537,193 | ||||||||||
|
| |||||||||||
Mexico — 9.7% | ||||||||||||
Mexican Bonos |
| |||||||||||
7.75% | 11/23/34 | MXN | 41,760,000 | 2,161,967 | ||||||||
Mexico Government Bond (BONOS) |
| |||||||||||
8.00% | 12/07/23 | MXN | 92,020,000 | 4,726,915 | ||||||||
5.75% | 03/05/26 | MXN | 81,515,000 | 3,900,384 | ||||||||
7.50% | 06/03/27 | MXN | 106,300,000 | 5,497,975 | ||||||||
7.75% | 05/29/31 | MXN | 51,475,600 | 2,696,351 | ||||||||
7.75% | 11/13/42 | MXN | 43,800,000 | 2,206,931 | ||||||||
|
| |||||||||||
Total Mexico |
| |||||||||||
(Cost: $20,515,189) |
| 21,190,523 | ||||||||||
|
|
See accompanying Notes to Financial Statements.
25
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Peru — 2.6% | ||||||||||||
Peruvian Government Bond |
| |||||||||||
5.40% | 08/12/34 | PEN | 730,000 | $ | 213,076 | |||||||
Peruvian Government International Bond |
| |||||||||||
6.15% | 08/12/32 | PEN | 9,131,000 | 2,916,382 | ||||||||
6.90% (1) | 08/12/37 | PEN | 5,766,000 | 1,889,285 | ||||||||
6.95% (1) | 08/12/31 | PEN | 2,009,000 | 686,359 | ||||||||
|
| |||||||||||
Total Peru |
| |||||||||||
(Cost: $5,746,298) |
| 5,705,102 | ||||||||||
|
| |||||||||||
Poland — 3.5% | ||||||||||||
Poland Government Bond |
| |||||||||||
2.50% | 07/25/27 | PLN | 11,604,000 | 3,256,041 | ||||||||
2.75% | 10/25/29 | PLN | 15,537,000 | 4,483,493 | ||||||||
|
| |||||||||||
Total Poland |
| |||||||||||
(Cost: $7,107,582) |
| 7,739,534 | ||||||||||
|
| |||||||||||
Romania — 3.9% | ||||||||||||
Romania Government Bond |
| |||||||||||
3.25% | 04/29/24 | RON | 13,860,000 | 3,361,369 | ||||||||
3.65% | 07/28/25 | RON | 1,045,000 | 256,435 | ||||||||
3.65% | 09/24/31 | RON | 5,130,000 | 1,248,944 | ||||||||
4.25% | 06/28/23 | RON | 2,255,000 | 559,438 | ||||||||
4.75% | 02/24/25 | RON | 1,200,000 | 307,517 | ||||||||
5.00% | 02/12/29 | RON | 4,070,000 | 1,101,166 | ||||||||
5.85% | 04/26/23 | RON | 6,340,000 | 1,627,796 | ||||||||
|
| |||||||||||
Total Romania |
| �� | ||||||||||
(Cost: $8,057,805) |
| 8,462,665 | ||||||||||
|
| |||||||||||
Russia — 7.5% | ||||||||||||
Russian Federal Bond — OFZ |
| |||||||||||
6.50% | 02/28/24 | RUB | 34,424,000 | 452,693 | ||||||||
6.90% | 05/23/29 | RUB | 164,500,000 | 2,199,059 | ||||||||
7.00% | 01/25/23 | RUB | 242,000,000 | 3,196,729 | ||||||||
7.25% | 05/10/34 | RUB | 62,900,000 | 852,378 | ||||||||
7.40% | 07/17/24 | RUB | 268,000,000 | 3,632,864 | ||||||||
7.65% | 04/10/30 | RUB | 71,700,000 | 1,003,281 | ||||||||
7.95% | 10/07/26 | RUB | 165,415,000 | 2,333,322 | ||||||||
8.15% | 02/03/27 | RUB | 66,000,000 | 940,903 | ||||||||
8.50% | 09/17/31 | RUB | 123,500,000 | 1,828,258 | ||||||||
|
| |||||||||||
Total Russia |
| |||||||||||
(Cost: $18,676,998) |
| 16,439,487 | ||||||||||
|
| |||||||||||
South Africa — 10.1% | ||||||||||||
South Africa Government Bond |
| |||||||||||
6.25% | 03/31/36 | ZAR | 87,500,000 | 3,546,042 | ||||||||
7.00% | 02/28/31 | ZAR | 32,300,000 | 1,633,015 | ||||||||
8.00% | 01/31/30 | ZAR | 132,550,000 | 7,531,051 | ||||||||
8.25% | 03/31/32 | ZAR | 43,700,000 | 2,312,807 | ||||||||
8.50% | 01/31/37 | ZAR | 37,695,858 | 1,820,446 | ||||||||
8.75% | 01/31/44 | ZAR | 13,600,000 | 638,777 | ||||||||
8.75% | 02/28/48 | ZAR | 4,004,142 | 187,383 | ||||||||
9.00% | 01/31/40 | ZAR | 86,800,000 | 4,273,640 | ||||||||
|
| |||||||||||
Total South Africa |
| |||||||||||
(Cost: $23,371,620) |
| 21,943,161 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Thailand — 4.9% | ||||||||||||
Thailand Government Bond |
| |||||||||||
1.59% | 12/17/35 | THB | 37,000,000 | $ | 1,185,015 | |||||||
3.30% | 06/17/38 | THB | 245,274,000 | 9,558,411 | ||||||||
|
| |||||||||||
Total Thailand | ||||||||||||
(Cost: $10,574,058) | 10,743,426 | |||||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $203,587,527) | 199,127,002 | |||||||||||
|
| |||||||||||
Purchased Options (3) | ||||||||||||
(Cost: $39,958) | 47,644 | |||||||||||
|
| |||||||||||
Shares | ||||||||||||
MONEY MARKET INVESTMENTS — 1.5% |
| |||||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (4) |
| 3,236,687 | 3,236,687 | |||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $3,236,687) |
| 3,236,687 | ||||||||||
|
| |||||||||||
Principal Amount | ||||||||||||
SHORT TERM INVESTMENTS — 5.4% |
| |||||||||||
Foreign Government Bonds — 5.4% |
| |||||||||||
Egypt — 4.3% | ||||||||||||
Egypt Treasury Bills |
| |||||||||||
0.00% (5) | 12/01/20 | EGP | 20,000,000 | 1,260,662 | ||||||||
0.00% (5) | 12/22/20 | EGP | 13,100,000 | 819,355 | ||||||||
0.00% (5) | 12/29/20 | EGP | 37,875,000 | 2,362,978 | ||||||||
0.00% (5) | 01/12/21 | EGP | 14,250,000 | 883,681 | ||||||||
0.00% (4) | 01/19/21 | EGP | 48,850,000 | 3,024,842 | ||||||||
0.00% (4) | 01/26/21 | EGP | 17,300,000 | 1,067,201 | ||||||||
|
| |||||||||||
Total Egypt | ||||||||||||
(Cost: $9,397,614) | 9,418,719 | |||||||||||
|
| |||||||||||
Uruguay — 1.1% | ||||||||||||
Uruguay Monetary Regulation Bill |
| |||||||||||
0.00% (4) | 01/22/21 | UYU | 23,460,000 | 538,390 | ||||||||
0.00% (4) | 05/07/21 | UYU | 59,901,000 | 1,344,817 | ||||||||
0.00% (4) | 05/28/21 | UYU | 15,531,000 | 347,114 | ||||||||
|
| |||||||||||
Total Uruguay | ||||||||||||
(Cost: $2,239,016) | 2,230,321 | |||||||||||
|
| |||||||||||
Total Foreign Government Bonds |
| |||||||||||
(Cost: $11,636,630) | 11,649,040 | |||||||||||
|
| |||||||||||
Total Short Term Investments |
| |||||||||||
(Cost: $11,636,630) | 11,649,040 | |||||||||||
|
| |||||||||||
Total Investments (98.2%) |
| |||||||||||
(Cost: $218,500,802) | 214,060,373 | |||||||||||
Excess Of Other Assets Over Liabilities (1.8%) |
| 3,948,396 | ||||||||||
|
| |||||||||||
Total Net Assets (100.0%) |
| $ | 218,008,769 | |||||||||
|
|
See accompanying Notes to Financial Statements.
26
Table of Contents
TCW Emerging Markets Local Currency Income Fund
October 31, 2020 |
Purchased Options — OTC | ||||||||||||||||||||||||||||||||||
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Fund | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||
Currency Options |
| |||||||||||||||||||||||||||||||||
USD Put / ZAR Call | BNP Paribas S.A. | ZAR | 16 | 1/6/21 | 4,425,000 | $ | 4,425,000 | $ | 47,644 | $ | 39,958 | $ | 7,686 | |||||||||||||||||||||
|
|
|
|
|
|
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. | INR | 163,593,787 | 12/01/20 | $ | 2,215,000 | $ | 2,202,113 | $ | (12,887 | ) | ||||||||||||||
Bank of America, N.A. | PLN | 52,055,650 | 01/07/21 | 13,400,000 | 13,135,349 | (264,651 | ) | |||||||||||||||||
Barclays Capital | MXN | 24,272,780 | 01/13/21 | 1,146,402 | 1,132,038 | (14,364 | ) | |||||||||||||||||
Barclays Capital | MYR | 19,053,235 | 12/02/20 | 4,581,000 | 4,580,123 | (877 | ) | |||||||||||||||||
Barclays Capital | THB | 275,500,000 | 01/08/21 | 8,821,081 | 8,837,077 | 15,996 | ||||||||||||||||||
BNP Paribas S.A. | COP | 3,328,800,000 | 11/12/20 | 858,602 | 863,308 | 4,706 | ||||||||||||||||||
BNP Paribas S.A. | CZK | 186,600,000 | 12/08/20 | 8,367,150 | 7,969,756 | (397,394 | ) | |||||||||||||||||
Citibank N.A. | RUB | 85,711,660 | 11/18/20 | 1,121,000 | 1,076,675 | (44,325 | ) | |||||||||||||||||
JP Morgan Chase Bank | RUB | 76,963,511 | 11/18/20 | 974,813 | 966,784 | (8,029 | ) | |||||||||||||||||
JP Morgan Chase Bank | TRY | 20,512,710 | 01/27/21 | 2,460,000 | 2,345,265 | (114,735 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 43,945,048 | $ | 43,108,488 | $ | (836,560 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
SELL (7) | ||||||||||||||||||||||||
Bank of America, N.A. | CZK | 46,075,600 | 12/08/20 | $ | 2,000,000 | $ | 1,967,906 | $ | 32,094 | |||||||||||||||
Bank of America, N.A. | RUB | 162,675,171 | 11/18/20 | 2,190,000 | 2,043,459 | 146,541 | ||||||||||||||||||
Barclays Capital | CZK | 38,946,765 | 12/08/20 | 1,743,269 | 1,663,431 | 79,838 | ||||||||||||||||||
Barclays Capital | MYR | 5,095,602 | 12/02/20 | 1,218,000 | 1,224,909 | (6,909 | ) | |||||||||||||||||
Barclays Capital | TWD | 32,973,950 | 12/22/20 | 1,150,000 | 1,153,015 | (3,015 | ) | |||||||||||||||||
Barclays Capital | ZAR | 18,664,800 | 12/01/20 | 1,120,000 | 1,144,941 | (24,941 | ) | |||||||||||||||||
BNP Paribas S.A. | PLN | 4,357,080 | 01/07/21 | 1,120,000 | 1,099,434 | 20,566 | ||||||||||||||||||
BNP Paribas S.A. | ZAR | 39,186,587 | 12/01/20 | 2,326,000 | 2,403,793 | (77,793 | ) | |||||||||||||||||
Citibank N.A. | PLN | 3,973,373 | 01/07/21 | 1,023,000 | 1,002,612 | 20,388 | ||||||||||||||||||
Citibank N.A. | ZAR | 14,559,789 | 12/01/20 | 890,000 | 893,130 | (3,130 | ) | |||||||||||||||||
Goldman Sachs & Co. | COP | 3,328,800,000 | 11/12/20 | 876,000 | 863,308 | 12,692 | ||||||||||||||||||
Goldman Sachs & Co. | MXN | 24,272,780 | 01/13/21 | 1,124,000 | 1,132,038 | (8,038 | ) | |||||||||||||||||
JP Morgan Chase Bank | CLP | 516,993,600 | 11/12/20 | 656,000 | 667,866 | (11,866 | ) | |||||||||||||||||
JP Morgan Chase Bank | CZK | 11,600,601 | 12/08/20 | 516,731 | 495,466 | 21,265 | ||||||||||||||||||
JP Morgan Chase Bank | PLN | 4,324,070 | 01/07/21 | 1,129,000 | 1,091,105 | 37,895 | ||||||||||||||||||
JP Morgan Chase Bank | ZAR | 38,622,750 | 12/01/20 | 2,300,000 | 2,369,206 | (69,206 | ) | |||||||||||||||||
Standard Chartered Bank | ZAR | 3,731,424 | 12/01/20 | 225,000 | 228,894 | (3,894 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 21,607,000 | $ | 21,444,513 | $ | 162,487 | |||||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
27
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Schedule of Investments (Continued)
Notes to the Schedule of Investments:
BRL | Brazilian Real. |
CLP | Chilean Peso. |
CNY | Chinese Yuan. |
COP | Colombian Peso. |
CZK | Czech Koruna. |
EGP | Egyptian Pound. |
IDR | Indonesian Rupiah. |
MXN | Mexican Peso. |
MYR | Malaysian Ringgit. |
PEN | Peruvian Nuevo Sol. |
PLN | Polish Zloty. |
RON | Romanian New Leu. |
RUB | Russian Ruble. |
THB | Thai Baht. |
TRY | Turkish New Lira. |
TWD | Taiwan Dollar. |
USD | U.S. Dollar. |
UYU | Uruguayan Peso. |
ZAR | South African Rand. |
(1) | Investments issued under Regulation S of the Securities Act of 1933, as amended, may not be offered, sold, or delivered within the United States except under special exemptions. At October 31, 2020, the value of these securities amounted to $6,039,948 or 2.8% 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 October 31, 2020, the value of these securities amounted to $1,353,690 or 0.6% 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 the 7-day net yield as of October 31, 2020. |
(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.
28
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Investments by Sector | October 31, 2020 |
Sector | Percentage of Net Assets | |||
Banks | 8.2 | % | ||
Electric | 0.6 | |||
Foreign Government Bonds | 82.5 | |||
Short Term Investments | 5.4 | |||
Money Market Investments | 1.5 | |||
|
| |||
Total | 98.2 | % | ||
|
|
See accompanying Notes to Financial Statements.
29
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Fair Valuation Summary | October 31, 2020 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 2020 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 | $ | — | $ | 17,947,112 | $ | — | $ | 17,947,112 | ||||||||
Electric | — | 1,353,690 | — | 1,353,690 | ||||||||||||
Foreign Government Bonds | — | 179,826,200 | — | 179,826,200 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 199,127,002 | — | 199,127,002 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Currency Options | — | 47,644 | — | 47,644 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 3,236,687 | — | — | 3,236,687 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short Term Investments | — | 11,649,040 | — | 11,649,040 | ||||||||||||
Total Investments | $ | 3,236,687 | $ | 210,823,686 | $ | — | $ | 214,060,373 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 391,981 | — | 391,981 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 3,236,687 | $ | 211,215,667 | $ | — | $ | 214,452,354 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (1,066,054 | ) | $ | — | $ | (1,066,054 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (1,066,054 | ) | $ | — | $ | (1,066,054 | ) | ||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
30
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments | October 31, 2020 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 31.4% of Net Assets |
| |||||||||||
Angola — 0.4% | ||||||||||||
Angolan Government International Bond |
| |||||||||||
8.25% (1) | 05/09/28 | $ | 225,000 | $ | 177,643 | |||||||
9.38% (1) | 05/08/48 | 225,000 | 173,058 | |||||||||
|
| |||||||||||
Total Angola |
| |||||||||||
(Cost: $442,729) |
| 350,701 | ||||||||||
|
| |||||||||||
Argentina — 0.4% | ||||||||||||
Argentine Republic Government International Bond |
| |||||||||||
0.13% | 07/09/30 | 436,693 | 160,266 | |||||||||
0.13% | 07/09/35 | 708,054 | 232,950 | |||||||||
1.00% | 07/09/29 | 55,555 | 22,917 | |||||||||
|
| |||||||||||
Total Argentina |
| |||||||||||
(Cost: $594,096) |
| 416,133 | ||||||||||
|
| |||||||||||
Bahrain — 1.0% | ||||||||||||
Bahrain Government International Bond |
| |||||||||||
6.00% (2) | 09/19/44 | 200,000 | 187,475 | |||||||||
7.50% (2) | 09/20/47 | 250,000 | 265,117 | |||||||||
CBB International Sukuk Programme Co. SPC |
| |||||||||||
6.25% (1) | 11/14/24 | 250,000 | 270,313 | |||||||||
Oil and Gas Holding Co. BSCC (The) |
| |||||||||||
7.50% (2) | 10/25/27 | 200,000 | 211,625 | |||||||||
|
| |||||||||||
Total Bahrain |
| |||||||||||
(Cost: $905,678) |
| 934,530 | ||||||||||
|
| |||||||||||
Brazil — 2.3% | ||||||||||||
Andrade Gutierrez International S.A. |
| |||||||||||
9.50% (1) | 12/30/24 | 130,000 | 78,000 | |||||||||
Banco do Brasil S.A. | ||||||||||||
6.25% (10-year U.S. Treasury Constant Maturity Rate + 4.398%) (2)(3)(4) | 04/15/24 | 200,000 | 192,380 | |||||||||
Brazilian Government International Bond |
| |||||||||||
3.88% | 06/12/30 | 800,000 | 811,840 | |||||||||
CSN Islands XII Corp. |
| |||||||||||
7.00% (2)(4) | 12/23/20 | 200,000 | 179,500 | |||||||||
MV24 Capital B.V. |
| |||||||||||
6.75% (1) | 06/01/34 | 195,028 | 197,161 | |||||||||
Petrobras Global Finance B.V. |
| |||||||||||
6.85% | 12/31/99 | 380,000 | 408,728 | |||||||||
5.60% | 01/03/31 | 255,000 | 275,457 | |||||||||
|
| |||||||||||
Total Brazil |
| |||||||||||
(Cost: $2,190,439) |
| 2,143,066 | ||||||||||
|
| |||||||||||
Chile — 0.8% | ||||||||||||
AES Gener S.A. |
| |||||||||||
7.13% (USD 5-Year Swap rate + 4.644%) (1)(3) | 03/26/79 | 200,000 | 207,534 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Chile (Continued) | ||||||||||||
Chile Government International Bond |
| |||||||||||
2.55% | 01/27/32 | $ | 350,000 | $ | 365,313 | |||||||
Empresa de los Ferrocarriles del Estado |
| |||||||||||
3.07% (1) | 08/18/50 | 200,000 | 187,800 | |||||||||
|
| |||||||||||
Total Chile |
| |||||||||||
(Cost: $759,872) |
| 760,647 | ||||||||||
|
| |||||||||||
China — 1.5% | ||||||||||||
AIA Group, Ltd. |
| |||||||||||
3.20% (1) | 09/16/40 | 200,000 | 204,980 | |||||||||
China Evergrande Group |
| |||||||||||
8.25% (2) | 03/23/22 | 200,000 | 168,500 | |||||||||
Easy Tactic Ltd. |
| |||||||||||
8.13% (2) | 02/27/23 | 200,000 | 175,400 | |||||||||
Kaisa Group Holdings, Ltd. |
| |||||||||||
8.50% (2) | 06/30/22 | 200,000 | 195,060 | |||||||||
Meituan |
| |||||||||||
3.05% (1) | 10/28/30 | 200,000 | 201,176 | |||||||||
Tencent Holdings, Ltd. |
| |||||||||||
2.39% (1) | 06/03/30 | 200,000 | 203,164 | |||||||||
3.24% (1) | 06/03/50 | 200,000 | 201,925 | |||||||||
|
| |||||||||||
Total China |
| |||||||||||
(Cost: $1,343,858) |
| 1,350,205 | ||||||||||
|
| |||||||||||
Colombia — 1.0% | ||||||||||||
Bancolombia S.A. |
| |||||||||||
4.63% (5-year U.S. Treasury Constant Maturity Rate + 2.944%) (3) | 12/18/29 | 200,000 | 194,656 | |||||||||
Ecopetrol S.A. |
| |||||||||||
6.88% | 04/29/30 | 265,000 | 318,967 | |||||||||
Empresas Publicas de Medellin ESP |
| |||||||||||
4.38% (1) | 02/15/31 | 200,000 | 204,752 | |||||||||
Grupo Aval, Ltd. |
| |||||||||||
4.38% (1) | 02/04/30 | 200,000 | 195,000 | |||||||||
|
| |||||||||||
Total Colombia |
| |||||||||||
(Cost: $842,279) |
| 913,375 | ||||||||||
|
| |||||||||||
Costa Rica — 0.4% | ||||||||||||
Costa Rica Government International Bond |
| |||||||||||
4.25% (2) | 01/26/23 | 200,000 | 182,502 | |||||||||
6.13% (1) | 02/19/31 | 200,000 | 167,700 | |||||||||
|
| |||||||||||
Total Costa Rica |
| |||||||||||
(Cost: $396,103) |
| 350,202 | ||||||||||
|
| |||||||||||
Dominican Republic — 1.2% | ||||||||||||
Dominican Republic International Bond |
| |||||||||||
4.50% (1) | 01/30/30 | 200,000 | 202,656 | |||||||||
4.88% (1) | 09/23/32 | 595,000 | 608,574 | |||||||||
5.88% (1) | 01/30/60 | 150,000 | 144,240 | |||||||||
5.95% (1) | 01/25/27 | 150,000 | 164,273 | |||||||||
|
| |||||||||||
Total Dominican Republic |
| |||||||||||
(Cost: $1,083,813) |
| 1,119,743 | ||||||||||
|
|
See accompanying Notes to Financial Statements.
31
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Ecuador — 0.5% | ||||||||||||
Ecuador Government International Bond |
| |||||||||||
0.00% (1)(5) | 07/31/30 | $ | 43,207 | $ | 19,673 | |||||||
0.50% (1) | 07/31/30 | 197,300 | 131,204 | |||||||||
0.50% (1) | 07/31/35 | 381,710 | 211,849 | |||||||||
0.50% (1) | 07/31/40 | 158,900 | 79,452 | |||||||||
|
| |||||||||||
Total Ecuador |
| |||||||||||
(Cost: $492,475) |
| 442,178 | ||||||||||
|
| |||||||||||
Egypt — 1.2% | ||||||||||||
Egypt Government International Bond |
| |||||||||||
6.59% (2) | 02/21/28 | 475,000 | 480,195 | |||||||||
7.05% (1) | 01/15/32 | 200,000 | 196,469 | |||||||||
7.63% (1) | 05/29/32 | 470,000 | 477,711 | |||||||||
|
| |||||||||||
Total Egypt |
| |||||||||||
(Cost: $1,148,158) |
| 1,154,375 | ||||||||||
|
| |||||||||||
El Salvador — 0.1% (Cost: $61,999) | ||||||||||||
El Salvador Government International Bond |
| |||||||||||
5.88% (2) | 01/30/25 | 78,000 | 64,873 | |||||||||
|
| |||||||||||
Ghana — 0.8% | ||||||||||||
Ghana Government International Bond |
| |||||||||||
8.13% (2) | 01/18/26 | 200,000 | 201,320 | |||||||||
8.13% (1) | 03/26/32 | 300,000 | 276,769 | |||||||||
8.95% (1) | 03/26/51 | 300,000 | 270,281 | |||||||||
|
| |||||||||||
Total Ghana |
| |||||||||||
(Cost: $790,529) |
| 748,370 | ||||||||||
|
| |||||||||||
India — 0.4% | ||||||||||||
Adani Ports & Special Economic Zone, Ltd. |
| |||||||||||
4.20% (1) | 08/04/27 | 200,000 | 202,600 | |||||||||
Network i2i, Ltd. |
| |||||||||||
5.65% (5-year Treasury Constant Maturity Rate + 4.274%) (2)(3)(4) | 01/15/25 | 200,000 | 201,113 | |||||||||
|
| |||||||||||
Total India |
| |||||||||||
(Cost: $382,000) |
| 403,713 | ||||||||||
|
| |||||||||||
Indonesia — 2.2% | ||||||||||||
Freeport-McMoRan, Inc. |
| |||||||||||
4.63% | 08/01/30 | 90,000 | 96,235 | |||||||||
5.40% | 11/14/34 | 90,000 | 103,219 | |||||||||
Indonesia Asahan Aluminium Persero PT |
| |||||||||||
5.80% (1) | 05/15/50 | 225,000 | 262,410 | |||||||||
6.53% (1) | 11/15/28 | 250,000 | 303,515 | |||||||||
6.76% (1) | 11/15/48 | 200,000 | 255,844 | |||||||||
Indonesia Government International Bond |
| |||||||||||
4.20% | 10/15/50 | 200,000 | 231,300 | |||||||||
Minejesa Capital B.V. |
| |||||||||||
5.63% (1) | 08/10/37 | 200,000 | 207,280 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Indonesia (Continued) | ||||||||||||
Perusahaan Penerbit SBSN Indonesia III |
| |||||||||||
3.80% (1) | 06/23/50 | $ | 200,000 | $ | 213,300 | |||||||
4.15% (2) | 03/29/27 | 300,000 | 337,320 | |||||||||
|
| |||||||||||
Total Indonesia |
| |||||||||||
(Cost: $1,797,550) |
| 2,010,423 | ||||||||||
|
| |||||||||||
Iraq — 0.2% (Cost: $187,041) | ||||||||||||
Iraq International Bond |
| |||||||||||
5.80% (2) | 01/15/28 | 234,375 | 202,746 | |||||||||
|
| |||||||||||
Israel — 0.8% | ||||||||||||
Leviathan Bond Ltd. |
| |||||||||||
5.75% (1) | 06/30/23 | 77,000 | 78,853 | |||||||||
6.13% (1) | 06/30/25 | 94,300 | 97,897 | |||||||||
6.50% (1) | 06/30/27 | 179,000 | 184,934 | |||||||||
6.75% (1) | 06/30/30 | 54,000 | 55,588 | |||||||||
State of Israel | ||||||||||||
3.38% | 01/15/50 | 325,000 | 351,614 | |||||||||
|
| |||||||||||
Total Israel |
| |||||||||||
(Cost: $751,617) |
| 768,886 | ||||||||||
|
| |||||||||||
Ivory Coast — 0.2% (Cost: $171,693) | ||||||||||||
Ivory Coast Government International Bond |
| |||||||||||
6.88% (1) | 10/17/40 | EUR | 150,000 | 170,639 | ||||||||
|
| |||||||||||
Kazakhstan — 0.7% | ||||||||||||
KazMunayGas National Co. JSC |
| |||||||||||
3.50% (1) | 04/14/33 | $ | 400,000 | 413,261 | ||||||||
5.75% (2) | 04/19/47 | 200,000 | 249,537 | |||||||||
|
| |||||||||||
Total Kazakhstan |
| |||||||||||
(Cost: $633,283) |
| 662,798 | ||||||||||
|
| |||||||||||
Kenya — 0.3% (Cost: $310,370) | ||||||||||||
Kenya Government International Bond |
| |||||||||||
8.00% (1) | 05/22/32 | 300,000 | 315,990 | |||||||||
|
| |||||||||||
Kuwait — 0.2% (Cost: $200,000) | ||||||||||||
MEGlobal Canada ULC |
| |||||||||||
5.00% (1) | 05/18/25 | 200,000 | 218,250 | |||||||||
|
| |||||||||||
Lebanon — 0.1% (Cost: $239,512) | ||||||||||||
Lebanon Government International Bond |
| |||||||||||
8.25% (6) | 05/17/34 | 870,000 | 123,975 | |||||||||
|
| |||||||||||
Malaysia — 0.3% (Cost: $200,000) | ||||||||||||
Petronas Capital, Ltd. |
| |||||||||||
4.55% (1) | 04/21/50 | 200,000 | 252,589 | |||||||||
|
| |||||||||||
Mexico — 1.5% | ||||||||||||
Banco Mercantil del Norte S.A. |
| |||||||||||
6.88% (5-year U.S. Treasury Constant Maturity Rate + 5.035%) (1)(3)(4) | 07/06/22 | 200,000 | 200,437 |
See accompanying Notes to Financial Statements.
32
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
October 31, 2020 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Mexico (Continued) | ||||||||||||
Cemex SAB de CV |
| |||||||||||
7.38% (1) | 06/05/27 | $ | 200,000 | $ | 221,080 | |||||||
Infraestructura Energetica Nova SAB de CV |
| |||||||||||
4.75% (1) | 01/15/51 | 200,000 | 188,400 | |||||||||
Petroleos Mexicanos |
| |||||||||||
5.95% | 01/28/31 | 430,000 | 360,985 | |||||||||
6.49% | 01/23/27 | 65,000 | 60,632 | |||||||||
6.50% | 03/13/27 | 135,000 | 125,565 | |||||||||
6.63% | 06/15/35 | 104,000 | 86,365 | |||||||||
7.69% | 01/23/50 | 181,000 | 150,900 | |||||||||
|
| |||||||||||
Total Mexico |
| |||||||||||
(Cost: $1,347,121) |
| 1,394,364 | ||||||||||
|
| |||||||||||
Netherlands — 0.2% (Cost: $200,000) | ||||||||||||
Prosus NV |
| |||||||||||
4.03% (1) | 08/03/50 | 200,000 | 208,780 | |||||||||
|
| |||||||||||
Nigeria — 0.8% | ||||||||||||
IHS Netherlands Holdco BV |
| |||||||||||
8.00% (2) | 09/18/27 | 200,000 | 205,406 | |||||||||
Nigeria Government International Bond |
| |||||||||||
7.14% (1) | 02/23/30 | 400,000 | 387,200 | |||||||||
7.63% (2) | 11/28/47 | 200,000 | 183,040 | |||||||||
|
| |||||||||||
Total Nigeria |
| |||||||||||
(Cost: $720,833) |
| 775,646 | ||||||||||
|
| |||||||||||
Oman — 0.6% | ||||||||||||
Oman Government International Bond |
| |||||||||||
5.38% (2) | 03/08/27 | 200,000 | 183,901 | |||||||||
5.63% (2) | 01/17/28 | 200,000 | 183,238 | |||||||||
6.50% (2) | 03/08/47 | 200,000 | 162,399 | |||||||||
|
| |||||||||||
Total Oman |
| |||||||||||
(Cost: $559,203) |
| 529,538 | ||||||||||
|
| |||||||||||
Pakistan — 0.2% (Cost: $242,824) | ||||||||||||
Pakistan Government International Bond |
| |||||||||||
6.88% (2) | 12/05/27 | 235,000 | 230,617 | |||||||||
|
| |||||||||||
Panama — 1.5% | ||||||||||||
AES Panama Generation Holdings SRL |
| |||||||||||
4.38% (1) | 05/31/30 | 200,000 | 211,940 | |||||||||
C&W Senior Financing DAC |
| |||||||||||
6.88% (1) | 09/15/27 | 200,000 | 211,600 | |||||||||
Global Bank Corp. |
| |||||||||||
5.25% (3 mo. USD LIBOR + 3.300%) (1)(3) | 04/16/29 | 270,000 | 287,766 | |||||||||
Panama Government International Bond |
| |||||||||||
3.16% | 01/23/30 | 200,000 | 218,800 | |||||||||
3.87% | 07/23/60 | 400,000 | 452,000 | |||||||||
|
| |||||||||||
Total Panama |
| |||||||||||
(Cost: $1,334,689) |
| 1,382,106 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Paraguay — 0.3% (Cost: $188,000) | ||||||||||||
Paraguay Government International Bond |
| |||||||||||
5.60% (2) | 03/13/48 | $ | 200,000 | $ | 247,000 | |||||||
|
| |||||||||||
Peru — 0.8% | ||||||||||||
Banco de Credito del Peru |
| |||||||||||
3.13% (U.S. 5-year Treasury Constant Maturity Rate + 3.000%) (1)(3) | 07/01/30 | 55,000 | 55,929 | |||||||||
Nexa Resources S.A. |
| |||||||||||
6.50% (1) | 01/18/28 | 200,000 | 223,125 | |||||||||
Peruvian Government International Bond |
| |||||||||||
2.78% | 01/23/31 | 425,000 | 460,445 | |||||||||
|
| |||||||||||
Total Peru |
| |||||||||||
(Cost: $701,102) |
| 739,499 | ||||||||||
|
| |||||||||||
Qatar — 1.1% | ||||||||||||
Qatar Government International Bond |
| |||||||||||
3.25% (2) | 06/02/26 | 500,000 | 552,925 | |||||||||
3.75% (1) | 04/16/30 | 400,000 | 465,750 | |||||||||
|
| |||||||||||
Total Qatar |
| |||||||||||
(Cost: $977,357) |
| 1,018,675 | ||||||||||
|
| |||||||||||
Romania — 0.7% | ||||||||||||
Romanian Government International Bond |
| |||||||||||
3.00% (1) | 02/14/31 | 128,000 | 132,901 | |||||||||
4.00% (1) | 02/14/51 | 462,000 | 472,690 | |||||||||
|
| |||||||||||
Total Romania |
| |||||||||||
(Cost: $603,349) |
| 605,591 | ||||||||||
|
| |||||||||||
Saudi Arabia — 1.5% | ||||||||||||
Saudi Government International Bond |
| |||||||||||
2.50% (2) | 02/03/27 | 650,000 | 682,435 | |||||||||
2.75% (1) | 02/03/32 | 700,000 | 733,075 | |||||||||
|
| |||||||||||
Total Saudi Arabia |
| |||||||||||
(Cost: $1,398,501) |
| 1,415,510 | ||||||||||
|
| |||||||||||
Senegal — 0.3% (Cost: $232,134) | ||||||||||||
Senegal Government International Bond |
| |||||||||||
4.75% (2) | 03/13/28 | EUR | 200,000 | 230,943 | ||||||||
|
| |||||||||||
South Africa — 0.8% | ||||||||||||
Eskom Holdings SOC, Ltd. |
| |||||||||||
6.75% (2) | 08/06/23 | $ | 200,000 | 190,303 | ||||||||
7.13% (2) | 02/11/25 | 400,000 | 376,375 | |||||||||
South Africa Government Bond |
| |||||||||||
4.30% | 10/12/28 | 200,000 | 194,750 | |||||||||
|
| |||||||||||
Total South Africa |
| |||||||||||
(Cost: $808,809) |
| 761,428 | ||||||||||
|
|
See accompanying Notes to Financial Statements.
33
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Thailand — 0.2% (Cost: $200,000) | ||||||||||||
Bangkok Bank PCL/Hong Kong |
| |||||||||||
5.00% (U.S. 5-year Treasury Constant Maturity Rate + 4.729%) (1)(3)(4) | 09/23/25 | $ | 200,000 | $ | 200,276 | |||||||
|
| |||||||||||
Turkey — 0.6% | ||||||||||||
Turkey Government International Bond |
| |||||||||||
5.25% | 03/13/30 | 340,000 | 297,075 | |||||||||
6.13% | 10/24/28 | 325,000 | 305,338 | |||||||||
|
| |||||||||||
Total Turkey |
| |||||||||||
(Cost: $583,340) |
| 602,413 | ||||||||||
|
| |||||||||||
Ukraine — 1.1% | ||||||||||||
Metinvest B.V. |
| |||||||||||
7.75% (1) | 10/17/29 | 200,000 | 192,230 | |||||||||
Ukraine Government International Bond |
| |||||||||||
0.00% (2)(5)(7) | 05/31/40 | 554,000 | 481,720 | |||||||||
7.75% (2) | 09/01/26 | 220,000 | 223,344 | |||||||||
7.75% (2) | 09/01/27 | 140,000 | 141,422 | |||||||||
|
| |||||||||||
Total Ukraine |
| |||||||||||
(Cost: $958,977) |
| 1,038,716 | ||||||||||
|
| |||||||||||
United Arab Emirates — 1.6% | ||||||||||||
Abu Dhabi Government International Bond |
| |||||||||||
1.70% (2) | 03/02/31 | 300,000 | 296,850 | |||||||||
2.50% (1) | 09/30/29 | 200,000 | 213,180 | |||||||||
3.13% (1) | 04/16/30 | 300,000 | 334,600 | |||||||||
DP World Salaam |
| |||||||||||
6.00% (U.S. 5-year Treasury Constant Maturity Rate + 5.750%) (2)(3)(4) | 10/01/50 | 400,000 | 420,320 | |||||||||
Galaxy Pipeline Assets Bidco, Ltd. |
| |||||||||||
2.63% (1)(8) | 03/31/36 | 200,000 | 199,860 | |||||||||
|
| |||||||||||
Total United Arab Emirates |
| |||||||||||
(Cost: $1,465,347) |
| 1,464,810 | ||||||||||
|
| |||||||||||
Uruguay — 0.5% | ||||||||||||
Uruguay Government International Bond |
| |||||||||||
4.38% | 01/23/31 | 260,000 | 314,803 | |||||||||
4.98% | 04/20/55 | 94,000 | 125,152 | |||||||||
|
| |||||||||||
Total Uruguay |
| |||||||||||
(Cost: $373,904) |
| 439,955 | ||||||||||
|
| |||||||||||
Venezuela — 0.1% | ||||||||||||
Venezuela Government International Bond |
| |||||||||||
9.25% (6)(9) | 09/15/27 | 550,000 | 50,875 | |||||||||
9.25% (2)(6)(9) | 05/07/28 | 787,000 | 72,798 | |||||||||
|
| |||||||||||
Total Venezuela |
| |||||||||||
(Cost: $413,469) |
| 123,673 | ||||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $29,234,053) |
| 29,287,947 | ||||||||||
|
|
Issues | Shares | Value | ||||||
COMMON STOCK — 68.0% |
| |||||||
Argentina — 1.8% (Cost: $955,541) | ||||||||
MercadoLibre, Inc. (10) | 1,360 | $ | 1,651,108 | |||||
|
| |||||||
Brazil — 5.5% | ||||||||
Localiza Rent a Car S.A. | 140,100 | 1,474,379 | ||||||
Magazine Luiza S.A. | 170,000 | 726,171 | ||||||
Notre Dame Intermedica Participacoes S.A. | 55,500 | 632,869 | ||||||
Pet Center Comercio e Participacoes SA (10) | 166,000 | 511,013 | ||||||
Raia Drogasil S.A. | 231,500 | 965,988 | ||||||
StoneCo, Ltd. (10) | 15,600 | 819,624 | ||||||
|
| |||||||
Total Brazil |
| |||||||
(Cost: $4,497,620) |
| 5,130,044 | ||||||
|
| |||||||
Chile — 0.3% (Cost: $302,793) | ||||||||
Empresa Nacional de Telecomunicaciones SA | 50,000 | 281,559 | ||||||
|
| |||||||
China — 34.2% | ||||||||
Alibaba Group Holding, Ltd. (SP ADR) (10) | 22,362 | 6,813,478 | ||||||
CITIC Guoan Information Industry Co., Ltd. (10) | 1,285,000 | 494,520 | ||||||
Dongfang Electric Corp., Ltd. | 322,600 | 511,668 | ||||||
Galaxy Entertainment Group, Ltd. | 200,000 | 1,321,310 | ||||||
GDS Holdings, Ltd. (ADR) (10) | 15,500 | 1,302,620 | ||||||
Innovent Biologics, Inc. (10) | 60,000 | 444,765 | ||||||
JD.com, Inc. (ADR) (10) | 18,300 | 1,491,816 | ||||||
Kingboard Holdings, Ltd. | 146,500 | 496,052 | ||||||
Koolearn Technology Holding, Ltd. (10) | 172,500 | 558,345 | ||||||
KWG Living Group Holdings, Ltd. (10) | 141,750 | 111,136 | ||||||
KWG Property Holdings, Ltd. | 283,500 | 375,833 | ||||||
Meituan Dianping — Class B (10) | 44,700 | 1,665,873 | ||||||
NAURA Technology Group Co., Ltd. | 34,612 | 886,836 | ||||||
New Oriental Education & Technology Group, Inc. (SP ADR) (10) | 6,751 | 1,082,725 | ||||||
Pharmaron Beijing Co., Ltd. — Class H | 72,000 | 1,042,111 | ||||||
Proya Cosmetics Co., Ltd. | 32,277 | 834,688 | ||||||
SF Holding Co., Ltd. | 79,544 | 985,296 | ||||||
Shanghai Tunnel Engineering Co., Ltd. | 583,100 | 486,544 | ||||||
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. | 12,800 | 740,940 | ||||||
Tencent Holdings, Ltd. | 79,612 | 6,080,960 | ||||||
WuXi AppTec Co., Ltd. — Class H | 70,224 | 1,122,422 | ||||||
Wuxi Biologics, Inc. (10) | 51,000 | 1,431,835 | ||||||
Yifeng Pharmacy Chain Co., Ltd. | 62,390 | 950,272 | ||||||
Zhongsheng Group Holdings, Ltd. | 84,000 | 598,759 | ||||||
|
| |||||||
Total China |
| |||||||
(Cost: $20,438,455) |
| 31,830,804 | ||||||
|
| |||||||
Egypt — 1.1% (Cost: $1,050,279) | ||||||||
Commercial International Bank Egypt SAE | 258,127 | 1,008,974 | ||||||
|
|
See accompanying Notes to Financial Statements.
34
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
October 31, 2020 |
Issues | Shares | Value | ||||||
France — 1.2% (Cost: $849,789) | ||||||||
Hermes International | 1,200 | $ | 1,117,511 | |||||
|
| |||||||
Hungary — 0.9% (Cost: $716,714) | ||||||||
Richter Gedeon Nyrt | 40,158 | 819,931 | ||||||
|
| |||||||
India — 4.7% | ||||||||
Avenue Supermarts, Ltd. (10) | 31,130 | 936,984 | ||||||
Bajaj Finance, Ltd. | 25,270 | 1,124,189 | ||||||
Divi’s Laboratories, Ltd. | 18,600 | 788,718 | ||||||
Reliance Industries, Ltd. | 28,315 | 788,791 | ||||||
Reliance Industries, Ltd. | 3,214 | 51,454 | ||||||
Shriram Transport Finance Co., Ltd. | 78,634 | 731,545 | ||||||
|
| |||||||
Total India |
| |||||||
(Cost: $3,747,406) |
| 4,421,681 | ||||||
|
| |||||||
Mexico — 0.6% (Cost: $619,955) | ||||||||
Genomma Lab Internacional S.A.B. de C.V. — Class B (10) | 609,900 | 542,325 | ||||||
|
| |||||||
Poland — 0.4% (Cost: $488,688) | ||||||||
Polskie Gornictwo Naftowe i Gazownictwo S.A. | 370,000 | 389,681 | ||||||
|
| |||||||
Russia — 1.9% | ||||||||
X5 Retail Group NV (GDR) | 11,624 | 408,467 | ||||||
Yandex N.V. (10) | 24,400 | 1,404,708 | ||||||
|
| |||||||
Total Russia |
| |||||||
(Cost: $1,212,622) |
| 1,813,175 | ||||||
|
| |||||||
Singapore — 0.7% (Cost: $648,750) | ||||||||
Sea, Ltd. . (SP ADR) (10) | 4,300 | 678,110 | ||||||
|
| |||||||
South Africa —1.0% (Cost: $760,102) | ||||||||
Clicks Group, Ltd. | 62,571 | 908,601 | ||||||
|
| |||||||
South Korea — 2.6% | ||||||||
Kakao Corp. | 3,650 | 1,064,307 | ||||||
NCSoft Corp. | 1,250 | 858,855 |
Issues | Shares | Value | ||||||
South Korea (Continued) | ||||||||
Samsung Biologics Co., Ltd. (10) | 750 | $ | 453,222 | |||||
|
| |||||||
Total South Korea |
| |||||||
(Cost: $1,742,356) |
| 2,376,384 | ||||||
|
| |||||||
Taiwan — 9.4% | ||||||||
Acer, Inc. | 563,730 | 471,123 | ||||||
ASPEED Technology, Inc. | 14,000 | 677,593 | ||||||
Chailease Holding Co., Ltd. | 272,160 | 1,322,123 | ||||||
Pegatron Corp. | 219,000 | 471,951 | ||||||
Ruentex Development Co., Ltd. | 359,000 | 496,438 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 354,000 | 5,355,904 | ||||||
|
| |||||||
Total Taiwan | ||||||||
(Cost: $5,939,194) | 8,795,132 | |||||||
|
| |||||||
United Kingdom — 0.6% (Cost: $376,878) | ||||||||
Genus PLC | 10,300 | 546,334 | ||||||
|
| |||||||
United States — 1.1% | ||||||||
Applied Materials, Inc. | 11,500 | 681,145 | ||||||
MSCI, Inc. | 940 | 328,850 | ||||||
|
| |||||||
Total United States | ||||||||
(Cost: $594,798) | 1,009,995 | |||||||
|
| |||||||
Total Common Stock | ||||||||
(Cost: $44,941,940) | 63,321,349 | |||||||
|
| |||||||
Purchased Options (11) (0.0%) | ||||||||
(Cost: $2,709) |
| 3,230 | ||||||
|
| |||||||
Total Investments (99.4%) | ||||||||
(Cost: $74,178,702) |
| 92,612,526 | ||||||
Excess Of Other Assets Over Liabilities (0.6%) |
| 577,659 | ||||||
|
| |||||||
Total Net Assets (100.0%) |
| $ | 93,190,185 | |||||
|
|
Purchased Options — OTC | ||||||||||||||||||||||||||||||||||||
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid by Fund | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||||
Currency Options | ||||||||||||||||||||||||||||||||||||
USD Put / ZAR Call | BNP Paribas S.A. | ZAR | $ | 16 | 1/6/21 | 300,000 | $ | 300,000 | $ | 3,230 | $ | 2,709 | $ | 521 | ||||||||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
35
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (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. |
GDR | Global Depositary Receipt. A negotiable certificate held in the bank of one country representing a specific number of shares of a stock traded on an exchange of another country. |
EUR | Euro Currency. |
USD | U.S. 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 October 31, 2020, the value of these securities amounted to $13,827,126 or 14.8% of net assets. These securities are determined to be liquid by the Fund’s investment advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(2) | Investments issued under Regulation S of the Securities Act of 1933, as amended, may not be offered, sold, or delivered within the United States except under special exemptions. At October 31, 2020, the value of these securities amounted to $8,559,699 or 9.2% of net assets. |
(3) | Floating or variable rate security. The interest shown reflects the rate in effect at October 31, 2020. |
(4) | Perpetual maturity. |
(5) | Security is not accruing interest. |
(6) | Security is currently in default due to bankruptcy or failure to make payment of principal or interest of the issuer. Income is not being accrued. |
(7) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(8) | This security is purchased on a when-issued, delayed-delivery or forward commitment basis. |
(9) | For fair value measurement disclosure purposes, security is categorized as Level 3. Security is valued using significant unobservable inputs. |
(10) | Non-income producing security. |
(11) | See options table for description of purchased options. |
See accompanying Notes to Financial Statements.
36
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Investments by Sector | October 31, 2020 |
Sector | Percentage of Net Assets | |||
Agriculture | 0.6 | % | ||
Apparel | 1.2 | |||
Banks | 2.5 | |||
Biotechnology | 1.0 | |||
Building Materials | 0.2 | |||
Chemicals | 0.8 | |||
Commercial Services | 4.9 | |||
Computers | 0.5 | |||
Cosmetics/Personal Care | 0.9 | |||
Diversified Financial Services | 3.4 | |||
Electric | 1.7 | |||
Electrical Components & Equipment | 0.6 | |||
Electronics | 0.5 | |||
Engineering & Construction | 0.8 | |||
Food | 1.5 | |||
Foreign Government Bonds | 18.8 | |||
Healthcare-Products | 0.8 | |||
Healthcare-Services | 4.5 | |||
Insurance | 0.2 | |||
Internet | 23.4 | |||
Iron & Steel | 0.4 | |||
Lodging | 1.4 | |||
Media | 0.5 | |||
Mining | 1.3 | |||
Oil & Gas | 4.9 | |||
Pharmaceuticals | 2.3 | |||
Pipelines | 0.2 | |||
Real Estate | 1.6 | |||
Retail | 5.0 | |||
Semiconductors | 8.2 | |||
Software | 1.1 | |||
Telecommunications | 2.2 | |||
Transportation | 1.5 | |||
|
| |||
Total | 99.4 | % | ||
|
|
See accompanying Notes to Financial Statements.
37
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Investments by Country | October 31, 2020 |
Country | Percentage of Net Assets | |||
Angola | 0.4 | % | ||
Argentina | 2.2 | |||
Bahrain | 1.0 | |||
Brazil | 7.8 | |||
Chile | 1.1 | |||
China | 35.7 | |||
Colombia | 1.0 | |||
Costa Rica | 0.4 | |||
Dominican Republic | 1.2 | |||
Ecuador | 0.5 | |||
Egypt | 2.3 | |||
El Salvador | 0.1 | |||
France | 1.2 | |||
Ghana | 0.8 | |||
Hungary | 0.9 | |||
India | 5.1 | |||
Indonesia | 2.2 | |||
Iraq | 0.2 | |||
Israel | 0.8 | |||
Ivory Coast | 0.2 | |||
Jersey | 0.2 | |||
Kazakhstan | 0.7 | |||
Kenya | 0.3 | |||
Kuwait | 0.2 | |||
Lebanon | 0.1 | |||
Malaysia | 0.3 | |||
Mexico | 2.1 | |||
Netherlands | 0.2 | |||
Nigeria | 0.8 | |||
Oman | 0.6 | |||
Pakistan | 0.2 | |||
Panama | 1.5 | |||
Paraguay | 0.3 | |||
Peru | 0.8 | |||
Poland | 0.4 | |||
Qatar | 1.1 | |||
Romania | 0.7 | |||
Russia | 1.9 | |||
Saudi Arabia | 1.5 | |||
Senegal | 0.3 | |||
Singapore | 0.7 | |||
South Africa | 1.8 | |||
South Korea | 2.6 | |||
Taiwan | 9.4 | |||
Thailand | 0.2 | |||
Turkey | 0.6 | |||
Ukraine | 1.1 | |||
United Arab Emirates | 1.4 | |||
United Kingdom | 0.6 | |||
United States | 1.1 | |||
Uruguay | 0.5 | |||
Venezuela | 0.1 | |||
|
| |||
Total | 99.4 | % | ||
|
|
See accompanying Notes to Financial Statements.
38
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Fair Valuation Summary | October 31, 2020 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 2020 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Banks | $ | — | $ | 1,326,445 | $ | — | $ | 1,326,445 | ||||||||
Building Materials | — | 221,080 | — | 221,080 | ||||||||||||
Chemicals | — | 218,250 | — | 218,250 | ||||||||||||
Commercial Services | — | 622,920 | — | 622,920 | ||||||||||||
Electric | — | 1,586,585 | — | 1,586,585 | ||||||||||||
Engineering & Construction | — | 283,406 | — | 283,406 | ||||||||||||
Foreign Government Bonds | — | 17,401,108 | 123,673 | 17,524,781 | ||||||||||||
Insurance | — | 204,980 | — | 204,980 | ||||||||||||
Internet | — | 815,045 | — | 815,045 | ||||||||||||
Iron & Steel | — | 371,730 | — | 371,730 | ||||||||||||
Mining | — | 1,244,348 | — | 1,244,348 | ||||||||||||
Oil & Gas | — | 3,331,883 | — | 3,331,883 | ||||||||||||
Pipelines | — | 199,860 | — | 199,860 | ||||||||||||
Real Estate | — | 538,960 | — | 538,960 | ||||||||||||
Telecommunications | — | 412,713 | — | 412,713 | ||||||||||||
Transportation | — | 384,961 | — | 384,961 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 29,164,274 | 123,673 | 29,287,947 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Common Stock | ||||||||||||||||
Agriculture | — | 546,334 | — | 546,334 | ||||||||||||
Apparel | — | 1,117,511 | — | 1,117,511 | ||||||||||||
Banks | — | 1,008,975 | — | 1,008,975 | ||||||||||||
Biotechnology | — | 897,988 | — | 897,988 | ||||||||||||
Chemicals | — | 496,052 | — | 496,052 | ||||||||||||
Commercial Services | 3,376,728 | 558,345 | — | 3,935,073 | ||||||||||||
Computers | — | 471,123 | — | 471,123 | ||||||||||||
Cosmetics/Personal Care | — | 834,688 | — | 834,688 | ||||||||||||
Diversified Financial Services | — | 3,177,857 | — | 3,177,857 | ||||||||||||
Electrical Components & Equipment | — | 511,668 | — | 511,668 | ||||||||||||
Electronics | — | 471,951 | — | 471,951 | ||||||||||||
Engineering & Construction | — | 486,544 | — | 486,544 | ||||||||||||
Food | 408,467 | 936,984 | — | 1,345,451 | ||||||||||||
Healthcare-Products | — | 740,940 | — | 740,940 | ||||||||||||
Healthcare-Services | 632,870 | 3,596,368 | — | 4,229,238 | ||||||||||||
Internet | 11,361,110 | 9,669,995 | — | 21,031,105 | ||||||||||||
Lodging | — | 1,321,310 | — | 1,321,310 | ||||||||||||
Media | — | 494,520 | — | 494,520 | ||||||||||||
Oil & Gas | — | 1,229,925 | — | 1,229,925 | ||||||||||||
Pharmaceuticals | 542,324 | 1,608,649 | — | 2,150,973 | ||||||||||||
Real Estate | 111,136 | 872,270 | — | 983,406 | ||||||||||||
Retail | 3,111,773 | 1,549,031 | — | 4,660,804 | ||||||||||||
Semiconductors | 681,145 | 6,920,333 | — | 7,601,478 | ||||||||||||
Software | 1,006,960 | — | — | 1,006,960 | ||||||||||||
Telecommunications | 1,584,179 | — | — | 1,584,179 | ||||||||||||
Transportation | — | 985,296 | — | 985,296 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 22,816,692 | 40,504,657 | — | 63,321,349 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Currency Options | — | 3,230 | — | 3,230 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 22,816,692 | $ | 69,672,161 | $ | 123,673 | $ | 92,612,526 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
39
Table of Contents
TCW Funds, Inc.
Statements of Assets and Liabilities | October 31, 2020 |
TCW Developing Markets Equity Fund | TCW Emerging Markets Income Fund | TCW Emerging Markets Local Currency Income Fund | TCW Emerging Markets Multi-Asset Opportunities Fund | |||||||||||||
ASSETS |
| |||||||||||||||
Investments, at Value (1) | $ | 6,228,521 | $ | 6,716,105,079 | $ | 214,060,373 | $ | 92,612,526 | ||||||||
Foreign Currency, at Value (2) | 83 | 4 | 431 | 37 | ||||||||||||
Receivable for Securities Sold | — | 12,477,636 | 1,424,127 | 737,089 | ||||||||||||
Receivable for Fund Shares Sold | — | 10,044,411 | 311,480 | 25,010 | ||||||||||||
Interest and Dividends Receivable | 1,480 | 77,862,986 | 3,647,472 | 395,355 | ||||||||||||
Foreign Tax Reclaims Receivable | 256 | — | — | 3,008 | ||||||||||||
Receivable from Investment Advisor | 9,095 | — | 5,145 | 7,797 | ||||||||||||
Unrealized Appreciation on Open Forward Foreign Currency Contracts | — | — | 391,981 | — | ||||||||||||
Cash Collateral Held for Brokers | — | — | 540,000 | — | ||||||||||||
Prepaid Expenses | 14,353 | 189,925 | 33,801 | 14,125 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 6,253,788 | 6,816,680,041 | 220,414,810 | 93,794,947 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES |
| |||||||||||||||
Distributions Payable | — | 25,129,186 | — | — | ||||||||||||
Payable for Securities Purchased | 31,258 | 101,897,367 | 39,958 | 175,477 | ||||||||||||
Payable for Purchase of When-Issued Securities | — | 46,940,000 | — | 200,000 | ||||||||||||
Payable for Fund Shares Redeemed | 1,408 | 9,332,280 | 881,226 | 44,323 | ||||||||||||
Accrued Capital Gain Withholding Taxes | — | — | 154,922 | 7,515 | ||||||||||||
Disbursements in Excess of Available Cash | — | — | — | 16,181 | ||||||||||||
Accrued Directors’ Fees and Expenses | 1,000 | 1,000 | 1,000 | 1,000 | ||||||||||||
Deferred Accrued Directors’ Fees and Expenses | 1,250 | 1,250 | 1,250 | 1,250 | ||||||||||||
Accrued Management Fees | 4,198 | 4,284,444 | 142,288 | 72,856 | ||||||||||||
Accrued Distribution Fees | 396 | 56,770 | 5,431 | 2,019 | ||||||||||||
Unrealized Depreciation on Open Forward Foreign Currency Contracts | — | — | 1,066,054 | — | ||||||||||||
Transfer Agent Fees Payable | 3,088 | 101,865 | 4,514 | 3,550 | ||||||||||||
Administration Fee Payable | 3,618 | 153,195 | 9,537 | 6,066 | ||||||||||||
Audit Fees Payable | 18,000 | 33,180 | 23,628 | 26,892 | ||||||||||||
Accounting Fees Payable | 641 | 93,449 | 4,913 | 1,834 | ||||||||||||
Custodian Fees Payable | 11,341 | 86,389 | 54,839 | 34,409 | ||||||||||||
Other Accrued Expenses | 2,730 | 595,649 | 16,481 | 11,390 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 78,928 | 188,706,024 | 2,406,041 | 604,762 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 6,174,860 | $ | 6,627,974,017 | $ | 218,008,769 | $ | 93,190,185 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
40
Table of Contents
TCW Funds, Inc.
Statements of Assets and Liabilities (Continued) | October 31, 2020 |
TCW Developing Markets Equity Fund | TCW Emerging Markets Income Fund | TCW Emerging Markets Local Currency Income Fund | TCW Emerging Markets Multi-Asset Opportunities Fund | |||||||||||||
NET ASSETS CONSIST OF: |
| |||||||||||||||
Paid-in Capital | $ | 5,160,865 | $ | 7,582,224,887 | $ | 253,345,218 | $ | 85,762,234 | ||||||||
Accumulated Earnings (Loss) | 1,013,995 | (954,250,870 | ) | (35,336,449 | ) | 7,427,951 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 6,174,860 | $ | 6,627,974,017 | $ | 218,008,769 | $ | 93,190,185 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS ATTRIBUTABLE TO: |
| |||||||||||||||
I Class Share | $ | 4,313,891 | $ | 5,877,348,083 | $ | 192,679,387 | $ | 84,386,791 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | $ | 1,860,969 | $ | 261,519,814 | $ | 25,329,382 | $ | 8,803,394 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Plan Class Share | $ | — | $ | 489,106,120 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL SHARES OUTSTANDING: (3) |
| |||||||||||||||
I Class Share | 363,883 | 740,831,167 | 22,491,165 | 6,977,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | 157,013 | 25,559,400 | 2,963,673 | 732,707 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Plan Class Share | — | 61,708,937 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSET VALUE PER SHARE: (4) |
| |||||||||||||||
I Class Share | $ | 11.86 | $ | 7.93 | $ | 8.57 | $ | 12.09 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | $ | 11.85 | $ | 10.23 | $ | 8.55 | $ | 12.01 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Plan Class Share | $ | — | $ | 7.93 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
(1) | The identified cost for the TCW Developing Markets Equity Fund, the TCW Emerging Markets Income Fund, the TCW Emerging Markets Local Currency Income Fund and the TCW Emerging Markets Multi-Asset Opportunities Fund at October 31, 2020 was $4,470,838, $6,684,600,147, $218,500,802 and $74,178,702, respectively. |
(2) | The identified cost for the TCW Developing Markets Equity Fund, the TCW Emerging Markets Income Fund, the TCW Emerging Markets Local Currency Income Fund and the TCW Emerging Markets Multi-Asset Opportunities Fund at October 31, 2020 was $83, $5, $437 and $38, respectively. |
(3) | The number of authorized shares, with a par value of $0.001 per share is 4,000,000,000 for each of the I Class, N Class and Plan Class shares. |
(4) | Represents offering price and redemption price per share. |
See accompanying Notes to Financial Statements.
41
Table of Contents
TCW Funds, Inc.
Statements of Operations | Year Ended October 31, 2020 |
TCW Developing Markets Equity Fund | TCW Emerging Markets Income Fund | TCW Emerging Markets Local Currency Income Fund | TCW Emerging Markets Multi-Asset Opportunities Fund | |||||||||||||
INVESTMENT INCOME | ||||||||||||||||
Income: | ||||||||||||||||
Dividends Interest | $
| 77,276 — | (1)
| $
| — 362,142,838 | (2) | $
| — 13,523,060 | (2) | $
| 843,219 1,948,169 | (1) (2) | ||||
|
|
|
|
|
|
|
| |||||||||
Total | 77,276 | 362,142,838 | 13,523,060 | 2,791,388 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Management Fees | 44,050 | 46,837,964 | 1,764,693 | 835,450 | ||||||||||||
Accounting Services Fees | 3,241 | 411,548 | 22,197 | 8,996 | ||||||||||||
Administration Fees | 14,015 | 691,332 | 41,963 | 25,328 | ||||||||||||
Transfer Agent Fees: | ||||||||||||||||
I Class | 5,467 | 3,569,433 | 98,278 | 56,727 | ||||||||||||
N Class | 6,105 | 271,947 | 30,544 | 14,535 | ||||||||||||
Plan Class | — | 1,608 | — | — | ||||||||||||
Custodian Fees | 50,797 | 256,105 | 171,118 | 120,864 | ||||||||||||
Professional Fees | 25,578 | 130,509 | 40,799 | 40,607 | ||||||||||||
Directors’ Fees and Expenses | 40,697 | 40,697 | 40,697 | 40,697 | ||||||||||||
Registration Fees: | ||||||||||||||||
I Class | 17,921 | 234,911 | 39,320 | 22,597 | ||||||||||||
N Class | 17,921 | 32,420 | 22,051 | 18,554 | ||||||||||||
Plan Class | — | 9,660 | — | — | ||||||||||||
Distribution Fees: | ||||||||||||||||
N Class | 4,090 | 736,896 | 65,501 | 24,508 | ||||||||||||
Shareholder Reporting Expense | 1,525 | 14,444 | 5,066 | 5,216 | ||||||||||||
Tax Agent Fees | 3,105 | — | — | — | ||||||||||||
Other | 7,309 | 798,908 | 31,774 | 22,866 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | 241,821 | 54,038,382 | 2,374,001 | 1,236,945 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||||||
I Class | 108,938 | — | 241,979 | 230,382 | ||||||||||||
N Class | 64,185 | 497,497 | 118,971 | 58,701 | ||||||||||||
Plan Class | — | 10,361 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Expenses | 68,698 | 53,530,524 | 2,013,051 | 947,862 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Investment Income | 8,578 | 308,612,314 | 11,510,009 | 1,843,526 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||
Investments | 57,911 | (323,301,517 | ) | (10,759,593 | ) (3) | (2,308,466 | ) | |||||||||
Foreign Currency | (12,988 | ) | (1,413,734 | ) | (918,911 | ) | (174,337 | ) | ||||||||
Foreign Currency Forward Contracts | — | (3,022,426 | ) | (1,553,883 | ) | (23,698 | ) | |||||||||
Futures Contracts | — | (11,361,569 | ) | (141,330 | ) | (84,178 | ) | |||||||||
Swap Agreements | — | 905,885 | — | 4,546 | ||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||
Investments | 918,571 | (113,922,732 | ) | (14,038,796 | ) (4) | 9,147,491 | (4) | |||||||||
Foreign Currency | (906 | ) | (41,405 | ) | 5,194 | (2,744 | ) | |||||||||
Foreign Currency Forward Contracts | — | 752,445 | (789,578 | ) | 6,114 | |||||||||||
Futures contracts | — | 7,791,812 | 47,462 | 58,672 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized and Unrealized Gain (Loss) on Investments and Foreign Currency Transactions | 962,588 | (443,613,241 | ) | (28,149,435 | ) | 6,623,400 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 971,166 | $ | (135,000,927 | ) | $ | (16,639,426 | ) | $ | 8,466,926 | ||||||
|
|
|
|
|
|
|
|
(1) | Net of foreign taxes withheld of $9,200 and $98,579 for the TCW Developing Markets Equity Fund and the TCW Emerging Markets Multi-Asset Opportunities Fund, respectively. |
(2) | Net of foreign taxes withheld of $218,198, $469,361 and $3,193 for the TCW Emerging Markets Income Fund, the TCW Emerging Markets Local Currency Income Fund and the TCW Emerging Markets Multi-Asset Opportunities Fund, respectively. |
(3) | Net of capital gain withholding taxes of $141,783 for the TCW Emerging Markets Local Currency Income Fund. |
(4) | Net of capital gain withholding taxes of $140,312 and $7,515 for the TCW Emerging Markets Local Currency Income Fund and the TCW Emerging Markets Multi-Asset Opportunities Fund, respectively. |
See accompanying Notes to Financial Statements.
42
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Developing Markets Equity Fund | TCW Emerging Markets Income Fund | |||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 8,578 | $ | 54,866 | $ | 308,612,314 | $ | 305,438,324 | ||||||||
Net Realized Gain (Loss) on Investments, Futures Contracts, Swap Contracts and Foreign Currency Transactions | 44,923 | (243,402 | ) | (338,193,361 | ) | 92,769,291 | ||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments, Futures Contracts and Foreign Currency Transactions | 917,665 | 630,185 | (105,419,880 | ) | 262,677,511 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | 971,166 | 441,649 | (135,000,927 | ) | 660,885,126 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions to Shareholders | (48,424 | ) | (22,279 | ) | (264,163,379 | ) | (294,091,267 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS |
| |||||||||||||||
I Class | (411,831 | ) | 18,051 | 573,962,838 | 958,795,098 | |||||||||||
N Class | 17,677 | (8,759 | ) | (41,759,889 | ) | (44,660,906 | ) | |||||||||
Plan Class | — | — | 505,891,393 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | (394,154 | ) | 9,292 | 1,038,094,342 | 914,134,192 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets | 528,588 | 428,662 | 638,930,036 | 1,280,928,051 | ||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of year | 5,646,272 | 5,217,610 | 5,989,043,981 | 4,708,115,930 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of year | $ | 6,174,860 | $ | 5,646,272 | $ | 6,627,974,017 | $ | 5,989,043,981 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
43
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Emerging Markets Local Currency Income Fund | TCW Emerging Markets Multi-Asset Opportunities Fund | |||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 11,510,009 | $ | 17,242,572 | $ | 1,843,526 | $ | 3,468,836 | ||||||||
Net Realized Loss on Investments, Futures Contracts, Swap Contracts and Foreign Currency Transactions | (13,373,717 | ) | (12,366,552 | ) | (2,586,133 | ) | (1,979,448 | ) | ||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments, Futures Contracts and Foreign Currency Transactions | (14,775,718 | ) | 31,798,565 | 9,209,533 | 9,215,141 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | (16,639,426 | ) | 36,674,585 | 8,466,926 | 10,704,529 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions to Shareholders | (2,682,634 | ) | (4,590,289 | ) | (3,149,794 | ) | (1,629,446 | ) | ||||||||
Return of Capital | (1,042,577 | ) | — | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (3,725,211 | ) | (4,590,289 | ) | (3,149,794 | ) | (1,629,446 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS |
| |||||||||||||||
I Class | (9,987,358 | ) | (70,994,380 | ) | (8,000,705 | ) | 40,611,403 | |||||||||
N Class | (618,188 | ) | (24,528,678 | ) | (3,340,090 | ) | (68,487,345 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Decrease in Net Assets Resulting from Net Capital Shares Transactions | (10,605,546 | ) | (95,523,058 | ) | (11,340,795 | ) | (27,875,942 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Decrease in Net Assets | (30,970,183 | ) | (63,438,762 | ) | (6,023,663 | ) | (18,800,859 | ) | ||||||||
NET ASSETS |
| |||||||||||||||
Beginning of year | 248,978,952 | 312,417,714 | 99,213,848 | 118,014,707 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of year | $ | 218,008,769 | $ | 248,978,952 | $ | 93,190,185 | $ | 99,213,848 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
44
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements | October 31, 2020 |
Note 1 — Organization
TCW Funds, Inc., a Maryland corporation (the “Company”), is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”), that currently offers 18 no-load mutual funds (each series, a “Fund” and collectively, the “Funds”). TCW Investment Management Company LLC (the “Advisor”) is the investment advisor to and an affiliate of the Funds and is registered under the Investment Advisers Act of 1940, as amended. Each Fund has its own investment objectives and strategies. The following is a brief description of the investment objectives and principal investment strategies for the Funds that are covered in this report:
TCW Fund | Investment Objectives and Principal Investment Strategies | |
Diversified Fixed Income Fund | ||
TCW Emerging Markets Income Fund | Seeks high total return from current income and capital appreciation by investing at least 80% of the value of its net assets, plus any borrowings for investment purposes, in debt securities issued or guaranteed by companies, financial institutions and government entities in emerging market countries. The Fund generally invests in at least four Emerging Market Countries. | |
Non-Diversified Fixed Income Fund | ||
TCW Emerging Markets Local Currency Income Fund | Seeks to provide high total return from current income and capital appreciation through investment in debt securities denominated in the local currencies of various emerging market countries; invests at least 80% of the value of its net assets, plus any borrowings for investment purposes, in debt securities issued or guaranteed by non-financial companies, financial institutions and government entities in emerging market countries denominated in the local currencies of an issuer and in derivative instruments that provide investment exposure to such securities. | |
Diversified International Equity Fund | ||
TCW Developing Markets Equity Fund | Seeks long-term capital appreciation by investing at least 80% of the value of its net assets, plus any borrowings for investment purposes, in equity securities issued by companies and financial institutions domiciled or with primary business operations in, or with the majority of their net assets in or revenues or net income deriving from, developing market countries. The Fund may invest up to 20% of its net assets, plus any borrowings for investment purposes, in derivative instruments. | |
Diversified Balanced Fund | ||
TCW Emerging Markets Multi-Asset Opportunities Fund | Seeks current income and long-term capital appreciation by investing at least 80% of the value of its net assets, plus any borrowings for investment purposes, in debt and equity securities issued or guaranteed by companies, financial institutions and government entities in emerging market countries. |
45
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 1 — Organization (Continued)
All of the Funds currently offer two classes of shares: Class I shares and Class N shares, except for the TCW Emerging Markets Income Fund, which also offers Plan Class shares. The three classes are substantially the same except that the Class N shares are subject to a distribution fee (see Note 7).
Note 2 — Significant Accounting Policies
The following is a summary of significant accounting policies, which are in conformity with accounting principles generally accepted in the United States of America (“GAAP”) and which are consistently followed by the Funds in the preparation of their financial statements. Each Fund is considered an investment company under the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) No. 946, Financial Services — Investment Companies. Subsequent events, if any, have been evaluated through the date of issuance in the preparation of the financial statements.
Principles of Accounting: The Funds use the accrual method of accounting for financial reporting purposes.
Net Asset Value: The net asset value (“NAV”) per share of each class of a Fund is determined by dividing the Fund’s net assets attributable to each class by the number of shares issued and outstanding of that class on each day the New York Stock Exchange (“NYSE”) is open for trading.
Security Valuations: Securities listed or traded on the NYSE and other stock exchanges are valued at the latest sale price on that exchange. Securities traded on the NASDAQ stock market (“NASDAQ”) are valued using official closing prices as reported by NASDAQ. Investments in open-end mutual funds including money market funds are valued based on the NAV per share as reported by the investment companies. All other securities traded over-the-counter (“OTC”) for which market quotations are readily available, including short-term securities, are valued with prices furnished by independent pricing services or by broker dealers.
The Company has adopted, after the approval by the Company’s Board of Directors (the “Board,” and each member thereof, a “Director”), a fair valuation methodology for foreign equity securities (exclusive of certain Latin American and Canadian equity securities). This methodology is designed to address the effect of movements in the U.S. market on the securities traded on foreign exchanges that have been closed for a period of time due to time zones differences. The utilization of the fair value model may result in the adjustment of prices taking into account fluctuations in the U.S. market. The fair value model is utilized each trading day and not dependent on certain thresholds or triggers.
Securities for which market quotations are not readily available, including in circumstances under which it is determined by the Advisor that prices received are not reflective of their market values, are valued by the Advisor’s Pricing Committee in accordance with the guidelines established by the Valuation Committee of the Company’s Board of Directors (the “Board,” and each member thereof, a “Director”) and under the general oversight of the Board.
Fair value is defined as the price that a Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market for the investment. In 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
46
Table of Contents
TCW Funds, Inc.
October 31, 2020 |
Note 2 — Significant Accounting Policies (Continued)
liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the inputs market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
Level 1 — | quoted prices in active markets for identical investments. | |
Level 2 — | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.). | |
Level 3 — | significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments). |
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy. The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement.
Fair Value Measurements: Descriptions of the valuation techniques applied to the Funds’ major categories of assets and liabilities measured at fair value on a recurring basis are as follows:
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
47
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
generally categorized in Level 2 of the fair value hierarchy; if a discount is applied and significant, they are categorized in Level 3. Restricted securities held in non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and therefore the inputs are unobservable. Certain foreign securities that are fair valued using a pricing service that considers the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets are categorized in Level 2 of the fair value hierarchy.
Foreign currency contracts. The fair value of foreign currency contracts is derived from indices, reference rates, and other inputs or a combination of these factors. To the extent that these factors can be observed, foreign currency contracts are categorized in Level 2 of the fair value hierarchy.
Money market funds. Money market funds are open-end mutual funds that invest in short-term debt securities. To the extent that these funds are valued based upon the reported NAV, they are categorized in Level 1 of the fair value hierarchy.
Options contracts. Options contracts traded on securities exchanges are fair valued using market mid prices; as such, they are categorized in Level 1. Option contracts traded OTC are fair valued based on pricing models and incorporate various inputs such as interest rates, credit spreads, currency exchange rates and volatility measurements for in-the-money, at-the-money, and out-of-money contracts on a given strike price. To the extent that these inputs are observable and timely, the fair value of OTC option contracts would be categorized in Level 2; otherwise, the fair values would be categorized in Level 3.
Restricted securities. Restricted securities, including illiquid Rule 144A securities, held in non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and therefore the inputs are unobservable. Any other restricted securities valued similar to publicly traded securities may be categorized in Level 2 or 3 of the fair value hierarchy depending on whether a discount is applied and significant to the fair value.
Short-term investments. Short-term investments are valued using market price quotations and are reflected in Level 2 of the fair value hierarchy.
U.S. and foreign government and agency securities. Government and agency securities are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. Accordingly, U.S. and foreign government and agency securities are normally categorized in Level 1 or 2 of the fair value hierarchy depending on the liquidity and transparency of the market.
The summary of the inputs used as of October 31, 2020 is listed after the Schedule of Investments for each Fund.
48
Table of Contents
TCW Funds, Inc.
October 31, 2020 |
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, 2019 | $ | 17,856,321 | $ | 140,385 | ||||
Accrued Discounts (Premiums) | — | — | ||||||
Realized Gain (Loss) | — | — | ||||||
Net Change in Unrealized Appreciation (Depreciation) | (2,125,752 | ) | (16,712 | ) | ||||
Purchases | — | — | ||||||
Sales | — | — | ||||||
Transfers in to Level 3 | — | — | ||||||
Transfers out of Level 3 | — | — | ||||||
|
|
|
| |||||
Balance as of October 31, 2020 | $ | 15,730,569 | $ | 123,673 | ||||
|
|
|
| |||||
Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held at October 31, 2020 | (2,125,752 | ) | $ | (16,712 | ) | |||
|
|
|
|
Significant unobservable valuations inputs for Level 3 investments as of October 31, 2020 are as follows:
Description | Fair Value at 10/31/20 | Valuation Techniques | Unobservable | Price or Price | Average | |||||||
TCW Emerging Markets Income Fund | ||||||||||||
Government Issues | $ | 15,730,569 | Third-party Vendor | Vendor Prices | $9.250 | $9.250 | ||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | ||||||||||||
Government Issues | $ | 123,673 | Third-party Vendor | Vendor Prices | $9.250 | $9.250 |
Security Transactions and Related Investment Income: Security transactions are recorded as of the trade date. Dividend income is recorded on the ex-dividend date. Interest income is recognized on an accrual basis. Realized gains and losses on investments are recorded on the basis of specific identification.
Allocation of Operating Activity for Multiple Classes: Investment income, common expenses and realized and unrealized gains and losses are allocated among the share classes of the Funds based on the relative net assets of each class. Distribution fees, which are directly attributable to a class of shares, are charged to the operations of that class. All other expenses are charged to each Fund or class as incurred on a specific identification basis. Differences in class- specific fees and expenses will result in differences in net investment income, and in turn differences in dividends paid by each class.
Dividends and Distributions: Dividends and distributions to shareholders are recorded on the ex-dividend date. The TCW Emerging Markets Income Fund and the TCW Emerging Markets Local Currency Income Fund declare and pay, or reinvest, dividends from net investment income monthly. The other International Funds declare and pay, or reinvest, dividends from net investment income annually. Capital gains realized by a Fund will be distributed at least annually.
Income and capital gain distributions are determined in accordance with income tax regulations which may differ from GAAP. These differences are primarily due to differing treatments for foreign currency transactions, derivative transactions, market discount and premium, losses deferred due to wash sales, excise tax regulations and employing equalization in determining amounts to be distributed to Fund shareholders. Permanent book and tax basis differences relating to shareholder distributions will result in
49
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
reclassifications between paid-in capital, undistributed net investment income (loss), and/or undistributed accumulated realized gain (loss). Undistributed net investment income or loss may include temporary book and tax basis differences which will reverse in subsequent periods. Any taxable income or capital gain remaining at fiscal year-end is distributed in the following year.
Use of Estimates: The preparation of the accompanying financial statements requires management to make estimates and assumptions that affect the reported amount of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from these estimates.
Foreign Currency Translation: The books and records of each Fund are maintained in U.S. dollars as follows: (1) 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.
50
Table of Contents
TCW Funds, Inc.
October 31, 2020 |
Note 2 — Significant Accounting Policies (Continued)
For the year ended October 31, 2020, the following Funds had derivatives and transactions in derivatives, grouped in the following risk categories:
TCW Emerging Markets Income Fund
Credit Risk | Foreign Currency Risk | Interest Rate Risk | Total | |||||||||||||
Statement of Assets and Liabilities | ||||||||||||||||
Asset Derivatives |
| |||||||||||||||
Investments | $ | — | $ | 721,766 | $ | — | $ | 721,766 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | — | $ | 721,766 | $ | — | $ | 721,766 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Statement of Operations: | ||||||||||||||||
Net Realized Gain (Loss) |
| |||||||||||||||
Forward Contracts | $ | — | $ | (3,022,426 | ) | $ | — | $ | (3,022,426 | ) | ||||||
Futures Contracts | — | — | (11,361,569 | ) | (11,361,569 | ) | ||||||||||
Investments | — | (1,956,875 | ) | — | (1,956,875 | ) | ||||||||||
Swap Agreements | 905,885 | — | — | 905,885 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized Gain (Loss) | $ | 905,885 | $ | (4,979,301 | ) | $ | (11,361,569 | ) | $ | (15,434,985 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Net Change in Appreciation (Depreciation) |
| |||||||||||||||
Forward Contracts | $ | — | $ | 752,445 | $ | — | $ | 752,445 | ||||||||
Futures Contracts | — | — | 7,791,812 | 7,791,812 | ||||||||||||
Investments | — | 116,440 | — | 116,440 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Change in Appreciation (Depreciation) | $ | — | $ | 868,885 | $ | 7,791,812 | $ | 8,660,697 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Number of Contracts, Notional Amounts or Shares/Units | ||||||||||||||||
Forward Currency Contracts | $ — | $232,790,268 | $ — | $232,790,268 | ||||||||||||
Options Purchased | $ — | $162,071,250 | $ — | $162,071,250 | ||||||||||||
Futures Contracts | — | — | 637 | 637 | ||||||||||||
Swap Agreements | $125,005,539 | $ — | $ — | $125,005,539 |
TCW Emerging Markets Local Currency Income Fund
|
| |||||||||||||||
Credit Risk | Foreign Currency Risk | Interest Rate Risk | Total | |||||||||||||
Statement of Assets and Liabilities | ||||||||||||||||
Asset Derivatives |
| |||||||||||||||
Investments | $ | — | $ | 47,644 | $ | — | $ | 47,644 | ||||||||
Forward Contracts | — | 391,981 | — | 391,981 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | — | $ | 439,625 | $ | — | $ | 439,625 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives |
| |||||||||||||||
Forward Contracts | $ | — | $ | (1,066,054 | ) | $ | — | $ | (1,066,054 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | — | $ | (1,066,054 | ) | $ | — | $ | (1,066,054 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Statement of Operations: | ||||||||||||||||
Net Realized Gain (Loss) |
| |||||||||||||||
Forward Contracts | $ | — | $ | (1,553,883 | ) | $ | — | $ | (1,553,883 | ) | ||||||
Futures Contracts | — | — | (141,330 | ) | (141,330 | ) | ||||||||||
Investments | — | (129,881 | ) | — | (129,881 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized Gain (Loss) | $ | — | $ | (1,683,764 | ) | $ | (141,330 | ) | $ | (1,825,094 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Net Change in Appreciation (Depreciation) |
| |||||||||||||||
Forward Contracts | $ | — | $ | (789,578 | ) | $ | — | $ | (789,578 | ) | ||||||
Futures Contracts | — | — | 47,462 | 47,462 | ||||||||||||
Investments | — | 7,686 | — | 7,686 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Change in Appreciation (Depreciation) | $ | — | $ | (781,892 | ) | $ | 47,462 | $ | (734,430 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Number of Contracts, Notional Amounts or Shares/Units | ||||||||||||||||
Forward Currency Contracts | $ — | $87,801,767 | $ — | $87,801,767 | ||||||||||||
Options Purchased | $ — | $9,847,500 | $ — | $9,847,500 |
51
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
TCW Emerging Markets Multi-Asset Opportunities Fund
Credit Risk | Foreign Currency Risk | Interest Rate Risk | Total | |||||||||||||
Statement of Assets and Liabilities | ||||||||||||||||
Asset Derivatives |
| |||||||||||||||
Investments | $ | — | $ | 3,230 | $ | — | $ | 3,230 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | — | $ | 3,230 | $ | — | $ | 3,230 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Statement of Operations: | ||||||||||||||||
Net Realized Gain (Loss) |
| |||||||||||||||
Forward Contracts | $ | — | $ | (23,698 | ) | $ | — | $ | (23,698 | ) | ||||||
Futures Contracts | — | — | (84,178 | ) | (84,178 | ) | ||||||||||
Investments | — | (10,757 | ) | — | (10,757 | ) | ||||||||||
Swap Agreements | 4,546 | — | — | 4,546 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized Gain (Loss) | $ | 4,546 | $ | (34,455 | ) | $ | (84,178 | ) | $ | (114,087 | ) | |||||
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|
|
|
|
|
|
| |||||||||
Net Change in Appreciation (Depreciation) |
| |||||||||||||||
Forward Contracts | $ | — | $ | 6,114 | $ | — | $ | 6,114 | ||||||||
Futures Contracts | — | — | 58,672 | 58,672 | ||||||||||||
Investments | — | 521 | — | 521 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Change in Appreciation (Depreciation) | $ | — | $ | 6,635 | $ | 58,672 | $ | $65,307 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Number of Contracts, Notional Amounts or Shares/Units | ||||||||||||||||
Forward Currency Contracts | $ — | $1,332,294 | $ — | $1,332,294 | ||||||||||||
Options Purchased | $ — | $873,750 | $ — | $873,750 | ||||||||||||
Futures Contracts | — | — | 5 | 5 | ||||||||||||
Swap Agreements | $625,926 | $ — | $ — | $625,926 |
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.
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
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Agreement, the Funds may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event a Fund’s net assets declines by a stated percentage or a Fund fails to meet the terms of its ISDA Master Agreements, which would cause the Fund to accelerate payment of any net liability
owed to the counterparty.
Collateral requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral pledged or received by a Fund.
Cash collateral that has been pledged to cover obligations of a Fund is reported separately on the Statement of Assets and Liabilities. Non-cash collateral pledged by a Fund, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold, typically $250,000 or $500,000, before a transfer is required, which is determined at the close of each business day and the collateral is transferred on the next business day. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. The Funds attempt to mitigate counterparty risk by entering into agreements only with counterparties that the Advisor believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities. The Funds have implemented the disclosure requirements pursuant to FASB Accounting Standards Update (“ASU”) No. 2013-11, Disclosures about Offsetting Assets and Liabilities that requires disclosures to make financial statements that are prepared under GAAP more comparable to those prepared under International Financial Reporting Standards.
Master Agreements and Netting Arrangements. Certain Funds are parties to various agreements, including but not limited to International Swaps and Derivatives Association Agreements and related Credit Support Annex, Master Repurchase Agreements, and Master Securities Forward Transactions Agreements (collectively “Master Agreements”), which govern the terms of certain transactions with select counterparties. These Master Agreements generally include provisions for general obligations, representations, agreements, collateral, and certain events of default or termination. These Master Agreements also include provisions for netting arrangements that help reduce credit and counterparty risk associated with relevant transactions (“netting arrangements”). The netting arrangements are generally tied to credit-related events that, if triggered, would cause an event of default or termination giving a Fund or counterparty the right to terminate early and cause settlement, on a net basis, of all transactions under the applicable Master Agreement. In the event of an early termination as a result of an event of default under the Master Agreement, the total value exposure of all transactions will be offset against collateral exchanged to date, which would result in a net receivable or payable that would be due from or to the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions
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on or prohibitions against the right of offset in the event of a bankruptcy or insolvency of the counterparty. Credit related events include, but are not limited to, bankruptcy, failure to make timely payments, restructuring, obligation acceleration, obligation default, a material decline in net assets, decline in credit rating or repudiation/moratorium. Any election made by a counterparty to early terminate the transactions under a Master Agreement could have a material adverse impact on a Fund’s financial statements. A Fund’s overall exposure to credit risk, subject to netting arrangements can change substantially within a short period, as it is affected by each transaction subject to the arrangement.
Master Agreements can also help limit counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under the Master Agreements, collateral is routinely transferred if the total net exposure to certain transactions under the relevant Master Agreement with a counterparty in a given Fund exceeds a specified threshold, net of collateral already in place, typically $250,000 or $500,000 depending on the counterparty and the type of Master Agreement. Collateral under the Master Agreements is usually in the form of cash or U.S. Treasury Bills but could include other types of securities. If permitted under the Master Agreement, certain funds may rehypothecate cash collateral received from a counterparty. The value of all derivative transactions outstanding under a Master Agreement is calculated daily to determine the amount of collateral to be received or pledged by the counterparty. Posting of collateral for OTC derivative transactions are covered under tri-party collateral agreements between the Fund, the Fund’s custodian, and each counterparty. Collateral for centrally cleared derivatives transactions are posted with the applicable derivatives clearing organization.
The following table presents the Funds’ OTC derivative assets and liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement and net of the related collateral received by the Funds as of October 31, 2020:
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) | |||||||||||||||
BNP Paribas S.A. | $ | 721,766 | $ | — | $ | 721,766 | $ | — | $ | 721,766 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 721,766 | $ | — | $ | 721,766 | $ | — | $ | 721,766 | ||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
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. | $ | 178,635 | $ | (277,538 | ) | $ | (98,903 | ) | $ | — | $ | (98,903 | ) | |||||||
Barclays Capital | 95,834 | (50,106 | ) | 45,728 | — | 45,728 | ||||||||||||||
BNP Paribas S.A. | 72,916 | (475,187 | ) | (402,271 | ) | 402,271 | (2) | — | ||||||||||||
Citibank N.A. | 20,388 | (47,455 | ) | (27,067 | ) | — | (27,067 | ) | ||||||||||||
Goldman Sachs & Co. | 12,692 | (8,038 | ) | 4,654 | — | 4,654 | ||||||||||||||
JP Morgan Chase Bank | 59,160 | (203,836 | ) | (144,676 | ) | — | (144,676 | ) | ||||||||||||
Standard Chartered Bank | — | (3,894 | ) | (3,894 | ) | — | (3,894 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 439,625 | $ | (1,066,054 | ) | $ | (626,429 | ) | $ | 402,271 | $ | (224,158 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
(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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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) | |||||||||||||||
BNP Paribas S.A. | $ | 3,230 | $ | — | $ | 3,230 | $ | — | $ | 3,230 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 3,230 | $ | — | $ | 3,230 | $ | — | $ | 3,230 | ||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
Note 3 — Portfolio Investments
When-Issued, Delayed-Delivery, and Forward Commitment Transactions: The Funds may enter into when-issued, delayed-delivery, or forward commitment transactions in order to lock in the purchase price of the underlying security or to adjust the interest rate exposure of each Fund’s existing portfolio. In when-issued, delayed-delivery, or forward commitment transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. Although the Fund does not pay for the securities or start earning interest on them until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If a Fund’s counterparty fails to deliver a security purchased on a when-issued, delayed-delivery, or forward commitment basis, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.
Prior to settlement of these transactions, the value of the subject securities will fluctuate with market conditions. In addition, because the Fund is not required to pay for when-issued, delayed-delivery, or forward commitment securities until the delivery date, they may result in a form of leverage to the extent the Fund does not set aside liquid assets to cover the commitment. To guard against this deemed leverage, the Fund monitors the obligations under these transactions on a daily basis and ensures that the Fund has sufficient liquid assets to cover them.
Repurchase Agreements: The Funds may enter into repurchase agreements, under the terms of a Master Repurchase Agreement (MRA). In a repurchase agreement, the Funds purchase a security from a counterparty who agrees to repurchase the same security at a mutually agreed upon date and price. The MRA permits 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 an MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, each Fund receives securities as collateral with a market value in excess of the repurchase price. Upon a bankruptcy or insolvency of the MRA counterparty, the Funds recognize a liability with respect to such excess collateral to reflect the Funds’ obligation under bankruptcy law to return the excess to the counterparty. There were no repurchase agreements outstanding as of October 31, 2020.
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
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Note 3 — Portfolio Investments (Continued)
agreement, inability to transfer or liquidate the notes, potential delays or an inability to redeem before maturity under certain market conditions, and limited legal recourse against the issuer of the underlying common stock. None of the Funds held participation notes as of October 31, 2020.
Security Lending: The Funds may lend their securities to qualified brokers. The loans must be collateralized at all times primarily with cash although the Funds can accept money market instruments or U.S. government securities with a market value at least equal to the market value of the securities on loan. As with any extensions of credit, the Funds may bear the risk of delay in recovery or even loss of rights in the collateral if the borrowers of the securities fail financially. The Funds earn additional income for lending their securities by investing the cash collateral in short-term investments. The Funds did not lend any securities during the year ended October 31, 2020.
Derivatives:
Forward Foreign Currency Contracts: The Funds enter into forward foreign currency contracts as a hedge against fluctuations in foreign exchange rates. Forward foreign currency contracts are marked-to market daily and the change in market value is recorded by the Funds as unrealized gains or losses in the Statement of Assets and Liabilities. When a contract is closed or delivery is taken, a Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of the foreign currency relative to the U.S. dollar. Outstanding foreign currency forward contracts at October 31, 2020 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 were no futures contracts outstanding at October 31, 2020.
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Options: The Funds may purchase and sell put and call options on a security or an index of securities to enhance investment performance and to protect against changes in market prices. The Funds may also enter into currency options to hedge against or to take advantage of currency fluctuations.
A call option gives the holder the right to purchase, and obligates the writer to sell, a security at the strike price at any time before the expiration date. A put option gives the holder the right to sell, and obligates the writer to buy, a security at the exercise price at any time before the expiration date. A Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. A Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If a Fund holds the security underlying the option, the option premium and any transaction costs will reduce any profit the Fund might have realized had it sold the underlying security instead of buying the put option. A Fund may purchase call options to hedge against an increase in the price of securities that the Fund ultimately wants to buy. A Fund may also purchase a call option as a long directional investment hoping to profit from an anticipated increase in the value of the underlying security. In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit a Fund might have realized had it bought the underlying security at the time it purchased the call option.
Purchasing foreign currency options gives a Fund the right, but not the obligation, to buy or sell specified amounts of currency at a rate of exchange that may be exercised by a certain date. These currency options may be used as a short or long hedge against possible variations in foreign exchange rates or to gain exposure to foreign currencies.
When a Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the underlying security does not rise (in the case of a call) or fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. Premiums paid for purchasing options that expired are treated as realized losses.
Options purchased or sold by a Fund may be traded on a securities or options exchange. Such options typically have minimal exposure to counterparty risk. However, an exchange or market may at times find it necessary to impose restrictions on particular types of options transactions, such as opening transactions. If an underlying security ceases to meet qualifications imposed by an exchange or the Options Clearing Corporation, new series of options on that security will no longer be opened to replace the expiring series, and opening transactions in existing series may be prohibited.
OTC options are options not traded on exchanges or backed by clearinghouses. Rather, they are entered into directly between a Fund and the counterparty to the option. In the case of an OTC option purchased by a Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result a Fund may be required to remain obligated on an unfavorable OTC option until its expiration.
During the year ended October 31, 2020, the TCW Emerging Markets Income Fund, the TCW Emerging Markets Local Currency Income Fund, and the TCW Emerging Markets Multi-Asset Opportunities Fund entered into options to hedge the currency exposure of the Funds.
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Note 3 — Portfolio Investments (Continued)
Swap Agreements: The Funds may enter into swap agreements. Swap agreements are typically two-party contracts entered into primarily by institutional investors. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments, which may be adjusted for an interest factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount” (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or in a “basket” of securities representing a particular index).
In a total return swap, one party typically agrees to pay to the other a short-term interest rate in return for a payment at one or more times in the future based on the increase in the value of an underlying security or other asset, or index of securities or assets; if the underlying security, asset, or index declines in value, the party that pays the short-term interest rate must also pay to its counterparty a payment based on the amount of the decline. A Fund may take either side of such a swap, and so may take a long or short position in the underlying security, asset, or index. A Fund may enter into a total return swap to hedge against an exposure in its portfolio — such as interest rate risk (including to adjust the duration or credit quality of a Fund’s bond portfolio), equity risk, or credit risk — or generally to put cash to work efficiently in the markets in anticipation of, or as a replacement for, cash investments. A Fund may also enter into a total return swap to gain exposure to securities or markets in which it might not be able to invest directly (in so-called market access transactions).
Interest rate swaps are agreements in which one party pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time. Alternatively, a party may pay a fixed rate and receive a floating rate. In more complex swaps, the notional principal amount may decline (or amortize) over time. A Fund’s maximum risk of loss due to counterparty default is the discounted NAV of the cash flows paid to/received from the counterparty over the interest rate swap’s remaining life.
A Fund may enter into credit default swap transactions as a “buyer” or “seller” of credit protection. In a credit default swap, one party provides what is in effect insurance against a default or other adverse credit event affecting an issuer of debt securities (typically referred to as a “reference entity”). In general, the buyer of credit protection is obligated to pay the protection seller an upfront amount or a periodic stream of payments over the term of the swap. If a “credit event” occurs, the buyer has the right to deliver to the seller bonds or other obligations of the reference entity (with a value up to the full notional value of the swap), and to receive a payment equal to the par value of the bonds or other obligations. Credit events that would trigger a request that the seller make payment are specific to each credit default swap agreement, but generally include bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium. When a Fund buys protection, it may or may not own securities of the reference 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
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Note 3 — Portfolio Investments (Continued)
the swap is written. When a Fund enters into any type of swap for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the swap, at least in part. Swap agreements may be non-transferable or otherwise highly illiquid, and a Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.
During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking-to-market to reflect the market value of the swap. When the swap is terminated, a Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from (or cost of) the closing transaction and the Fund’s basis in the agreement. Upfront swap premium payments paid or received by a Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gains or losses on each Fund’s Statement of Operations upon termination or maturity of the swap agreement.
During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security. These periodic payments received or made by the Funds are recorded as realized gains and losses, respectively. For the year ended October 31, 2020, none of the Funds had credit default swaps.
Note 4 — Risk Considerations
Market Risk: The Funds’ investments will fluctuate with market conditions, so will the value of your investment in the Funds. You could lose money on your investment in the Funds or the Funds could underperform other investments.
Liquidity Risk: The Funds’ investments in illiquid securities may reduce the returns of the Funds because they may not be able to sell the illiquid securities at an advantageous time or price. Investments in high-yield securities, foreign securities, derivatives or other securities with substantial market and/or credit risk tend to have the greatest exposure to liquidity risk. Certain investments in private placements and Rule 144A securities may be considered illiquid investments. The Funds may invest in private placements and Rule 144A securities.
Interest Rate Risk: The values of the Funds’ investments fluctuate in response to movements in interest rates. If rates rise, the values of debt securities generally fall. The longer the average duration of a Fund’s investment portfolio, the greater the change in value.
Investment Style Risk: Certain Funds may also be subject to investment style risk. The Advisor’s investment styles may be out of favor at times or may not produce the best results over short or longer time periods and may increase the volatility of a Fund’s share price.
LIBOR Risk: The London Interbank Offered Rate (“LIBOR”) historically has been and currently is used extensively in the U.S. and globally as a “benchmark” or “reference rate” for various commercial and financial contracts, including corporate and municipal bonds, bank loans, asset-backed and mortgage-related securities, interest rate swaps and other derivatives. For example, debt securities in which a Fund
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Note 4 — Risk Considerations (Continued)
invests may pay interest at floating rates based on LIBOR or may be subject to interest caps or floors based on LIBOR. A Fund’s derivative investments may also reference LIBOR. In July 2017, the head of the United Kingdom Financial Conduct Authority announced the intention to phase out the use of LIBOR by the end of 2021. There is currently no definitive information regarding the future utilization of LIBOR or of any particular replacement reference rate. Abandonment of or modifications to LIBOR could have adverse impacts on newly issued financial instruments and existing financial instruments that reference LIBOR. The expected discontinuation of LIBOR could have a significant impact on the financial markets and may present a material risk for certain market participants, including investment companies such as the Funds. Abandonment of or modifications to LIBOR could lead to significant short- and long-term uncertainty and market instability. The risks associated with this discontinuation and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. It remains uncertain how such changes would be implemented and the effects such changes would have on the Funds, issuers of instruments in which the Funds invest, and the financial markets generally.
Derivatives Risk: Use of derivatives, which at times is an important part of the Funds’ investment strategies, involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Investments in derivatives could cause the Funds to lose more than the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances and there can be no assurance that the Funds will achieve their objective through the use of the derivatives.
Credit Risk: The values of any of the Funds’ investments may also decline in response to events affecting the issuer or its credit rating. The lower-rated debt securities in which a Fund may invest are considered speculative and are subject to greater volatility and risk of loss than investment-grade securities, particularly in deteriorating economic conditions.
Counterparty Risk: The Funds may be exposed to counterparty risk, the risk that an entity with which the Funds have unsettled or open transactions may not fulfill its obligations.
Foreign Currency Risk: The Funds may be exposed to the risk that the value of the Funds’ investments denominated in foreign currencies will decline in value because the foreign currency has declined in value relative to the U.S. dollar.
Foreign Investing Risk: The Funds may be exposed to the risk that the Funds’ share prices will fluctuate with market conditions, currency exchange rates and the economic and political climates in countries where the Funds invest.
Public Health Emergencies Risk and Impact of the Coronavirus (COVID-19): Pandemics and other local, national, and international public health emergencies, including outbreaks of infectious diseases such as SARS, H1N1/09 Flu, the Avian Flu, Ebola and the current outbreak of the novel coronavirus (“COVID-19”), can result, and in the case of COVID-19 is resulting, in market volatility and disruption, and any similar future emergencies may materially and adversely impact economic production and activity in ways that cannot be predicted, all of which could result in substantial investment losses.
The World Health Organization officially declared in March 2020 that the COVID-19 outbreak formally constitutes a “pandemic.” This outbreak has caused a worldwide public health emergency, straining healthcare resources and resulting in extensive and growing numbers of infections, hospitalizations and deaths. In an effort to contain COVID-19, local, regional, and national governments, as well as private
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October 31, 2020 |
Note 4 — Risk Considerations (Continued)
businesses and other organizations, have imposed and continue to impose severely restrictive measures, including instituting local and regional quarantines, restricting travel (including closing certain international borders), prohibiting public activity (including “stay-at-home,” “shelter-in-place,” and similar orders), and ordering the closure of a wide range of offices, businesses, schools, and other public venues. Consequently, COVID-19 has significantly diminished and disrupted global economic production and activity of all kinds and has contributed to both volatility and a severe decline in financial markets. Among other things, these unprecedented developments have resulted in: (i) material reductions in demand across most categories of consumers and businesses; (ii) dislocation (or, in some cases, a complete halt) in the credit and capital markets; (iii) labor force and operational disruptions; (iv) slowing or complete idling of certain supply chains and manufacturing activity; and (v) strain and uncertainty for businesses and households, with a particularly acute impact on industries dependent on travel and public accessibility, such as transportation, hospitality, tourism, retail, sports, and entertainment.
The ultimate impact of COVID-19 (and of the resulting precipitous decline and disruption in economic and commercial activity across many of the world’s economies) on global economic conditions, and on the operations, financial condition, and performance of any particular market, industry or business, is impossible to predict. However, ongoing and potential additional materially adverse effects, including further global, regional and local economic downturns (including recessions) of indeterminate duration and severity, are possible. The extent of COVID-19’s impact will depend on many factors, including the ultimate duration and scope of the public health emergency and the restrictive countermeasures being undertaken, as well as the effectiveness of other governmental, legislative, and financial and monetary policy interventions designed to mitigate the crisis and address its negative externalities, all of which are evolving rapidly and may have unpredictable results. Even if COVID-19’s spread is substantially contained, it will be difficult to assess what the longer-term impacts of an extended period of unprecedented economic dislocation and disruption will be on future economic developments, the health of certain markets, industries and businesses, and commercial and consumer behavior.
The ongoing COVID-19 crisis and any other public health emergency could have a significant adverse impact on our investments and result in significant investment losses. The extent of the impact on business operations and performance of market participants and the companies in which we invest depends and will continue to depend on many factors, virtually all of which are highly uncertain and unpredictable, and this impact may include or lead to: (i) significant reductions in revenue and growth;(ii) unexpected operational losses and liabilities; (iii) impairments to credit quality; and (iv) reductions in the availability of capital. These same factors may limit the ability to source, research, and execute new investments, as well as to sell investments in the future, and governmental mitigation actions may constrain or alter existing financial, legal, and regulatory frameworks in ways that are adverse to the investment strategies we intend to pursue, all of which could materially diminish our ability to fulfill investment objectives. They may also impair the ability of the companies in which we invest or their counterparties to perform their respective obligations under debt instruments and other commercial agreements (including their ability to pay obligations as they become due), potentially leading to defaults with uncertain consequences, including the potential for defaults by borrowers under debt instruments held in a client’s portfolio. In addition, an extended period of remote working by the employees of the companies in which we invest subjects those companies to additional operational risks, including heightened cybersecurity risk. Remote working environments may be less secure and more susceptible to cyberattacks that seek to exploit the COVID-19 pandemic, and the operational damage of any such events could potentially disrupt our business and reduce the value of our investments.
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TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 4 — Risk Considerations (Continued)
The operations of securities markets may also be significantly impacted, or even temporarily or permanently halted, as a result of government quarantine measures, restrictions on travel and movement, remote-working requirements, and other factors related to a public health emergency, including the potential adverse impact on the health of any such entity’s personnel. These measures may also hinder normal business operations by impairing usual communication channels and methods, hampering the performance of administrative functions such as processing payments and invoices, and diminishing the ability to make accurate and timely projections of financial performance. Because our ability to execute transactions on behalf of the Funds is dependent upon the timely performance of multiple third parties, any interruptions in the business operations of those third parties could impair our ability to effectively implement a Fund’s investment strategies.
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 customer service at 800-FUND-TCW (800-386-3829).
Note 5 — Federal Income Taxes
It is the policy of each Fund to comply with the requirements under Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its net taxable income, including any net realized gains on investments, to its shareholders. Therefore, no federal income tax provision is required.
At October 31, 2020, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Gain | Total Distributable Earnings | ||||||||||
TCW Emerging Markets Income Fund | $ | 30,409,095 | $ | — | $ | 30,409,095 | ||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 1,195,902 | — | 1,195,902 |
At the end of the previous fiscal year ended October 31, 2019, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Gain | Total Distributable Earnings | ||||||||||
TCW Developing Markets Equity Fund | $ | 36,002 | $ | — | $ | 36,002 | ||||||
TCW Emerging Markets Income Fund | 23,323,262 | — | 23,323,262 | |||||||||
TCW Emerging Markets Local Currency Income Fund | 1,190,431 | — | 1,190,431 | |||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 2,701,879 | — | 2,701,879 |
Permanent differences incurred during the year ended October 31, 2020, resulting from differences in book and tax accounting, have been reclassified at year-end between undistributed net investment income (loss), undistributed (accumulated) net realized gain (loss) and paid-in capital as follows, with no impact to the NAV per share:
Undistributed Net Investment Income (Loss) | Undistributed Accumulated Net Realized Gain (Loss) | Paid-in Capital | ||||||||||
TCW Developing Markets Equity Fund | $ | (10,887 | ) | $ | 12,988 | $ | (2,101 | ) | ||||
TCW Emerging Markets Income Fund | (33,174,293 | ) | 33,174,293 | — | ||||||||
TCW Emerging Markets Local Currency Income Fund | (9,619,712 | ) | 15,564,585 | (5,944,873 | ) | |||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | (305,862 | ) | 305,862 | — |
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TCW Funds, Inc.
October 31, 2020 |
Note 5 — Federal Income Taxes (Continued)
During the year ended October 31, 2020, the tax character of distributions paid was as follows:
Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distributions | |||||||||||||
TCW Developing Markets Equity Fund | $ | 48,424 | $ | — | $ | — | $ | 48,424 | ||||||||
TCW Emerging Markets Income Fund | 264,163,379 | — | — | 264,163,379 | ||||||||||||
TCW Emerging Markets Local Currency Income Fund | 2,682,634 | — | 1,042,577 | 3,725,211 | ||||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 3,149,794 | — | — | 3,149,794 |
During the previous fiscal year ended October 31, 2019, the tax character of distributions paid was as follows:
Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distributions | |||||||||||||
TCW Developing Markets Equity Fund | $ | 22,279 | $ | — | $ | — | $ | 22,279 | ||||||||
TCW Emerging Markets Income Fund | 294,090,766 | — | — | 294,090,766 | ||||||||||||
TCW Emerging Markets Local Currency Income Fund | 4,590,289 | 4,590,289 | ||||||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 1,629,445 | — | — | 1,629,445 |
At October 31, 2020, net unrealized appreciation (depreciation) on investments for federal income tax purposes was as follows:
Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | Cost of Investments for Federal Income Tax Purposes | |||||||||||||
TCW Developing Markets Equity Fund | $ | 1,789,766 | $ | (67,329 | ) | $ | 1,722,437 | $ | 4,506,084 | |||||||
TCW Emerging Markets Income Fund | 243,631,129 | (223,149,300 | ) | 20,481,829 | 6,695,623,249 | |||||||||||
TCW Emerging Markets Local Currency Income Fund | 6,157,315 | (14,645,708 | ) | (8,488,393 | ) | 222,548,766 | ||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 19,745,203 | (1,796,350 | ) | 17,948,853 | 74,663,673 |
At October 31, 2020, the following Funds had net realized losses that will be carried forward indefinitely for federal income tax purposes:
Short-Term Capital Losses | Long-Term Capital Losses | Total | ||||||||||
TCW Developing Markets Equity Fund | $ | 709,202 | $ | — | $ | 709,202 | ||||||
TCW Emerging Markets Income Fund | 639,261,526 | 340,718,054 | 979,979,580 | |||||||||
TCW Emerging Markets Local Currency Income Fund | 14,427,718 | 12,303,037 | 26,730,755 | |||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 11,706,345 | — | 11,706,345 |
The Funds did not have any unrecognized tax benefits at October 31, 2020, nor were there any increases or decreases in unrecognized tax benefits for the year ended October 31, 2020. The Funds are subject to examination by the U.S. federal and state tax authorities for returns filed for the prior three and four fiscal years, respectively.
Note 6 — Fund Management Fees and Other Expenses
The Funds pay to the Advisor, as compensation for services rendered, facilities furnished and expenses borne by it, the following annual management fees as a percentage of daily net assets:
TCW Developing Markets Equity Fund | 0.80 | % | ||
TCW Emerging Markets Income Fund | 0.75 | % | ||
TCW Emerging Markets Local Currency Income Fund | 0.75 | % | ||
TCW Emerging Markets Multi-Asset Opportunities Fund | 0.90 | % |
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TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 6 — Fund Management Fees and Other Expenses (Continued)
The Advisor limits the operating expenses of the Funds not to exceed the following expense ratios relative to the Funds’ average daily net assets:
TCW Developing Markets Equity Fund | ||||
I Class | 1.25 | % (1) | ||
N Class | 1.25 | % (1) | ||
TCW Emerging Markets Income Fund | ||||
I Class | 0.85 | % (1)(2) | ||
N Class | 0.95 | % (1)(2) | ||
Plan Class | 0.77 | % (1) | ||
TCW Emerging Markets Local Currency Income Fund | ||||
I Class | 0.85 | % (1) | ||
N Class | 0.90 | % (1) | ||
TCW Emerging Markets Multi-Asset Opportunities Fund | ||||
I Class | 1.00 | % (1) | ||
N Class | 1.20 | % (1) |
(1) | These limitations are based on an agreement between the Advisor and Company. |
(2) | This limitation was in effect March 1, 2020. From November 1, 2019 through February 29, 2020, the expense limitation was based on average expense ratio as reported by Lipper, Inc., which is subject to change on a monthly basis. These limitations are voluntary and terminable in a six month’s notice. |
The amount borne by the Advisor during the fiscal year when the operating expenses of a Fund are in excess of the expense limitation cannot be recaptured in the subsequent fiscal years should the expenses drop below the expense limitation in the subsequent years. The Advisor can recapture expenses only within a given fiscal year for that year’s operating expenses.
Directors’ Fees: Directors who are not affiliated with the Advisor receive compensation from the Funds which is shown on the Statements of Operations. Directors may elect to defer receipt of their fees in accordance with the terms of a Non-Qualified Deferred Compensation Plan. Deferred compensation is included within directors’ fees and expenses in the Statements of Assets and Liabilities.
Note 7 — Distribution Plan
TCW Funds Distributors LLC (“Distributor”), an affiliate of the Advisor and the Funds, serves as the nonexclusive distributor of each class of the Funds’ shares. The Funds have a distribution plan pursuant to Rule 12b-1 under the 1940 Act with respect to the N Class shares of each Fund. Under the terms of the plan, each Fund compensates the Distributor at a rate equal to 0.25% of the average daily net assets of the Fund attributable to its N Class shares for distribution and related services.
Note 8 — Purchases and Sales of Securities
Investment transactions (excluding short-term investments) for the year ended October 31, 2020 were as follows:
Purchases at Cost | Sales or Maturity Proceeds | U.S. Government Purchases at Cost | U.S. Government Sales or Maturity Proceeds | |||||||||||||
TCW Developing Markets Equity Fund | $ | 8,024,554 | $ | 8,528,455 | $ | — | $ | — | ||||||||
TCW Emerging Markets Income Fund | 9,190,732,975 | 8,100,719,024 | — | — | ||||||||||||
TCW Emerging Markets Local Currency Income Fund | 291,439,412 | 291,842,546 | — | — | ||||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 149,932,605 | 159,845,751 | — | — |
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TCW Funds, Inc.
October 31, 2020 |
Note 9 — Capital Share Transactions
Transactions in each Fund’s shares were as follows:
TCW Developing Markets Equity Fund | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||
I Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 522 | $ | 5,685 | 228 | $ | 2,040 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 3,226 | 34,910 | 1,763 | 16,011 | ||||||||||||
Shares Redeemed | (41,130 | ) | (452,426 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (37,382 | ) | $ | (411,831 | ) | 1,991 | $ | 18,051 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 1,216 | $ | 13,132 | 11 | $ | 100 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,249 | 13,514 | 690 | 6,268 | ||||||||||||
Shares Redeemed | (790 | ) | (8,969 | ) | (1,655 | ) | (15,127 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 1,675 | $ | 17,677 | (954 | ) | $ | (8,759 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Emerging Markets Income Fund | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||
I Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 407,216,881 | $ | 3,219,444,990 | 325,616,046 | $ | 2,622,012,778 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 20,069,095 | 158,869,516 | 19,612,811 | 158,858,299 | ||||||||||||
Shares Redeemed | (367,301,484 | ) | (2,804,351,668 | ) | (226,225,558 | ) | (1,822,075,979 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 59,984,492 | $ | 573,962,838 | 119,003,299 | $ | 958,795,098 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 9,014,340 | $ | 91,463,896 | 9,325,603 | $ | 97,733,797 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,156,277 | 11,834,869 | 1,544,925 | 16,071,564 | ||||||||||||
Shares Redeemed | (14,496,727 | ) | (145,058,654 | ) | (15,236,140 | ) | (158,466,267 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (4,326,110 | ) | $ | (41,759,889 | ) | (4,365,612 | ) | $ | (44,660,906 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Plan Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 62,628,616 | $ | 513,316,199 | — | $ | — | ||||||||||
Shares Issued upon Reinvestment of Dividends | 233,613 | 1,854,887 | — | — | ||||||||||||
Shares Redeemed | (1,153,292 | ) | (9,279,693 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 61,708,937 | $ | 505,891,393 | — | $ | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Emerging Markets Local Currency Income Fund | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||
I Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 10,025,553 | $ | 88,383,393 | 14,235,609 | $ | 125,090,886 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 333,736 | 3,073,757 | 419,536 | 3,579,182 | ||||||||||||
Shares Redeemed | (11,958,101 | ) | (101,444,508 | ) | (23,098,821 | ) | (199,664,448 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (1,598,812 | ) | $ | (9,987,358 | ) | (8,443,676 | ) | $ | (70,994,380 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 2,073,557 | $ | 17,751,724 | 3,108,306 | $ | 27,354,015 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 42,664 | 392,147 | 71,740 | 610,839 | ||||||||||||
Shares Redeemed | (2,212,200 | ) | (18,762,059 | ) | (5,984,228 | ) | (52,493,532 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (95,979 | ) | $ | (618,188 | ) | (2,804,182 | ) | $ | (24,528,678 | ) | ||||||
|
|
|
|
|
|
|
|
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TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 9 — Capital Share Transactions (Continued)
TCW Emerging Markets Multi-Asset Opportunities Fund | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||
I Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 400,006 | $ | 4,508,190 | 5,474,863 | $ | 61,399,299 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 242,396 | 2,799,681 | 58,600 | 588,909 | ||||||||||||
Shares Redeemed | (1,397,688 | ) | (15,308,576 | ) | (1,970,348 | ) | (21,376,805 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (755,286 | ) | $ | (8,000,705 | ) | 3,563,115 | $ | 40,611,403 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 145,525 | $ | 1,639,723 | 835,903 | $ | 8,721,859 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 29,582 | 340,484 | 102,937 | 1,032,231 | ||||||||||||
Shares Redeemed | (490,864 | ) | (5,320,297 | ) | (7,102,907 | ) | (78,241,435 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (315,757 | ) | $ | (3,340,090 | ) | (6,164,067 | ) | $ | (68,487,345 | ) | ||||||
|
|
|
|
|
|
|
|
Note 10 — Affiliate Ownership
As of October 31, 2020, affiliates of the Funds and Advisor owned 99.19% and 6.9% of the net assets of the TCW Developing Markets Equity Fund and the TCW Emerging Markets Multi-Asset Opportunities Fund, respectively.
Note 11 — Restricted Securities
The Funds are permitted to invest in securities that have legal or contractual restrictions on resale. These securities may be sold privately, but are required to be registered before being sold to the public (exemption rules apply). Private placement securities are generally considered to be restricted except for those securities traded between qualified institutional investors under the provisions of Rule 144A of the Securities Act of 1933, as amended (the “Securities Act”). However, the Company considers 144A securities to be restricted if those securities have been deemed illiquid. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. There were no restricted securities held by the Funds at October 31, 2020.
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 year ended October 31, 2020. The Funds pay the Bank a commitment fee equal to 0.25% per annum on the daily unused portion of the committed line amount. The commitment fees incurred by the Funds are presented in the Statements of Operations. The commitment fees are allocated to each applicable portfolio in proportion to its relative average daily net assets and the interest expenses are charged directly to the applicable portfolio.
Note 13 — Indemnifications
Under the Company’s organizational documents, its Officers and Directors may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Company. In addition, the Company entered into an agreement with each of the Directors which provides that the Company will indemnify and hold harmless each Director against any expenses actually and reasonably incurred by such Director in any proceeding arising out of or in connection with the Director’s services to the Company, to the fullest extent permitted by the Company’s Articles of Incorporation and By-Laws, the Maryland General Corporation Law, the Securities Act, and the 1940 Act, each as now or hereinafter in force. Additionally, in
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TCW Funds, Inc.
October 31, 2020 |
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 March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2020-04, Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in the ASU provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (LIBOR) and other interbank offered reference rates as of the end of 2021. The ASU is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management has reviewed the requirements and believes the adoption of this ASU will not have a material impact on the financial statements.
In October 2020, FASB issued Accounting Standards Update No. 2020-08 (“ASU 2020-08”), “Receivables — Nonrefundable Fees and Other Costs (Codification Improvements Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities”. ASU 2020-08 is an update of ASU No. 2017-08, which amends the amortization period of certain purchased callable debt securities held at a premium. ASU 2020-08 updates the amortization period for callable debt securities to be amortized to the next call date. For purposes of this update, the next call date is the first date when a call option at a specified price becomes exercisable. Once that date has passed, the next call date is when the next call option at a specified price becomes exercisable, if applicable. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2020. Management has evaluated the implication of the additional disclosure requirement and determined that there is no impact to the Funds’ financial statements.
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TCW Developing Markets Equity Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value per Share, Beginning of year | $ | 10.14 | $ | 9.39 | $ | 11.17 | $ | 9.10 | $ | 8.62 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.02 | 0.10 | 0.06 | 0.07 | 0.10 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 1.79 | 0.69 | (1.78 | ) | 2.09 | 0.38 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 1.81 | 0.79 | (1.72 | ) | 2.16 | 0.48 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.09 | ) | (0.04 | ) | (0.06 | ) | (0.09 | ) | (0.00 | ) (2) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of year | $ | 11.86 | $ | 10.14 | $ | 9.39 | $ | 11.17 | $ | 9.10 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 17.90 | % | 8.46 | % | (15.51 | )% | 23.96 | % | 5.63 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of year (in thousands) | $ | 4,314 | $ | 4,071 | $ | 3,750 | $ | 4,433 | $ | 3,577 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 4.06 | % | 4.88 | % | 3.45 | % | 3.94 | % | 3.56 | % | ||||||||||
After Expense Reimbursement | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.15 | % | 1.03 | % | 0.49 | % | 0.77 | % | 1.15 | % | ||||||||||
Portfolio Turnover Rate | 148.22 | % | 207.48 | % | 163.33 | % | 194.58 | % | 154.70 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Amount rounds to less than $0.01 per share. |
See accompanying Notes to Financial Statements.
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TCW Developing Markets Equity Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value per Share, Beginning of year | $ | 10.14 | $ | 9.39 | $ | 11.17 | $ | 9.10 | $ | 8.62 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.02 | 0.10 | 0.06 | 0.07 | 0.10 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 1.78 | 0.69 | (1.78 | ) | 2.09 | 0.38 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 1.80 | 0.79 | (1.72 | ) | 2.16 | 0.48 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.09 | ) | (0.04 | ) | (0.06 | ) | (0.09 | ) | (0.00 | ) (2) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of year | $ | 11.85 | $ | 10.14 | $ | 9.39 | $ | 11.17 | $ | 9.10 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 17.80 | % | 8.46 | % | (15.51 | )% | 23.96 | % | 5.63 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of year (in thousands) | $ | 1,861 | $ | 1,575 | $ | 1,468 | $ | 1,722 | $ | 1,364 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 5.17 | % | 6.11 | % | 4.51 | % | 5.08 | % | 4.80 | % | ||||||||||
After Expense Reimbursement | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.16 | % | 1.03 | % | 0.49 | % | 0.77 | % | 1.15 | % | ||||||||||
Portfolio Turnover Rate | 148.22 | % | 207.48 | % | 163.33 | % | 194.58 | % | 154.70 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Amount rounds to less than $0.01 per share. |
See accompanying Notes to Financial Statements.
69
Table of Contents
TCW Emerging Markets Income Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value per Share, Beginning of year | $ | 8.33 | $ | 7.77 | $ | 8.54 | $ | 8.34 | $ | 7.67 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.39 | 0.46 | 0.43 | 0.55 | 0.55 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.46 | ) | 0.54 | (0.83 | ) | 0.09 | 0.52 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | (0.07 | ) | 1.00 | (0.40 | ) | 0.64 | 1.07 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.33 | ) | (0.44 | ) | (0.37 | ) | (0.44 | ) | (0.40 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of year | $ | 7.93 | $ | 8.33 | $ | 7.77 | $ | 8.54 | $ | 8.34 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | (0.69 | )% | 13.13 | % | (4.85 | )% | 7.95 | % | 14.29 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of year (in thousands) | $ | 5,877,348 | $ | 5,668,552 | $ | 4,365,456 | $ | 3,039,671 | $ | 2,574,798 | ||||||||||
Ratio of Expenses to Average Net Assets | 0.85 | % | 0.84 | % | 0.86 | % | 0.87 | % | 0.87 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 4.95 | % | 5.62 | % | 5.33 | % | 6.56 | % | 6.95 | % | ||||||||||
Portfolio Turnover Rate | 135.46 | % | 136.47 | % | 149.50 | % | 212.16 | % | 214.73 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
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Table of Contents
TCW Emerging Markets Income Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value per Share, Beginning of year | $ | 10.72 | $ | 10.00 | $ | 11.00 | $ | 10.75 | $ | 9.89 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.49 | 0.57 | 0.53 | 0.68 | 0.68 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.57 | ) | 0.69 | (1.08 | ) | 0.12 | 0.67 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | (0.08 | ) | 1.26 | (0.55 | ) | 0.80 | 1.35 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.41 | ) | (0.54 | ) | (0.45 | ) | (0.55 | ) | (0.49 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of year | $ | 10.23 | $ | 10.72 | $ | 10.00 | $ | 11.00 | $ | 10.75 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | (0.69 | )% | 12.85 | % | (5.16 | )% | 7.67 | % | 13.98 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of year (in thousands) | $ | 261,520 | $ | 320,492 | $ | 342,660 | $ | 510,877 | $ | 534,151 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.14 | % | 1.14 | % | 1.16 | % | 1.15 | % | 1.15 | % | ||||||||||
After Expense Reimbursement | 0.98 | % | 1.05 | % | 1.10 | % | 1.13 | % | N/A | |||||||||||
Ratio of Net Investment Income to Average Net Assets | 4.82 | % | 5.41 | % | 5.03 | % | 6.30 | % | 6.71 | % | ||||||||||
Portfolio Turnover Rate | 135.46 | % | 136.47 | % | 149.50 | % | 212.16 | % | 214.73 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
71
Table of Contents
TCW Emerging Markets Income Fund
Financial Highlights — Plan Class
March 2, 2020 (Commencement of Operations) through October 31, 2020 | ||||
Net Asset Value per Share, Beginning of year | $ | 8.34 | ||
|
| |||
Income (Loss) from Investment Operations: | ||||
Net Investment Income (1) | 0.26 | |||
Net Realized and Unrealized Loss on Investments | (0.48 | ) | ||
|
| |||
Total from Investment Operations | (0.22 | ) | ||
|
| |||
Less Distributions: | ||||
Distributions from Net Investment Income | (0.19 | ) | ||
|
| |||
Net Asset Value per Share, End of year | $ | 7.93 | ||
|
| |||
Total Return | (2.59 | )% (2) | ||
Ratios/Supplemental Data: | ||||
Net assets, end of year (in thousands) | $ | 489,106 | ||
Ratio of Expenses to Average Net Assets: | ||||
Before Expense Reimbursement | 0.79 | % (3) | ||
After Expense Reimbursement | 0.77 | % (3) | ||
Ratio of Net Investment Income to Average Net Assets | 4.96 | % (3) | ||
Portfolio Turnover Rate | 135.46 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period March 2, 2020 (Commencement of Operations) through October 31, 2020. |
(3) | Annualized. |
See accompanying Notes to Financial Statements.
72
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value per Share, Beginning of year | $ | 9.17 | $ | 8.14 | $ | 9.30 | $ | 9.13 | $ | 8.18 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.42 | 0.58 | 0.53 | 0.64 | 0.52 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.89 | ) | 0.57 | (1.19 | ) | (0.06 | ) | 0.43 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | (0.47 | ) | 1.15 | (0.66 | ) | 0.58 | 0.95 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.09 | ) | (0.12 | ) | (0.23 | ) | (0.41 | ) | — | |||||||||||
Distributions from Return of Capital | (0.04 | ) | — | (0.27 | ) | — | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.13 | ) | (0.12 | ) | (0.50 | ) | (0.41 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of year | $ | 8.57 | $ | 9.17 | $ | 8.14 | $ | 9.30 | $ | 9.13 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | (5.26 | )% | 14.26 | % | (7.74 | )% | 6.33 | % | 11.61 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of year (in thousands) | $ | 192,679 | $ | 220,968 | $ | 264,754 | $ | 138,068 | $ | 97,650 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 0.97 | % | 1.03 | % | 0.95 | % | 1.03 | % | 1.00 | % | ||||||||||
After Expense Reimbursement | 0.85 | % | 0.88 | % | N/A | 0.99 | % | 0.99 | % | |||||||||||
Ratio of Net Investment Income to Average Net Assets | 4.90 | % | 6.66 | % | 5.90 | % | 6.83 | % | 6.12 | % | ||||||||||
Portfolio Turnover Rate | 135.99 | % | 127.74 | % | 185.72 | % | 137.44 | % | 209.07 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
73
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value per Share, Beginning of year | $ | 9.15 | $ | 8.13 | $ | 9.29 | $ | 9.12 | $ | 8.17 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.42 | 0.57 | 0.51 | 0.64 | 0.48 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.89 | ) | 0.57 | (1.17 | ) | (0.06 | ) | 0.47 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | (0.47 | ) | 1.14 | (0.66 | ) | 0.58 | 0.95 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.09 | ) | (0.12 | ) | (0.23 | ) | (0.41 | ) | — | |||||||||||
Distributions from Return of Capital | (0.04 | ) | — | (0.27 | ) | — | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.13 | ) | (0.12 | ) | (0.50 | ) | (0.41 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of year | $ | 8.55 | $ | 9.15 | $ | 8.13 | $ | 9.29 | $ | 9.12 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | (5.28 | )% | 14.14 | % | (7.75 | )% | 6.33 | % | 11.63 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of year (in thousands) | $ | 25,329 | $ | 28,011 | $ | 47,664 | $ | 34,807 | $ | 15,325 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.35 | % | 1.40 | % | 1.32 | % | 1.35 | % | 1.31 | % | ||||||||||
After Expense Reimbursement | 0.90 | % | 0.92 | % | 0.99 | % | 0.99 | % | 0.99 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 4.84 | % | 6.63 | % | 5.78 | % | 6.88 | % | 6.05 | % | ||||||||||
Portfolio Turnover Rate | 135.99 | % | 127.74 | % | 185.72 | % | 137.44 | % | 209.07 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
74
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value per Share, Beginning of year | $ | 11.31 | $ | 10.39 | $ | 11.70 | $ | 10.39 | $ | 9.63 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.22 | 0.38 | 0.25 | 0.31 | 0.35 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.93 | 0.69 | (1.30 | ) | 1.38 | 0.65 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 1.15 | 1.07 | (1.05 | ) | 1.69 | 1.00 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.37 | ) | (0.15 | ) | (0.26 | ) | (0.38 | ) | (0.24 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of year | $ | 12.09 | $ | 11.31 | $ | 10.39 | $ | 11.70 | $ | 10.39 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 10.34 | % | 10.50 | % | (9.23 | )% | 17.05 | % | 10.75 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of year (in thousands) | $ | 84,387 | $ | 87,430 | $ | 43,338 | $ | 42,041 | $ | 37,173 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.28 | % | 1.31 | % | 1.34 | % | 1.54 | % | 1.57 | % | ||||||||||
After Expense Reimbursement | 1.00 | % | 1.02 | % | 1.23 | % | 1.23 | % | 1.23 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.01 | % | 3.51 | % | 2.13 | % | 2.95 | % | 3.74 | % | ||||||||||
Portfolio Turnover Rate | 164.55 | % | 188.64 | % | 160.85 | % | 197.48 | % | 227.75 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
75
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value per Share, Beginning of year | $ | 11.24 | $ | 10.35 | $ | 11.66 | $ | 10.35 | $ | 9.59 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.20 | 0.28 | 0.26 | 0.32 | 0.36 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.92 | 0.76 | (1.31 | ) | 1.37 | 0.64 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 1.12 | 1.04 | (1.05 | ) | 1.69 | 1.00 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.35 | ) | (0.15 | ) | (0.26 | ) | (0.38 | ) | (0.24 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of year | $ | 12.01 | $ | 11.24 | $ | 10.35 | $ | 11.66 | $ | 10.35 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 10.08 | % | 10.25 | % | (9.26 | )% | 17.10 | % | 10.78 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of year (in thousands) | $ | 8,803 | $ | 11,784 | $ | 74,677 | $ | 40,064 | $ | 5,088 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.80 | % | 1.65 | % | 1.67 | % | 1.96 | % | 2.15 | % | ||||||||||
After Expense Reimbursement | 1.20 | % | 1.21 | % | 1.23 | % | 1.23 | % | 1.23 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.80 | % | 2.64 | % | 2.25 | % | 2.95 | % | 3.79 | % | ||||||||||
Portfolio Turnover Rate | 164.55 | % | 188.64 | % | 160.85 | % | 197.48 | % | 227.75 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
76
Table of Contents
TCW Funds, Inc.
Report of Independent Registered Public Accounting Firm
To the Board of Directors and Shareholders of
TCW Funds, Inc.
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities of TCW Developing Markets Equity Fund, TCW Emerging Markets Income Fund, TCW Emerging Markets Local Currency Income Fund, and TCW Emerging Markets Multi-Asset Opportunities Fund (collectively, the “TCW International Funds”) (four of eighteen funds comprising TCW Funds, Inc.), including the schedules of investments, as of October 31, 2020, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended for the TCW International Funds, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the respective TCW International Funds as of October 31, 2020, the results of their operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended for the TCW International Funds, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the TCW International Funds’ management. Our responsibility is to express an opinion on the TCW International Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The TCW International Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the TCW International Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of October 31, 2020, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Los Angeles, California
December 21, 2020
We have served as the auditor of one or more TCW/Metropolitan West Funds investment companies since 1990.
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 May 1, 2020 to October 31, 2020 (184 days).
Actual Expenses: The first line under each Fund in the table below provides information about the actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your Fund under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes: The second line under each Fund in the table below provides information about the hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account value and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
TCW Funds, Inc. | Beginning Account Value May 1, 2020 | Ending Account Value October 31, 2020 | Annualized Expense Ratio | Expenses Paid During Period (May 1, 2020 to October 31, 2020) | ||||||||||||
TCW Developing Markets Equity Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,283.50 | 1.25 | % | $ | 7.17 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.85 | 1.25 | % | 6.34 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,282.50 | 1.25 | % | $ | 7.17 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.85 | 1.25 | % | 6.34 | |||||||||||
TCW Emerging Markets Income Fund | ||||||||||||||||
I Class Shares | $ | 1,000.00 | $ | 1,166.00 | 0.85 | % | $ | 4.63 | ||||||||
Actual | 1,000.00 | 1,020.86 | 0.85 | % | 4.32 | |||||||||||
Hypothetical (5% return before expenses) | ||||||||||||||||
N Class Shares | $ | 1,000.00 | $ | 1,166.20 | 0.95 | % | $ | 5.17 | ||||||||
Actual | 1,000.00 | 1,020.36 | 0.95 | % | 4.82 | |||||||||||
Hypothetical (5% return before expenses) | ||||||||||||||||
Plan Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,164.80 | 0.77 | % | $ | 4.19 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.27 | 0.77 | % | 3.91 |
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TCW Funds, Inc. | Beginning Account Value May 1, 2020 | Ending Account Value October 31, 2020 | Annualized Expense Ratio | Expenses Paid During Period (May 1, 2020 to October 31, 2020) | ||||||||||||
TCW Emerging Markets Local Currency Income Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,069.90 | 0.85 | % | $ | 4.42 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.86 | 0.85 | % | 4.32 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,070.10 | 0.90 | % | $ | 4.68 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.61 | 0.90 | % | 4.57 | |||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,242.50 | 1.00 | % | $ | 5.64 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.11 | 1.00 | % | 5.08 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,240.70 | 1.20 | % | $ | 6.76 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.10 | 1.20 | % | 6.09 |
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TCW Funds, Inc.
The TCW Group, Inc. and Subsidiaries
TCW Investment Management Company LLC
TCW Asset Management Company LLC
Metropolitan West Asset Management, LLC
TCW Funds, Inc. | Sepulveda Management LLC | |
TCW Strategic Income Fund, Inc. | TCW Direct Lending LLC | |
Metropolitan West Funds | TCW Direct Lending VII LLC |
What You Should Know
At TCW, we recognize the importance of keeping information about you secure and confidential. We do not sell or share your nonpublic personal and financial information with marketers or others outside our affiliated group of companies.
We carefully manage information among our affiliated group of companies to safeguard your privacy and to provide you with consistently excellent service.
We are providing this notice to you to comply with the requirements of Regulation S-P, “Privacy of Consumer Financial Information,” issued by the United States Securities and Exchange Commission.
Our Privacy Policy
We, The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Strategic Income Fund, Inc., the Metropolitan West Funds, Sepulveda Management LLC and TCW Direct Lending (collectively, “TCW”) are committed to protecting the nonpublic personal and financial information of our customers and consumers who obtain or seek to obtain financial products or services primarily for personal, family or household purposes. We fulfill our commitment by establishing and implementing policies and systems to protect the security and confidentiality of this information.
In our offices, we limit access to nonpublic personal and financial information about you to those TCW personnel who need to know the information in order to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal and financial information.
Categories of Information We Collect
We may collect the following types of nonpublic personal and financial information about you from the following sources:
• | Your name, address and identifying numbers, and other personal and financial information, from you and from identification cards and papers you submit to us, on applications, subscription agreements or other forms or communications. |
• | Information about your account balances and financial transactions with us, our affiliated entities, or nonaffiliated third parties, from our internal sources, from affiliated entities and from nonaffiliated third parties. |
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• | Information about your account balances and financial transactions and other personal and financial information, from consumer credit reporting agencies or other nonaffiliated third parties, to verify information received from you or others. |
Categories of Information We Disclose to Nonaffiliated Third Parties
• | We may disclose your name, address and account and other identifying numbers, as well as information about your pending or past transactions and other personal financial information, to nonaffiliated third parties, for our everyday business purposes such as necessary to execute, process, service and confirm your securities transactions and mutual fund transactions, to administer and service your account and commingled investment vehicles in which you are invested, to market our products and services through joint marketing arrangements or to respond to court orders and legal investigations. |
• | We may disclose nonpublic personal and financial information concerning you to law enforcement agencies, federal regulatory agencies, self-regulatory organizations or other nonaffiliated third parties, if required or requested to do so by a court order, judicial subpoena or regulatory inquiry. |
• | We do not otherwise disclose your nonpublic personal and financial information to nonaffiliated third parties, except where we believe in good faith that disclosure is required or permitted by law. Because we do not disclose your nonpublic personal and financial information to nonaffiliated third parties, our Customer Privacy Policy does not contain opt-out provisions. |
Categories of Information We Disclose to Our Affiliated Entities
• | We may disclose your name, address and account and other identifying numbers, account balances, information about your pending or past transactions and other personal financial information to our affiliated entities for any purpose. |
• | We regularly disclose your name, address and account and other identifying numbers, account balances and information about your pending or past transactions to our affiliates to execute, process and con- firm securities transactions or mutual fund transactions for you, to administer and service your account and commingled investment vehicles in which you are invested, or to market our products and services to you. |
Information About Former Customers
We do not disclose nonpublic personal and financial information about former customers to nonaffiliated third parties unless required or requested to do so by a court order, judicial subpoena or regulatory inquiry, or otherwise where we believe in good faith that disclosure is required or permitted by law.
Questions
Should you have any questions about our Customer Privacy Policy, please contact us by email or by regular mail at the address at the end of this policy.
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Privacy Policy (Continued)
Reminder About TCW’s Financial Products
Financial products offered by The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Strategic Income Fund, Inc., the Metropolitan West Funds, Sepulveda Management LLC and TCW Direct Lending.
• | Are not guaranteed by a bank; |
• | Are not obligations of The TCW Group, Inc. or of its subsidiaries; |
• | Are not insured by the Federal Deposit Insurance Corporation; and |
• | Are subject to investment risks, including possible loss of the principal amount committed or invested, and earnings thereon. |
THE TCW GROUP, INC.
TCW FUNDS, INC.
TCW STRATEGIC INCOME FUND, INC.
METROPOLITAN WEST FUNDS
SEPULVEDA MANAGEMENT LLC
TCW DIRECT LENDING LLC
TCW DIRECT LENDING VII LLC
Attention: Privacy Officer | 865 South Figueroa St. Suite 1800 | Los Angeles, CA 90017 |
email: privacy@tcw.com
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Approval of Investment Management and Advisory Agreement
Renewal of Investment Advisory and Management Agreement (Unaudited)
TCW Funds, Inc. (the “Corporation”) and TCW Investment Management Company LLC (the “Advisor”) are parties to an Investment Advisory and Management Agreement (“Agreement”), pursuant to which the Advisor is responsible for managing the investments of each separate investment series (each, a “Fund” and collectively, the “Funds”) of the Corporation. Unless terminated by either party, the Agreement continues in effect from year to year provided that the continuance is specifically approved at least annually by the vote of the holders of at least a majority of the outstanding shares of the Funds, or by the Board of Directors of the Corporation (the “Board”), and, in either event, by a majority of the Directors who are not “interested persons” of the Corporation, as such term is defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “Independent Directors”), casting votes in person at a meeting called for that purpose.
On September 14, 2020, the Board approved the renewal of the Agreement for an additional one-year term from February 6, 2021 through February 5, 2022. The Board met by telephone to approve that renewal, notwithstanding the in-person approval requirement that normally applies under the Investment Company Act, as permitted by relief provided by the Securities and Exchange Commission in light of the COVID-19 pandemic. The renewal of the Agreement was approved by the Board (including by a majority of the Independent Directors) upon the recommendation of the Independent Directors. The Independent Directors also met by telephone in a working session on August 26, 2020 to hear presentations by representatives of the Advisor, to ask related questions, to review and discuss materials provided by the Advisor for their consideration, and to meet separately with their independent legal counsel. On September 14, 2020 they also met separately with their independent legal counsel to review and discuss supplemental information that had been requested on their behalf by their independent legal counsel and presented by the Advisor. The information, material facts, and conclusions that formed the basis for the Independent Directors’ recommendation and the Board’s subsequent approval are described below.
1. Information received
Materials reviewed — During the course of each year, the Directors receive a wide variety of materials relating to the services provided by the Advisor, including reports on the Advisor’s investment processes, as well as on each Fund’s investment results, portfolio composition, portfolio trading practices, compliance monitoring, shareholder services, and other information relating to the nature, extent, and quality of services provided by the Advisor to the Funds. In addition, the Board reviewed information furnished to the Independent Directors in response to a detailed request sent to the Advisor on their behalf. The information in the Advisor’s responses included extensive materials regarding each Fund’s investment results, advisory fee comparisons to advisory fees charged by the Advisor to its institutional clients, financial and profitability information regarding the Advisor, descriptions of various services provided to the Funds and to other advisory and sub-advisory clients, descriptions of functions such as compliance monitoring and portfolio trading practices, and information about the personnel providing investment management services to each Fund. The Directors also considered information provided by an independent data provider, Broadridge, comparing the investment performance and the fee and expense levels of each Fund to those of appropriate peer groups of mutual funds selected by Broadridge. After reviewing this information, the Directors requested additional financial, profitability and service information from the Advisor, which the Advisor provided and the Directors considered.
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Review process —The Directors’ determinations were made on the basis of each Director’s business judgment after consideration of all the information presented. The Independent Directors were advised by their independent legal counsel throughout the renewal process and received and reviewed advice from their independent legal counsel regarding legal and industry standards applicable to the renewal of the Agreement, including a legal memorandum from their independent legal counsel discussing their fiduciary duties related to their approval of the continuation of the Agreement. The Independent Directors also discussed the renewal of the Agreement with the Advisor’s representatives and in private sessions at which no representatives of the Advisor were present. In deciding to recommend the renewal of the Agreement with respect to each Fund, the Independent Directors did not identify any single piece of information or particular factor that, in isolation, was the controlling factor. Each Independent Director may also have weighed factors differently. This summary describes the most important, but not all, of the factors considered by the Board and the Independent Directors.
2. Nature, extent, and quality of services provided by the Advisor
The Board and the Independent Directors considered the depth and quality of the Advisor’s investment management process, including its research and strong analytical capabilities; the experience, capability, and integrity of its senior management and other personnel; the relatively low turnover rates of its key personnel; the overall resources available to the Advisor; and the ability of its organizational structure to address the fluctuations in assets that had been experienced over the past several years. The Board and the Independent Directors considered the ability of the Advisor to attract and retain well-qualified investment professionals, noting in particular the Advisor’s hiring of professionals in various areas over the past several years, continued upgrading of resources in its middle office and back office operations and other areas, as well as a continuing and extensive program of infrastructure and systems enhancements. The Board and the Independent Directors also considered that the Advisor made available to its investment professionals a variety of resources and systems relating to investment management, compliance, trading, operations, administration, research, portfolio accounting, and legal matters. They noted the substantial additional resources made available by The TCW Group, Inc., the parent company of the Advisor. The Board and the Independent Directors examined and discussed a detailed description of the extensive additional services provided to the Funds to support their operations and compliance, as compared to the much narrower range of services provided to the Advisor’s institutional and sub-advised clients, as well as the Advisor’s oversight and coordination of numerous outside service providers to the Funds. They further noted the high level of regular communication between the Advisor and the Independent Directors. The Advisor explained its responsibility to supervise the activities of the Funds’ various service providers, as well as supporting the Independent Directors and their meetings, regulatory filings, and various operational personnel, and the related costs.
The Board and the Independent Directors concluded that the nature, extent, and quality of the services provided by the Advisor are of a high quality and have benefited and should continue to benefit the Funds and their shareholders.
3. Investment results
The Board and the Independent Directors considered the investment results of each Fund in light of its investment objective(s) and principal investment strategies. They compared each Fund’s total returns with the total returns of other mutual funds in peer group reports prepared by Broadridge with respect to various longer and more recent periods all ended May 31, 2020. The Board and the Independent Directors
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reviewed information as to peer group selections presented by Broadridge and discussed the methodology for those selections with Broadridge. In reviewing each Fund’s relative performance, the Board and the Independent Directors took into account each Fund’s investment strategies, distinct characteristics, asset size and diversification.
The Board and the Independent Directors noted that most Funds’ performance was satisfactory over the relevant periods. The Board and the Independent Directors noted that the investment performance of most of the Funds was generally close to or above the median performance of the applicable peer group during the three-year period emphasized by Broadridge in the supplemental materials, but five Funds ranked in the fourth or fifth quintile of their peer groups for that three-year period. For those Funds that lagged peer group averages, they noted that the Advisor had discussed with the Board the reasons for the underperformance and the actions taken or to be taken by the Advisor to address the underperformance, and they indicated that they would continue to monitor portfolio investment performance on a regular basis and discuss with the Advisor from time to time any instances of long-term underperformance as appropriate. The Board and the Independent Directors noted that the performance of some Funds for periods when they lagged their peer group averages remained satisfactory when assessed on a risk-adjusted basis because performance quintiles do not necessarily reflect the degree of risk employed by peer funds to achieve their returns. The Board also considered the Advisor’s assessment of the Funds’ performance during the recent period of significant market volatility.
With respect to the fixed income Funds, the Board and the Independent Directors recognized the Advisor’s deliberate strategy to manage risk in light of its critical view of the fixed income securities markets and overall investment market conditions at present and in the near term. For that reason, the Board and the Independent Directors believed that relative performance also should be considered in light of future market conditions expected by the Advisor. The Board and the Independent Directors noted the Advisor’s view that longer term performance can be more meaningful for active fixed income funds than shorter term performance because fixed income market cycles are generally longer than three years.
For the U.S. fixed income Funds, the Board and the Independent Directors noted the conservative profile of these Funds, which generally experienced less volatility compared to various other funds in the applicable peer group (except for the relative volatility of Total Return Bond Fund, which is a mortgage-focused Fund). They also noted the Advisor’s conservative posture for these Funds with respect to credit and interest rate risks.
For the Total Return Bond Fund, the Board and the Independent Directors noted that the Fund’s performance was in the first quintile for the ten-, five-, three- and one-year periods.
For the Core Fixed Income Fund, the Board and the Independent Directors noted that the Fund’s performance was in the second quintile for the ten- and five-year periods and the first quintile for the three- and one-year periods.
For the Global Bond Fund, the Board and the Independent Directors noted that the Fund’s performance was in the third quintile for the five-year period and the first quintile for the three- and one-year periods.
For the High Yield Bond Fund, the Board and the Independent Directors noted that the Fund’s performance was in the first quintile for the ten-, five-, three- and one-year periods.
For the Short Term Bond Fund, the Board and the Independent Directors noted that the Fund’s performance was in the fourth quintile for the ten-, five-, three- and one-year periods.
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For the Enhanced Commodity Strategy Fund, the Board and the Independent Directors noted that the Fund’s performance was in the second quintile for the five-, three- and one-year periods.
With respect to the U.S. equity Funds, the Board and the Independent Directors noted that the performance of most Funds for the various periods reviewed ranked in the first, second or third quintiles.
The Select Equities Fund ranked in the second quintile for the ten-year period, the first quintile for the five- and three-year periods, and the second quintile for the one-year period.
The Relative Value Dividend Appreciation Fund ranked in the fourth quintile for the ten-year period and the fifth quintile for the five-, three- and one-year periods. The Relative Value Large Cap Fund ranked in the third quintile for the ten-year period, the fourth quintile for the five-year period, the fifth quintile for the three-year period and the fourth quintile for the one-year period. The Relative Value Mid Cap Fund ranked in the fourth quintile for the ten-, five-, three- and one-year periods. The Board and the Independent Directors noted the Advisor’s explanation that the diversification tool used to mitigate risk of the Relative Value Funds weighed on their near-term performance in a momentum-driven market and its opinion that each of the Relative Value Funds is well-positioned to excel in a strengthening economic environment. The Board and the Independent Directors also noted that the Relative Value Funds outperformed their respective benchmarks by 200 to 550 basis points between March 31, 2020 and July 31, 2020 and had appreciatively narrowed the underperformance versus their respective benchmarks year-to-date through July 2020.
The New America Premier Equities Fund ranked in the second quintile for the three-year period and the fifth quintile for the one-year period.
The Artificial Intelligence Equity Fund ranked in the third quintile for the one-year period, improving to the universe median, and the fourth quintile for the period since inception. The Board and the Independent Directors considered the Advisor’s explanation that the peer funds had greater exposure to the information technology sector, making the peer group less useful in comparing relative performance than if those funds’ principal investment strategies were more closely aligned with the Fund’s investment focus. The Board and the Independent Directors also noted the relatively short operating history of the Fund and determined to continue to closely monitor its performance.
The Global Real Estate Fund ranked in the second quintile for the five-year period and in the first quintile for the three- and one-year periods.
With respect to the international and emerging markets Funds, the Board and the Independent Directors noted that the performance of a majority of these Funds ranked in the first, second or third quintiles over various time periods. The Emerging Markets Income Fund ranked in the first quintile for the ten-year period and the second quintile for the five-year period but ranked in the fourth quintile for the three-year period and the fifth quintile for the one-year period. The Emerging Markets Local Currency Income Fund ranked in the first quintile for the five-year period and the third quintile for the three- and one-year periods. The Emerging Markets Multi-Asset Opportunities Fund ranked in the second quintile for the five-year period and the first quintile for the three- and one-year periods. The Developing Markets Equity Fund ranked in the third quintile for the three-year period and the first quintile for the one-year period.
The Board and the Independent Directors noted the Advisor’s explanation that the challenging international and emerging market conditions in recent years weighed on near-term performance for some Funds and its opinion that each of the international and emerging markets Funds is well-positioned to excel in a strengthening economic environment.
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For the asset allocation Fund, the Board and the Independent Directors noted that the Conservative Allocation Fund’s performance was in the first quintile for the ten-, five-, three- and one-year periods.
The Board and the Independent Directors concluded that the Advisor was implementing each Fund’s investment objective(s) and that the Advisor’s record in managing the Funds indicated that its continued management should benefit each Fund and its shareholders over the long term.
4. Advisory fees and total expenses
The Board and the Independent Directors compared the management fees (which Broadridge defines to include the advisory fee and the administrative fee) and total expenses of each Fund (each as a percentage of average net assets) with the median management fee and operating expense level of the other mutual funds in the relevant Broadridge peer groups. These comparisons assisted the Board and the Independent Directors by providing a reasonable statistical measure to assess each Fund’s fees relative to its relevant peers. The Board and the Independent Directors observed that each Fund’s management fee, after giving effect to applicable waivers and/or reimbursements, was below or near the median of the peer group funds on a current basis, with the exception of the Emerging Markets Income Fund and the Conservative Allocation Fund. They also observed that each Fund’s total expenses, after giving effect to applicable waivers and/or reimbursements, were below or near the median of the peer group funds. The Board and the Independent Directors also noted the contractual expense limitations to which the Advisor has agreed with respect to each Fund and that the Advisor historically has absorbed any expenses in excess of these limits. The Board and the Independent Directors noted that for several Funds, their below-median management fee and total expenses were in part due to substantial waiver and/or reimbursement pursuant to the contractual expense limitations. The Board and the Independent Directors concluded that the competitive fees charged by the Advisor, and competitive expense ratios, should continue to benefit each Fund and its shareholders.
The Board and the Independent Directors also reviewed information regarding the advisory fees charged by the Advisor to its institutional and sub-advisory clients with similar investment mandates. The Board and the Independent Directors concluded that, although the fees paid by those clients generally were lower than advisory fees paid by the Funds, the differences appropriately reflected the more extensive services provided by the Advisor to the Funds and the Advisor’s significantly greater responsibilities and expenses with respect to the Funds, including the additional time spent by portfolio managers for reasons such as managing the more active cash flows from purchases and redemptions by shareholders, the additional risks of managing a pool of assets for public investors, administrative burdens, daily pricing, valuation and liquidity responsibilities, the supervision of vendors and service providers, and the costs of additional infrastructure and operational resources and personnel and of complying with and supporting the more comprehensive regulatory and governance regime applicable to mutual funds.
5. The Advisor’s costs, level of profits, and economies of scale
The Board and the Independent Directors reviewed information regarding the Advisor’s costs of providing services to the Funds, as well as the resulting level of profits to the Advisor. They reviewed the Advisor’s stated assumptions and methods of allocating certain costs, such as personnel costs, which constitute the Advisor’s largest operating cost. The Board and the Independent Directors recognized that the Advisor should be entitled to earn a reasonable level of profits for the services that it provides to each Fund. The Board and the Independent Directors also reviewed a comparison of the Advisor’s profitability with respect to the Funds to the profitability of certain unaffiliated publicly traded asset managers, which the Advisor
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Approval of Investment Management and Advisory Agreement (Continued)
believed supported its view that the Advisor’s profitability was reasonable. Based on their review, the Board and the Independent Directors concluded that they were satisfied that the Advisor’s level of profitability from its relationship with each Fund was not unreasonable or excessive.
The Board and the Independent Directors considered the extent to which potential economies of scale could be realized as the Funds grow and whether the advisory fees reflect those potential economies of scale. They recognized that the advisory fees for the Funds do not have breakpoints, which would otherwise result in lower advisory fee rates as the Funds grow larger. They also recognized the Advisor’s view that the advisory fees compare favorably to peer group fees and expenses and remain competitive even at higher asset levels and that the relatively low advisory fees reflect the potential economies of scale. The Board and the Independent Directors recognized the benefits of the Advisor’s substantial past and ongoing investment in the advisory business, such as successfully recruiting and retaining key professional talent, systems and technology upgrades, added resources dedicated to legal, compliance and cybersecurity programs, and improvements to the overall firm infrastructure, as well as the financial pressures of competing against much larger firms and passive investment products. The Board and the Independent Directors further noted the Advisor’s past and current subsidies of the operating expenses of newer and smaller Funds and the Advisor’s commitment to maintain reasonable overall operating expenses for each Fund. The Board and the Independent Directors also recognized that the Funds benefit from receiving investment advice from an organization with other types of advisory clients in addition to mutual funds. The Board and the Independent Directors considered the risk borne by the Advisor that the Funds’ net assets and thus the Advisor’s fees might decline in the event of redemptions and that smaller Funds might not grow to become profitable. The Board and the Independent Directors concluded that the Advisor was satisfactorily sharing potential economies of scale with the Funds through low fees and expenses, and through reinvesting in its capabilities for serving the Funds and their shareholders.
6. Ancillary benefits
The Board and the Independent Directors also considered ancillary benefits received or to be received by the Advisor and its affiliates as a result of the relationship of the Advisor with the Funds, including compensation for certain compliance support services. The Board and the Independent Directors noted that, in addition to the fees the Advisor receives under the Agreement, the Advisor receives additional benefits in connection with management of the Funds in the form of reports, research and other services from brokers and their affiliates in return for brokerage commissions paid to such brokers. The Board and the Independent Directors concluded that any potential benefits received or to be derived by the Advisor from its relationships with the Funds are reasonably related to the services provided by the Advisor to the Funds.
7. Conclusions
Based on their overall review, including their consideration of each of the factors referred to above (and others), the Board and the Independent Directors concluded that the Agreement is fair and reasonable to each Fund and its shareholders, that each Fund’s shareholders received reasonable value in return for the advisory fees and other amounts paid to the Advisor by each Fund, and that the renewal of the Agreement was in the best interests of each Fund and its shareholders.
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Proxy Voting Guidelines
The policies and procedures that the Company uses to determine how to vote proxies are available without charge. The Board has delegated the Company’s proxy voting authority to the Advisor.
Disclosure of Proxy Voting Guidelines
The proxy voting guidelines of the Advisor are available:
1. | By calling 800-FUND-TCW (800-386-3829) to obtain a hard copy; or |
2. | By going to the SEC website at http://www.sec.gov. |
When the Company receives a request for a description of the Advisor’s proxy voting guidelines, it will deliver the description that is disclosed in the Company’s Statement of Additional Information. This information will be sent out via first class mail (or other means designed to ensure equally prompt delivery) within three business days of receiving the request.
The Advisor, on behalf of the Company, prepares and files Form N-PX with the SEC not later than August 31 of each year, which includes the Company’s proxy voting record for the most recent twelve-month period ended June 30 of that year. The Company’s proxy voting record for the most recent twelve-month period ended June 30 is available:
1. | By calling 800-FUND-TCW (800-386-3829) to obtain a hard copy; or |
2. | By going to the SEC website at http://www.sec.gov. |
When the Company receives a request for the Company’s proxy voting record, it will send the information disclosed in the Company’s most recently filed report on Form N-PX via first class mail (or other means designed to ensure equally prompt delivery) within three business days of receiving the request.
The Company also discloses its proxy voting record on its website as soon as is reasonably practicable after its report on Form N-PX is filed with the SEC.
Availability of Quarterly Portfolio Schedule
The Company files a complete schedule of its portfolio holdings with the SEC for the first and third quarters of its fiscal year on Form NPORT-P. Such filings occur no later than 60 days after the end of the Funds’ first and third quarters and are available on the SEC’s website at www.sec.gov.
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Tax Information Notice (Unaudited)
Under Section 854(b)(2) of the Code, the Funds hereby designate the following maximum amounts as
qualified dividends for purposes of the maximum rate under Section 1(h)(11) of the Code for the fiscal year
ended October 31, 2020 (amount in thousands):
Fund | Qualified Dividend Income | |||
TCW Developing Markets Equity Fund | $ | 39,888 |
The following is the dividend received deduction percentage for the Fund’s corporate shareholders:
Fund | Qualified Received Deductions | |||
TCW Developing Markets Equity Fund | 8.35% |
The following Funds paid foreign taxes during the year ended October 31, 2020 that are available as income tax credits:
Fund | Foreign Tax Credit | |||
TCW Developing Markets Equity Fund | $ | 5,901 | ||
TCW Emerging Markets Local Currency Income Fund | $ | 611,144 | ||
TCW Emerging Markets Multi-Asset Opportunities Fund | $ | 62,487 |
This information is given to meet certain requirements of the Code and should not be used by shareholders for preparing their income tax returns. In February 2021, shareholders will receive Form 1099-DIV which will show the actual distribution received and include their share of qualified dividends during the calendar year of 2020. Shareholders are advised to check with their tax advisors for information on the treatment of these amounts on their individual tax returns.
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Directors and Officers of the Company
A board of seven directors is responsible for overseeing the operations of the Company, which consists of 18 Funds at October 31, 2020. The directors of the Company, and their business addresses and their principal occupation for the last five years are set forth below.
Independent Directors
Name, and Year of Birth (1) | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Other Directorships held by Director | |||
Samuel P. Bell (1936) | Mr. Bell has served as a director of TCW Funds, Inc. since October 2002. | Private Investor. | Point.360 (post production services); TCW Strategic Income Fund, Inc. (closed-end fund). | |||
Patrick C. Haden (1953) Chairman of the Board | Mr. Haden has served as a director of TCW Funds, Inc. since May 2001. | President (since 2003), Wilson Ave. Consulting (business consulting firm); Senior Advisor to President (July 2016 – June 2017) and Athletic Director (August 2010 – June 2016), University of Southern California. | Tetra Tech, Inc. (environmental consulting); Auto Club (affiliate of AAA); Metropolitan West Funds (mutual fund); TCW Strategic Income Fund, Inc. (closed-end fund). | |||
Peter McMillan (1957) | Mr. McMillan has served as a director of TCW Funds, Inc. since August 2010. | Co-founder (since 2019), Pacific Oak Capital Advisors (investment advisory firm); Co-founder, Managing Partner and Chief Investment Officer (since May 2013), Temescal Canyon Partners (investment advisory firm); Co-founder and Executive Vice President (2005-2019), KBS Capital Advisors (a manager of real estate investment trusts). | Pacific Oak Strategic Opportunity REIT (real estate investments); Pacific Oak Strategic Opportunity REIT II (real estate investments); Keppel Pacific Oak U.S. REIT (real estate investments); Pacific Oak Residential Trust (real estate investments); Metropolitan West Funds (mutual fund); TCW DL VII Financing LLC (business development company): TCW Strategic Income Fund, Inc. (closed-end fund). | |||
Victoria B. Rogers (1961) | Ms. Rogers has served as a director of the TCW Funds, Inc. since October 2011. | President and Chief Executive Officer (since 1996), The Rose Hills Foundation (charitable foundation). | Norton Simon Museum (art museum); Stanford University (university); Causeway Capital Management Trust (mutual fund; 6 portfolios); Causeway ETML Trust (mutual fund); The Rose Hills Foundation (charitable foundation) TCW Strategic Income Fund, Inc. (closed-end fund). | |||
Andrew Tarica (1959) | Mr. Tarica has served as a director of the TCW Funds, Inc. since March 2012. | Chief Executive Officer (since February 2001), Meadowbrook Capital Management (asset management company); and Employee (since 2003), Cowen Prime Services (broker dealer). | Metropolitan West Funds (mutual fund); TCW Strategic Income Fund, Inc. (closed-end fund); TCW Direct Lending VII, LLC (business development company). |
(1) | The address of each Independent Director is c/o Morgan Lewis, & Bockius LLP, Counsel to the Independent Directors, 300 South Grand Avenue 22nd Floor, Los Angeles, CA 90071. |
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TCW Funds, Inc.
Directors and Officers of the Company (Continued)
Interested Directors
These directors are “interested persons” of the Company as defined in the 1940 Act because they are directors and officers of the Advisor, and shareholders and directors of The TCW Group, Inc., the parent company of the Advisor.
Name and Year of Birth | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Other Directorships held by Director | |||
Marc I. Stern (1944) | Mr. Stern has served as a director since inception of TCW Funds, Inc. in September 1992. | Chairman (since January 2016), TCW LLC; Chairman (since February 2013), The TCW Group Inc., TCW Investment Management Company LLC, TCW Asset Management Company LLC and Metropolitan West Asset Management, LLC; Vice Chairman (November 2010 – December 2014) and Chairman (2014 – December 2015), Trust Company of the West. | N/A | |||
David S. DeVito (1962) President and Chief Executive Officer | Mr. DeVito has served as a director of the TCW Funds, Inc. since January 2014 and as its President and Chief Executive Officer since January 2014. | Executive Vice President and Chief Operating Officer (since January 2016), TCW LLC; Executive Vice President and Chief Operating Officer (since October 2013), TCW Investment Management Company LLC, The TCW Group, Inc., Metropolitan West Asset Management, LLC and TCW Asset Management Company LLC; President and Chief Executive Officer (since January 2014), TCW Strategic Income Fund, Inc.; Chief Financial Officer and Treasurer (since 2010), Metropolitan West Funds. | TCW Strategic Income Fund, Inc. (closed-end fund) |
The officers of the Company who are not directors of the Company are:
Name and Year of Birth | Position(s) Held with Company | Principal Occupation(s) During Past 5 Years (1) | ||
Lisa Eisen (1963) Tax Officer | Ms. Eisen has served as Tax Officer of TCW Funds, Inc. since December 2016. | Tax Officer (since December 2016), Metropolitan West Funds and TCW Strategic Income Fund, Inc.; Managing Director and Director of Tax (since August 2016), TCW LLC; Vice President of Corporate Tax and Payroll for Health Net, Inc. (1998 – July 2016). |
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TCW Funds, Inc.
Name and Year of Birth | Position(s) Held with Company | Principal Occupation(s) During Past 5 Years (1) | ||
Meredith S. Jackson (1959) Senior Vice President, General Counsel and Secretary | Ms. Jackson has served as Senior Vice President since January 2016 and General Counsel and Secretary of TCW Funds, Inc. since February 2013. | Executive Vice President, General Counsel and Secretary (since January 2016), TCW LLC; Executive Vice President, General Counsel and Secretary (since February 2013), TCW Investment Management Company LLC, The TCW Group Inc., TCW Asset Management Company LLC, and Metropolitan West Asset Management, LLC and Trust Company of the West (2013 – December 2015); Senior Vice President, General Counsel and Secretary (since February 2013), TCW Strategic Income Fund, Inc.; Vice President and Secretary (since February 2013), Metropolitan West Funds. | ||
Jeffrey Engelsman (1967) Chief Compliance Officer and AML Officer | Mr. Engelsman has served as Chief Compliance Officer of TCW Funds, Inc. since September 2014 and AML Officer of TCW Funds, Inc. since December 2016. | AML Officer (since December 2016), Metropolitan West Funds, and TCW Strategic Income Fund, Inc.; Managing Director and Global Chief Compliance Officer (since January 2016), TCW LLC; Chief Compliance Officer (since 2014), Metropolitan West Funds; Managing Director, Global Chief Compliance Officer (since August 2014), Metropolitan West Asset Management Company, LLC, and TCW Asset Management Company LLC (since August 2014) and Trust Company of the West (2014 – December 2015); Global Chief Compliance Officer (since September 2014), The TCW Group, Inc.; Chief Compliance Officer (since September 2014), TCW Strategic Income Fund, Inc.. | ||
Richard M. Villa (1964) Treasurer Principal Financial and Accounting Officer | Mr. Villa has served as Treasurer and Principal Financial and Accounting Officer of TCW Funds, Inc. since February 2014. | Managing Director, Chief Financial Officer and Assistant Secretary (since January 2016), TCW LLC; Treasurer and Principal Financial and Accounting Officer (since February 2014), TCW Strategic Income Fund, Inc.; Managing Director and Chief Financial Officer and Assistant Secretary (since July 2008), TCW Investment Management Company LLC, the TCW Group, Inc., TCW Asset Management Company LLC, Metropolitan West Asset Management, LLC and Trust Company of the West (2008 – December 2015). |
(1) | Positions with The TCW Group, Inc. and its affiliates may have changed over time. |
* | Address is 865 South Figueroa Street, 18th Floor, Los Angeles, California 90017. |
In addition, Eric Chan, Senior Vice President of Fund Operations for the Advisor, TCW Asset Management Company LLC, TCW LLC (since 2009), and Metropolitan West Asset Management, LLC (since November
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TCW Funds, Inc.
Directors and Officers of the Company (Continued)
2006), is Assistant Treasurer of the Company (since June 2019) and Metropolitan West Funds (since 2010). Mr. Chan is a Certified Public Accountant. Patrick W. Dennis, Senior Vice President, Associate General Counsel and Assistant Secretary of TCW Asset Management Company LLC, Metropolitan West Asset Management, LLC, TCW LLC, the Advisor (since February 2013) and Trust Company of the West (February 2013 — December 2015), is Vice President and Assistant Secretary of the Company.
The SAI (Statement of Additional Information) has additional information regarding the Board of Directors. A copy is available without charge by calling 1-800-FUND-TCW (1-800-386-3829) to obtain a hard copy or by going to the SEC website at http://www.sec.gov.
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TCW Funds, Inc.
865 South Figueroa Street, Suite 1800
Los Angeles, California 90017
800 FUND TCW
(800 386 3829)
www.TCW.com
INVESTMENT ADVISOR
TCW Investment Management Company LLC
865 South Figueroa Street, Suite 1800
Los Angeles, California 90017
TRANSFER AGENT
U.S. Bancorp Fund Services, LLC
615 E. Michigan Street
Milwaukee, Wisconsin 53202
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
555 West 5th Street
Los Angeles, California 90013
CUSTODIAN & ADMINISTRATOR
State Street Bank & Trust Company
One Lincoln Street
Boston, Massachusetts 02111
DISTRIBUTOR
TCW Funds Distributors LLC
865 South Figueroa Street, Suite 1800
Los Angeles, California 90017
DIRECTORS
Patrick C. Haden
Director and Chairman of the Board
Samuel P. Bell
Director
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
FUNDarINT1020
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Item 2. | Code of Ethics. |
(a) | The Registrant has adopted a code of ethics that applies to its principal executive officer and principal financial officer or persons performing similar functions. |
(b) | No disclosures are required by this Item 2(b). |
(c) | The Registrant has made no material changes to its code of ethics. |
(d) | The Registrant has not granted any waivers from any provisions of its code of ethics during the period covered by this Form N-CSR. |
(e) | Not applicable. |
(f) | A copy of the Registrant’s code of ethics is filed as Exhibit 13(a)(1) to this Form N-CSR. |
Item 3. | Audit Committee Financial Expert. |
(a)(1) | The Registrant’s Board of Directors (the “Board”) has determined that the Registrant has two members serving on the Registrant’s Audit Committee that possess the attributes identified in Form N-CSR to qualify as an “audit committee financial expert.” |
(a)(2) | The audit committee financial experts are Samuel P. Bell and Victoria B. Rogers. Each has been deemed to be “independent” as that term is defined in Form N-CSR. |
(a)(3) | Not applicable. |
Item 4. | Principal Accountant Fees and Services. |
The firm of Deloitte & Touche LLP (“Deloitte”) serves as the independent registered public accounting firm for the Registrant.
(a) | Audit Fees |
For the fiscal years ended October 31, 2020 and October 31, 2019, the aggregate fees billed for professional services rendered by Deloitte for the audit of the Registrant’s annual financial statements or for services that are normally provided by Deloitte in connection with statutory and regulatory filings or engagements were:
2020 | 2019 | |||||||||
$525,298 | $538,478 |
(b) | Audit-Related Fees |
For the fiscal years October 31, 2020 and October 31, 2019, the aggregate fees billed for assurance and related services rendered by Deloitte that are reasonably related to the
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performance of the audit or review of the Registrant’s financial statements and that are not reported under Audit Fees above were:
2020 | 2019 | |||||||||
$0 | $0 |
(c) | Tax Fees |
For the fiscal years ended October 31, 2020 and October 31, 2019, the aggregate fees billed for tax compliance, tax advice and tax planning by Deloitte were:
2020 | 2019 | |||||||||
$104,215 | $109,885 |
(d) | All Other Fees |
For the fiscal years ended October 31, 2020 and October 31, 2019, the aggregate fees billed by Deloitte to the Registrant for all services other than services reported under Audit Fees, Audit-Related Fees, and Tax Fees were:
2020 | 2019 | |||||||||
$10,868 | $13,177 |
Fees were for Passive Foreign Investment Company analysis
(e)(1) | The Registrant’s Audit Committee approves each specific service the auditor will perform for the Registrant. Accordingly, the Audit Committee has not established pre-approval policies or procedures for services that the auditor may perform for the Registrant. |
(e)(2) | None of the services described in each of paragraphs (b) through (d) of this Item were approved by the Registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. |
(f) | Not applicable. |
(g) | For the fiscal years ended October 31, 2020 and October 31, 2019, aggregate non-audit fees billed by Deloitte for services rendered to the Registrant were: |
2020 | 2019 | |||||||||
$115,083 | $123,062 |
For the twelve month periods ended October 31, 2020 and October 31, 2019, aggregate non-audit fees billed by Deloitte for services rendered to the Registrant’s investment adviser and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant were $0 and $0, respectively.
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(h) | Not applicable. |
Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
Item 6. | Investments. |
(a) | The Schedule of Investments is included as part of the Report to Shareholders filed under Item 1 of this Form N-CSR. |
(b) | Not applicable. |
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Directors.
Item 11. | Controls and Procedures. |
(a) | The Chief Executive Officer and Principal Financial and Accounting Officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) provide reasonable assurances that material information relating to the Registrant is made known to them by the appropriate persons as of a date within 90 days of the filing date of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934, as amended. |
(b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
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Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
Not applicable.
Item 13. | Exhibits. |
(a)(1) |
(a)(2) |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) |
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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 | December 30, 2020 |
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 | December 30, 2020 |
By (Signature and Title) | ||
/s/ Richard M. Villa | ||
Richard M. Villa | ||
Treasurer and Principal Financial and Accounting Officer | ||
Date | December 30, 2020 |