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: 811‑04980
 
 
TCW Strategic Income Fund, Inc.
(Exact name of registrant as specified in charter)
 
 
865 South Figueroa Street, Suite 1800, Los Angeles, CA 90017
(Address of principal executive offices)
 
 
Peter Davidson, 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: December 31
Date of reporting period: June 30, 2023
 
 
 

Item 1.
Reports to Stockholders.
 
(a)
The following is a copy of the report transmitted to shareholders pursuant to Rule 30e‑1 under the Investment Company Act of 1940, as amended (the “1940 Act”):

LOGO
 
LOGO
 
TCW Strategic Income Fund, Inc.
 

 
To Our Valued Shareholders
 
 
 
LOGO
  
Kathryn Koch
President, Chief Executive Officer and Director
 
To the shareholders of the TCW Strategic Income Fund:
Executive Summary
TCW is pleased to present the 2023 semi-annual report for the TCW Strategic Income Fund (“TSI” or the “Fund”). TSI is a multi-asset class closed‑end fund managed by TCW Investment Management Company and is listed on the New York Stock Exchange under the ticker TSI. For the first half of 2023, shares of TSI rose by 2.82% while the Fund’s net asset value (i.e., returns of the underlying assets) rose by 4.06%. The Fund’s six‑month price-based return was below the NAV‑based return, as the discount between NAV and share price grew from ‑6.3% at the beginning of the period to ‑7.6% by June 30, 2023.
Over the past four quarters, the Fund paid dividends of approximately six cents per share each quarter, as well as a long-term capital gains distribution of 8.08 cents per share, and a special cash payment of 1.25 cents per share. This represents an annualized rate of approximately 33 cents per share, contributing to a realized 12‑month trailing yield of approximately 7.2%, as of 6/30/2023. As yield is a function of a number of parameters, the go‑forward yield of TSI will likely differ from the trailing figure.
Fund Performance (%)
 
                   Annualized Total Return as of June 30, 2023  
      YTD      1 Year      3 Year      5 Year      10 Year      Since
3/1/06(2)
     Since
3/5/87(3)
 
Price-Based Return
     2.82        2.99        0.34        3.01        4.02        8.16        7.46  
NAV‑Based Return
     4.06        3.76        1.77        3.14        4.21        7.41        7.77  
Bloomberg 3‑Month U.S. Treasury Bellwethers Index + 400 bps(1)
     4.37        7.88        5.37        5.65        5.05        5.33        n/a  
 
(1)
Benchmark changed to the Bloomberg 3‑Month U.S. Treasury Bellwethers Index + 400 bps effective 3/1/2022.
(2)
The date on which the Fund’s investment objective changed to a multi-asset class fund. Prior to this date, the Fund primarily invested in convertible securities.
(3)
Inception date of the Fund.
Past performance is no guarantee of future results. Current performance may be lower or higher than that quoted. The market value and net asset value of the Fund’s shares will fluctuate with market conditions. Returns shown do not reflect the deduction of taxes that a shareholder would pay on the Fund’s distributions. You should not draw any conclusions about the Fund’s performance from the amount of the quarterly distribution or from the terms of the Fund’s distribution policy.
Management Commentary
Following a year-plus of rate increases, the first half of 2023 saw drama in regional banks, the looming expiration of the U.S. government debt ceiling, and heightened volatility. While Fed tightening, which reached 500 basis points (bps) in early May, has indeed had its influence, a clear economic contraction and typical fallout therefrom has not materialized. GDP growth has remained positive, employment has been more than resilient, and inflation has held above target (though off its peaks of 2022). This persistence of inflation has kept the Fed in play for additional hikes, reversing earlier sentiment that later-2023 easings were a likelihood. The FOMC (Federal Open Market Committee) delivered only one 25 basis point hike in the second quarter – at May’s meeting, followed by a pause in June – though Chair Powell pushed back on the notion they were done. Despite easing from recent peaks, headline CPI (Consumer Price Index), core CPI, and the Fed’s preferred Core PCE (Personal Consumption Expenditure Price Index), are still over two times the targeted 2% level. U.S. Treasury rates pushed higher late in the quarter as solid data and a Fed intentionally unwilling to indicate it was done
 
1

 
 
 
hiking forced investors to recalibrate expectations for the remainder of the year. As such, the yield curve ended the quarter deeply inverted – more so than the start of the quarter and, notably, to a sharper degree than even 1981 levels. Short‑end yields pushed past 5% and the long‑end moved higher as well, weighing on fixed income returns.
While higher yields held back fixed income returns in the second quarter, the overall downside performance impact was muted relative to much of 2022’s adversity, owing to higher starting yields cushioning some of the downward repricing and thus year‑to‑date returns remained in positive territory (+2.1%). Investment Grade Corporates were resilient, gaining just over 3.0% for the six‑month period, led by Industrials, up 3.7%, while Financials gained 2.6% and outpaced U.S. Treasuries by nearly 124 bps as banking sector concerns receded. Year‑to‑date, high yield is up 5.4%, an impressive showing until 2022’s drawdown is taken into account, in which case, the asset class is still down 6.4% cumulatively for the 18‑month period. Among securitized products, Agency Mortgage-Backed Securities (MBS) struggled in the first half of the period as the sector suffered from elevated rate volatility and a glut of supply given the anticipated liquidation of failed banks’ mortgage portfolios. Ultimately, sales were absorbed by the market relatively easily and prices recovered, though they remain cheap to historic levels. The sector rebounded in the latter half of the period, bringing year‑to‑date returns to nearly 1.9%, and outpaced U.S. Treasuries by 30 bps on a duration-adjusted basis. On the private label side, Non‑Agency MBS saw improvement during the second quarter as markets began to price in more optimistic scenarios, especially regarding the trajectory of home prices. Legacy (pre‑2008) bonds returned nearly 3.0% in the second quarter, bringing year‑to‑date returns to just below 4% as yield premiums compressed in both top‑of‑the‑capital structure and mezzanine tranches as year‑to‑date issuance significantly trails year‑ago levels. In contrast to residential MBS, which benefits from significant demand, commercial properties, and office space in particular, have seen rising vacancy levels as the work from home dynamic becomes more entrenched. Notwithstanding a decidedly pessimistic outlook and developing corroboration in the data, the sector is up 1.2% since the start of the year, with Agency Commercial MBS (CMBS) outperforming Non‑Agency CMBS. Finally, front‑end floating rate Asset-Backed Securities (ABS) outperformed other short duration opportunities, with the overall sector delivering over nearly 50 bps of positive excess return.
The Economy and Market Ahead
A thematic mainstay of the team in recent years has held that the long road to unwind decades of financial repression is going to be bumpy. A decade and a half of stimulative monetary policy in the form of zero/negative rates and near constant QE (quantitative easing) left in its wake an economy unaccustomed to the persistence of higher rates. And, while the necessary adjustments have shown susceptibility to suppression or delay, a reckoning is inescapable, absent some type of “productivity miracle”, for example. Timing appears the wild card: now at five quarters since the onset of tightening, history suggests that that data should be far more indicative of slowing at this point. No doubt the anomalies presented by COVID‑19 and the lingering aftereffects of that black swan episode have been disruptive, though unlikely the bearer of a new economic paradigm. Along with inflation easing, naturally, labor market slackening would appear key to the Fed demonstrating policy “success” and ending the hiking regime it has resolutely pursued. Until then, portfolio construction will continue to be based on a foundation of bottom‑up issue selection, a strong valuation framework and a disciplined allocation of capital until higher yielding opportunities (at much more attractive prices) emerge.
 
2

 
 
 
Portfolio Positioning
 
SECTOR ALLOCATION
 
LOGO
Asset-backed Securities (ABS)
Common Stock (CS)
Corporate Bonds (CB)
Foreign Government Bonds (FGB)
Money Market Investments (MM)
Mortgage-backed Securities (MBS)
Municipal Bonds (MUNI)
U.S. Treasury Securities (UST)
U.S. Government Agency Obligations (UGAO)
MBS ALLOCATION
 
LOGO
Commercial Mortgage-backed Securities — Agency (CMBS AGENCY)
Commercial Mortgage-backed Securities — Non-agency (CMBS NON‑AGENCY)
Residential Mortgage-backed Securities — Agency (RMBS AGENCY)
Residential Mortgage-backed Securities — Non-agency (RMBS NON‑AGENCY)
 
 
Duration positioning at approximately 3.0 years reflects the team view that slowing growth, tightening credit conditions and an eventual pivot/reversal in Fed policy should lead to a re‑steepening of the curve. With regard to sector positioning, the team will continue to use periods of market volatility to add risk at more attractive levels in an effort to maximize long-term performance.
Within securitized, residential MBS represents a sizeable position and is comprised of both non‑agency and agency collateral. On the former, declining loan‑to‑value ratios and substantial home price appreciation in recent years underscores resilient fundamentals and a continued conviction in the space, while favorable liquidity, historically attractive valuations and the government-guaranteed nature inform a large allocation to the latter. Most notably, discount dollar prices provide upside optionality when rates begin to move lower. Meanwhile, exposure to CMBS has been trimmed in recent months, with current holdings focused on higher quality issues and selected single-asset, single-borrower structures and underlying properties that the team believes are likely to weather a looming correction facing the sector. While caution is warranted, we believe significant would‑be opportunity awaits down road, especially if forced sellers emerge requiring a wholesale repricing of the market. Finally, ABS exposure currently focuses on CLOs (collateralized loan obligations) and a variety of smaller collateral types (single-family rentals, auto residuals, select government-guaranteed student loans, container, etc.). CLOs in particular offer good liquidity and attractive spreads, with senior positions offering limited credit risk while lower (but still high quality) tranches offer attractive return potential when supported by a fundamentally sound, tier 1 manager. While the challenges in ABS are not likely to be as acute as the ones facing CMBS, a recession, lower consumer spending, and general market volatility should create opportunities in both higher quality collateral types and those more closely related to consumers as the volatility unfolds.
Specific to corporate credit, the overall preference remains for more defensive non‑cyclicals as well as regulated sectors, predicated on the view that a slowdown in consumer spending is likely to impact the more cyclical sectors while those
 
3

that rely less on discretionary spending (healthcare, pharma, utilities, for example) should be more resilient. Large U.S. money center banks are also an area of emphasis given strong balance sheets and a well-regulated emphasis on liquidity and capital. High yield positioning has remained largely stable as high yield spreads are still not yet compensatory for the myriad of risks facing issuers. Further dislocation and rising yield premiums will provide compelling opportunities to layer in additional exposure.
Modest leverage can be utilized by the Fund through a Line of Credit facility. A very small amount of the $70 million commitment was tapped during the first half of 2023 as opportunities arose mid‑way through the second quarter, but was largely paid back by the end of June, with the remainder returned by mid‑July.
We greatly appreciate your investment in the Fund and your continuing support of TCW. If you have any additional questions or comments, we invite you to visit our website at www.tcw.com or contact our shareholder services department at 1‑866‑227‑8179, or contact@tcw.com.
Sincerely,
 
LOGO
Kathryn Koch
President, Chief Executive Officer and Director
The views expressed in this report reflect those of the Fund’s Advisor as of the date this is written and may not reflect its views on the date this report is first published or anytime thereafter. These views are intended to assist shareholders in understanding the Fund’s investment methodology and do not constitute investment advice. This report may contain discussions about investments that may or may not be held by the Fund as of the date of this report. All current and future holdings are subject to risk and to change. To the extent this report contains forward-looking statements, unforeseen circumstances may cause actual results to differ materially from the views expressed as of the date this is written.
 
4

TCW Strategic Income Fund, Inc.
 
Schedule of Investments (Unaudited)
June 30, 2023
 
Issues   Maturity
Date
     Principal
Amount
    Value  
FIXED INCOME SECURITIES — 108.6% of Net Assets
 
ASSET-BACKED SECURITIES — 16.6%  
Academic Loan Funding Trust Series 2012‑1A, Class R
 
 
0.00% (1),(2),(3),(4)
    12/27/44      $ 3,368     $ 639,920  
Allegro CLO XII Ltd. Series 2020‑1A, Class B
 
 
6.96% (3 mo. USD
LIBOR + 1.700%) (1),(5)
    01/21/32        475,000       467,020  
Allegro CLO XII Ltd. Series 2021‑1A, Class B
 
 
6.95% (3 mo. USD
LIBOR + 1.700%) (1),(5)
    07/20/34        650,000       633,215  
AMSR Trust Series 2020-SFR1, Class I
 
 
8.19% (1)
    04/17/37        850,000       807,978  
AMSR Trust Series 2020-SFR2, Class F
 
 
5.25% (1)
    07/17/37        1,375,000       1,306,888  
AMSR Trust Series 2020-SFR3, Class E1
 
 
2.56% (1)
    09/17/37        1,000,000       905,640  
Apidos CLO XXXVII Series 2021‑37A, Class B
 
 
6.87% (3 mo. USD
LIBOR + 1.600%) (1),(5)
    10/22/34        725,000       704,881  
Bayview Commercial Asset Trust Series 2003‑2, Class A
 
 
6.02% (1 mo. USD
LIBOR + 0.870%)(1),(5)
    12/25/33        106,343       102,339  
BlackRock Rainier CLO VI Ltd. Series 2021‑6A, Class A
 
 
6.95% (3 mo. USD
LIBOR + 1.700%) (1),(5)
    04/20/33        700,000       689,745  
BMO SBA COOF Trust Series 2019‑1, Class A (I/O)
 
 
1.72% (1),(6)
    10/25/45        5,045,568       171,408  
Carvana Auto Receivables Trust Series 2020‑P1, Class R
 
 
0.00% (1),(3)
    09/08/27        2,000       240,627  
Carvana Auto Receivables Trust Series 2021‑N3, Class R
 
 
0.00% (1),(3)
    06/12/28        2,200       436,683  
Carvana Auto Receivables Trust Series 2022‑N1, Class R
 
 
0.00% (1),(3)
    12/11/28        4,700       802,084  
Carvana Auto Receivables Trust Series 2022‑P1, Class R
 
 
0.00% (1),(3)
    01/10/29        2,425       814,156  
Carvana Auto Receivables Trust Series 2022‑P2, Class R
 
 
0.00% (1),(3)
    05/10/29        3,700       750,366  
Carvana Auto Receivables Trust Series 2022‑P3, Class R
 
 
0.00% (1),(3)
    09/10/29        2,900       509,394  
Carvana Auto Receivables Trust Series 2023‑P1, Class R
 
 
0.00% (1),(3)
    03/11/30        4,400       974,361  
Carvana Auto Receivables Trust Series 2023‑P2, Class R
 
 
0.00% (1),(3)
    06/10/30        2,000       462,236  
Cedar Funding II CLO Ltd. Series 2013‑1A, Class BRR
 
 
6.60% (3 mo. USD
LIBOR + 1.350%) (1),(5)
    04/20/34        700,000       670,180  
CIFC Funding Ltd. Series 2018‑1A, Class SUB
 
 
1.00% (1),(6)
    04/18/31        650,000       285,787  
Issues   Maturity
Date
     Principal
Amount
    Value  
ASSET-BACKED SECURITIES (Continued)  
CIFC Funding Ltd. Series 2022‑2A, Class INCB
 
 
1.00% (1),(6)
    04/19/35      $ 685,000     $ 521,682  
CIT Education Loan Trust Series 2007‑1, Class A
 
 
5.33% (90 day USD SOFR Average + 0.352%) (1),(5)
    03/25/42        364,960       352,908  
COOF Securitization Trust II Series 2015‑2,
Class A1 (I/O)
 
 
2.29% (1),(6)
    08/25/41        2,377,171       147,701  
CoreVest American Finance Ltd. Series 2019‑1, Class XA (I/O)
 
 
2.46% (1),(6)
    03/15/52        175,853       3,819  
FirstKey Homes Trust Series 2020-SFR1, Class G
 
 
4.78% (1)
    08/17/37        1,735,000       1,619,709  
FirstKey Homes Trust Series 2021-SFR3, Class E1
 
 
2.99% (1)
    12/17/38        1,173,000       1,025,805  
FRTKL Group, Inc. Series 2021-SFR1, Class G
 
 
4.11% (1)
    09/17/38        1,015,000       860,112  
Global SC Finance II SRL Series 2014‑1A, Class A2
 
 
3.09% (1)
    07/17/29        47,067       45,762  
Goal Capital Funding Trust Series 2006‑1, Class B
 
 
5.85% (3 mo. USD
LIBOR + 0.450%) (5)
    08/25/42        128,749       114,842  
GoldenTree Loan Management U.S. CLO Ltd. Series 2023‑17A, Class D
 
 
10.25% (3 mo. USD Term SOFR + 5.000%) (1),(5)
    07/20/36        650,000       650,216  
Harvest Commercial Capital Loan Trust Series 2019‑1, Class A
 
 
3.29% (1),(6)
    09/25/46        187,814       179,926  
HOA Funding LLC Series 2021‑1A, Class A2
 
 
4.72% (1)
    08/20/51        589,500       486,028  
HPS Loan Management Ltd. Series 2023‑18A, Class D
 
 
11.01% (‑3 mo. USD Term SOFR + 5.750%) (1),(5)
    07/20/36        600,000       600,300  
ITE Rail Fund Levered LP Series 2021‑1A, Class A
 
 
2.25% (1)
    02/28/51        374,876       317,589  
J.G. Wentworth XXXVIII LLC Series 2017‑1A, Class A
 
 
3.99% (1)
    08/16/60        186,396       163,337  
Mosaic Solar Loan Trust Series 2021‑1A, Class R
 
 
0.00% (1),(7)
    12/20/46        800,918       102,446  
Mosaic Solar Loan Trust Series 2021‑2A, Class R
 
 
0.00% (1),(7)
    04/22/47        1,150,000       44,881  
Mosaic Solar Loan Trust Series 2021‑3A, Class R
 
 
0.00% (1),(7)
    06/20/52        1,600,000       143,245  
OCP CLO Ltd. Series 2021‑21A, Class B
 
 
6.95% (3 mo. USD
LIBOR + 1.700%) (1),(5)
    07/20/34        400,000       389,181  
OCP CLO Ltd. Series 2023‑28A, Class D
 
 
0.00% (‑3 mo. USD Term SOFR + 5.350%) (1),(5)
    07/16/36        700,000       702,625  
 
 
See accompanying Notes to Financial Statements.
 
5

TCW Strategic Income Fund, Inc.
 
Schedule of Investments (Unaudited) (Continued)
 
Issues   Maturity
Date
     Principal
Amount
    Value  
ASSET-BACKED SECURITIES (Continued)  
Park Avenue Institutional Advisers CLO Ltd. Series 2021‑1A, Class A2
 
 
7.00% (3 mo. USD
LIBOR + 1.750%) (1),(5)
    01/20/34      $ 420,000     $ 409,122  
Park Avenue Institutional Advisers CLO Ltd. Series 2021‑1A, Class C
 
 
9.05% (3 mo. USD
LIBOR + 3.800%) (1),(5)
    01/20/34        500,000       465,175  
Progress Residential Trust Series 2021-SFR7, Class E2
 
 
2.64% (1)
    08/17/40        1,451,000       1,147,601  
Progress Residential Trust Series 2021-SFR8, Class G
 
 
4.01% (1)
    10/17/38        1,450,000       1,243,206  
Progress Residential Trust Series 2021-SFR9, Class E1
 
 
2.81% (1)
    11/17/40        1,707,000       1,343,355  
Regatta XII Funding Ltd. Series 2019‑1A, Class BR
 
 
6.86% (3 mo. USD
LIBOR + 1.600%) (1),(5)
    10/15/32        725,000       709,485  
Rockford Tower CLO Ltd. Series 2017‑2A, Class BR
 
 
6.76% (3 mo. USD
LIBOR + 1.500%) (1),(5)
    10/15/29        800,000       788,622  
Rockford Tower CLO Ltd. Series 2020‑1A, Class D
 
 
9.00% (3 mo. USD
LIBOR + 3.750%) (1),(5)
    01/20/32        900,000       860,222  
Santander Consumer Auto Receivables Trust Series 2021‑BA, Class R
 
 
0.00% (1),(3)
    03/15/29        5,000       806,440  
Santander Consumer Auto Receivables Trust Series 2021‑CA, Class R
 
 
0.00% (1),(3)
    06/15/28        5,500       631,944  
SLC Student Loan Trust Series 2004-1, Class B
 
 
5.61% (3 mo. USD LIBOR + 0.290%) (5)
    08/15/31        177,180       150,560  
SLC Student Loan Trust Series 2006-1, Class B
 
 
5.76% (3 mo. USD LIBOR + 0.210%) (5)
    03/15/55        236,683       206,889  
SLM Student Loan EDC Repackaging Trust Series 2013-M1, Class M1R
 
 
0.00% (1),(3)
    10/28/29        1,000       574,044  
SLM Student Loan Trust Series 2004-2, Class B
 
 
5.73% (3 mo. USD LIBOR + 0.470%) (5)
    07/25/39        205,734       190,664  
SLM Student Loan Trust Series 2005-9, Class B
 
 
5.56% (3 mo. USD LIBOR + 0.300%) (5)
    01/25/41        286,988       259,460  
SLM Student Loan Trust Series 2007-6, Class B
 
 
6.11% (3 mo. USD LIBOR + 0.850%) (5)
    04/27/43        103,227       96,091  
SLM Student Loan Trust Series 2007-7, Class B
 
 
6.01% (3 mo. USD LIBOR + 0.750%) (5)
    10/27/70        150,000       128,478  
SLM Student Loan Trust Series 2008-2, Class B
 
 
6.46% (3 mo. USD LIBOR + 1.200%) (5)
    01/25/83        225,000       211,851  
Issues   Maturity
Date
     Principal
Amount
    Value  
ASSET-BACKED SECURITIES (Continued)  
SLM Student Loan Trust Series 2008-3, Class B
 
 
6.46% (3 mo. USD LIBOR + 1.200%) (5)
    04/26/83      $ 225,000     $ 208,442  
SLM Student Loan Trust Series 2008-4, Class B
 
 
7.11% (3 mo. USD LIBOR + 1.850%) (5)
    04/25/73        515,000       490,480  
SLM Student Loan Trust Series 2008-5, Class B
 
 
7.11% (3 mo. USD LIBOR + 1.850%) (5)
    07/25/73        260,000       253,682  
SLM Student Loan Trust Series 2008-6, Class B
 
 
7.11% (3 mo. USD LIBOR + 1.850%) (5)
    07/26/83        225,000       213,131  
SLM Student Loan Trust Series 2008-7, Class B
 
 
7.11% (3 mo. USD LIBOR + 1.850%) (5)
    07/26/83        305,000       282,256  
Stratus CLO Ltd. Series 2021-3A, Class SUB
 
 
1.00% (1),(6)
    12/29/29        750,000       524,697  
Structured Receivables Finance LLC Series 2010-A, Class B
 
 
7.61% (1)
    01/16/46        468,180       470,900  
Structured Receivables Finance LLC Series 2010-B, Class B
 
 
7.97% (1)
    08/15/36        307,730       312,231  
Student Loan Consolidation Center Student Loan Trust I Series 2002-2, Class B2
 
 
1.65% (28 day ARS) (1),(5)
    07/01/42        1,050,000       970,238  
Textainer Marine Containers VII Ltd. Series 2021-2A, Class A
 
 
2.23% (1)
    04/20/46        1,297,867       1,115,030  
TIF Funding II LLC Series 2021-1A, Class A
 
 
1.65% (1)
    02/20/46        1,228,097       1,023,825  
Tricon American Homes Trust Series 2017-SFR2, Class E
 
 
4.22% (1)
    01/17/36        1,350,000       1,328,364  
Vita Scientia DAC Series 2022-1X, Class D
 
 
5.95% (3 mo. EUR EURIBOR + 2.490%) (5),(8)
    02/27/33        1,500,000       1,355,629  
      
 
 
 
Total Asset-backed Securities
 
    
(Cost: $41,794,467)
 
       39,619,136  
      
 
 
 
MORTGAGE-BACKED SECURITIES 57.1%
 
Commercial Mortgage-backed Securities — Agency — 1.1%  
Federal Home Loan Mortgage Corp. Multifamily PC REMIC Trust Series 2019-P002, Class X (I/O)
 
 
1.14% (6)
    07/25/33        1,295,000       103,772  
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series K032, Class X3 (I/O)
 
 
2.26% (6)
    10/25/41        1,204,366       99  
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series K034, Class X1 (I/O)
 
 
0.20% (6)
    07/25/23        10,594,361       30  
 
 
See accompanying Notes to Financial Statements.
 
6

TCW Strategic Income Fund, Inc.
 
June 30, 2023
 
Issues   Maturity
Date
     Principal
Amount
    Value  
Commercial Mortgage-backed Securities — Agency (Continued)  
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series K039, Class X3 (I/O)
 
 
2.18% (6)
    08/25/42      $ 3,110,000     $ 93,148  
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series K040, Class X3 (I/O)
 
 
2.10% (6)
    11/25/42        4,875,000       113,656  
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series K049, Class X3 (I/O)
 
 
1.60% (6)
    10/25/43        2,330,000       66,549  
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series K060, Class X3 (I/O)
 
 
1.96% (6)
    12/25/44        2,500,000       139,059  
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series K726, Class X1 (I/O)
 
 
1.04% (6)
    04/25/24        9,736,756       38,143  
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series K728, Class X3 (I/O)
 
 
2.02% (6)
    11/25/45        3,455,000       80,131  
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series K732, Class X3 (I/O)
 
 
2.24% (6)
    05/25/46        2,400,000       95,628  
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series K735, Class X3 (I/O)
 
 
2.23% (6)
    05/25/47        3,750,000       206,722  
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series KC05, Class X1 (I/O)
 
 
1.35% (6)
    06/25/27        7,686,913       208,262  
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series KIR1, Class X (I/O)
 
 
1.17% (6)
    03/25/26        8,119,699       190,892  
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series KW01, Class X3 (I/O)
 
 
4.24% (6)
    03/25/29        690,000       59,654  
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series Q010, Class XPT2 (I/O)
 
 
0.36%
    08/25/24        1,406,192       3,906  
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series Q013, Class XPT2 (I/O)
 
 
1.81% (6)
    05/25/27        2,837,853       75,059  
Federal National Mortgage Association, Pool #AN3542
 
 
3.41%
    11/01/46        1,073,871       906,667  
Issues   Maturity
Date
     Principal
Amount
    Value  
Commercial Mortgage-backed Securities — Agency (Continued)  
Federal National Mortgage Association-ACES Series 2016-M11, Class X2 (ACES) (I/O)
 
 
3.09% (6)
    07/25/39      $ 750,131     $ 13,614  
Federal National Mortgage Association-ACES Series 2019-M29, Class X4 (ACES) (I/O)
 
 
0.70% (6)
    03/25/29        7,900,000       232,008  
Government National Mortgage Association Series 2009-114, Class IO (I/O)
 
 
0.01% (6)
    10/16/49        4,927,515       107  
Government National Mortgage Association Series 2010-148, Class IO (I/O)
 
 
0.29% (6)
    09/16/50        4,940,509       48,703  
Government National Mortgage Association Series 2011-105, Class IO (I/O)
 
 
0.00% (6)
    09/16/51        3,570,797       4  
Government National Mortgage Association Series 2011-152, Class IO (I/O)
 
 
0.00% (6)
    08/16/51        1,213,805       16  
Government National Mortgage Association Series 2012-139, Class IO (I/O)
 
 
0.55% (6)
    02/16/53        1,119,679       16,874  
Government National Mortgage Association Series 2012-4, Class IO (I/O)
 
 
0.00% (6)
    05/16/52        2,902,491       29  
Government National Mortgage Association Series 2013-52, Class IO (I/O)
 
 
0.06% (6)
    02/16/55        6,315,287       5,842  
Government National Mortgage Association Series 2014-103, Class IO (I/O)
 
 
0.19% (6)
    05/16/55        2,139,609       14,049  
Government National Mortgage Association Series 2014-125, Class IO (I/O)
 
 
0.91% (6)
    11/16/54        1,366,531       31,668  
      
 
 
 
Total Commercial Mortgage-backed Securities — Agency
 
    
(Cost: $6,212,677)
 
       2,744,291  
      
 
 
 
Commercial Mortgage-backed Securities — Non-Agency — 5.8%  
BBCMS Mortgage Trust Series 2020-BID, Class D
 
 
9.82% (1 mo. USD
LIBOR + 4.630%) (1),(5)
    10/15/37        705,000       647,607  
Benchmark Mortgage Trust Series 2019-B14, Class 225D
 
 
3.40% (1),(6)
    12/15/62        535,000       285,089  
Benchmark Mortgage Trust Series 2020-IG3, Class BXC
 
 
3.65% (1),(6)
    09/15/48        555,000       403,449  
BXP Trust Series 2017-GM, Class D
 
 
3.54% (6),(1)
    06/13/39        375,000       307,756  
Citigroup Commercial Mortgage Trust Series 2014-GC21, Class XD (I/O)
 
 
1.52% (1),(6)
    05/10/47        4,710,600       44,013  
Citigroup Commercial Mortgage Trust Series 2015-GC35, Class XA (I/O)
 
 
0.87% (6)
    11/10/48        6,313,033       82,954  
 
 
See accompanying Notes to Financial Statements.
 
7

TCW Strategic Income Fund, Inc.
 
Schedule of Investments (Unaudited) (Continued)
 
Issues   Maturity
Date
     Principal
Amount
    Value  
Commercial Mortgage-backed Securities — Non-Agency (Continued)  
Citigroup Commercial Mortgage Trust Series 2019-PRM, Class X (I/O)
 
 
1.33% (1),(6)
    05/10/36      $ 14,000,000     $ 139,945  
COMM Mortgage Trust Series 2012-LC4, Class XB (I/O)
 
 
0.44% (1),(6)
    12/10/44        14,788,860       139  
COMM Mortgage Trust Series 2013-CR11, Class XA (I/O)
 
 
0.94% (6)
    08/10/50        1,763,445       25  
COMM Mortgage Trust Series 2013-CR12, Class XA (I/O)
 
 
1.20% (6)
    10/10/46        5,269,310       3,141  
COMM Mortgage Trust Series 2013-LC13, Class XA (I/O)
 
 
1.11% (6)
    08/10/46        2,604,084       68  
COMM Mortgage Trust Series 2014-CR18, Class XA (I/O)
 
 
1.08% (6)
    07/15/47        4,828,954       24,541  
COMM Mortgage Trust Series 2014-CR21, Class XA (I/O)
 
 
0.99% (6)
    12/10/47        15,310,100       139,449  
COMM Mortgage Trust Series 2020-CBM, Class XCP (I/O)
 
 
0.72% (1),(6)
    02/10/37        5,644,863       44,379  
COMM Mortgage Trust Series 2020-CX, Class E
 
 
2.77% (1),(6)
    11/10/46        370,000       239,517  
CSMC Trust Series 2020-FACT, Class F
 
 
11.35% (1 mo. USD LIBOR + 6.157%) (1),(5)
    10/15/37        1,017,000       855,840  
Extended Stay America Trust Series 2021-ESH, Class F
 
 
8.89% (1 mo. USD LIBOR + 3.700%) (1),(5)
    07/15/38        626,430       591,740  
Frost CMBS DAC Series 2021-1A, Class EUE
 
 
7.37% (3 mo. EUR EURIBOR + 3.990%) (1),(5)
    11/20/33        746,412       679,907  
Grace Trust Series 2020-GRCE, Class D
 
 
2.77% (1),(6)
    12/10/40        700,000       488,397  
Grace Trust Series 2020-GRCE, Class F
 
 
2.77% (1),(6)
    12/10/40        376,000       226,202  
Grace Trust Series 2020-GRCE, Class X (I/O)
 
 
0.39% (1),(6)
    12/10/40        10,620,000       200,625  
GS Mortgage Securities Corporation Trust Series 2020-UPTN, Class XA (I/O)
 
 
0.45% (1),(6)
    02/10/37        3,150,000       14,885  
GS Mortgage Securities Trust Series 2011-GC3, Class X (I/O)
 
 
0.29% (1),(6)
    03/10/44        533,475       5  
GS Mortgage Securities Trust Series 2012-GCJ7, Class XB (I/O)
 
 
0.82% (1),(6)
    05/10/45        304,967       1,251  
Issues   Maturity
Date
     Principal
Amount
    Value  
Commercial Mortgage-backed Securities — Non-Agency (Continued)  
GS Mortgage Securities Trust Series 2014-GC18, Class XB (I/O)
 
 
0.34% (6)
    01/10/47      $ 66,563,000     $ 60,093  
GS Mortgage Securities Trust Series 2016-GS2, Class XA (I/O)
 
 
1.88% (6)
    05/10/49        4,061,697       148,995  
Hudson Yards Mortgage Trust Series 2019-55HY, Class F
 
 
3.04% (1),(6)
    12/10/41        150,000       98,943  
ILPT Trust Series 2019-SURF, Class A
 
 
4.15% (1)
    02/11/41        240,000       218,254  
JPMBB Commercial Mortgage Securities Trust Series 2014-C24, Class XA (I/O)
 
 
0.99% (6)
    11/15/47        7,091,037       47,649  
JPMBB Commercial Mortgage Securities Trust Series 2014-C21, Class XA (I/O)
 
 
1.09% (6)
    08/15/47        1,481,059       8,530  
JPMBB Commercial Mortgage Securities Trust Series 2014-C23, Class XA (I/O)
 
 
0.74% (6)
    09/15/47        9,006,015       46,063  
JPMBB Commercial Mortgage Securities Trust Series 2015-C29, Class XD (I/O)
 
 
0.50% (1),(6)
    05/15/48        26,458,000       217,126  
JPMCC Commercial Mortgage Securities Trust Series 2017-JP5, Class XA (I/O)
 
 
0.96% (6)
    03/15/50        10,190,993       224,305  
JPMorgan Chase Commercial Mortgage Securities Trust Series 2011-C3, Class XB (I/O)
 
 
0.50% (1),(6)
    02/15/46        50,185,877       141,155  
JPMorgan Chase Commercial Mortgage Securities Trust Series 2013-LC11, Class XA (I/O)
 
 
1.09% (6)
    04/15/46        1,797,931       8,708  
JPMorgan Chase Commercial Mortgage Securities Trust Series 2019-OSB, Class A
 
 
3.40% (1)
    06/05/39        585,000       506,297  
LMREC, Inc. Series 2019-CRE3, Class A
 
 
6.55% (1 mo. USD LIBOR + 1.400%) (1),(5)
    12/22/35        245,951       243,491  
Manhattan West Mortgage Trust Series 2020-1MW, Class A
 
 
2.13% (1)
    09/10/39        695,000       597,669  
Med Trust Series 2021-MDLN, Class G
 
 
10.44% (1 mo. USD LIBOR + 5.250%) (1),(5)
    11/15/38        666,800       620,577  
MFT Mortgage Trust Series 2020-ABC, Class C
 
 
3.59% (1),(6)
    02/10/42        175,000       112,982  
MFT Mortgage Trust Series 2020-ABC, Class D
 
 
3.59% (1),(6)
    02/10/42        730,000       446,206  
MFT Mortgage Trust Series 2020‑B6, Class C
 
 
3.39% (1),(6)
    08/10/40        220,000       143,238  
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015‑C22, Class XA (I/O)
 
 
1.14% (6)
    04/15/48        8,142,538       93,024  
 
 
See accompanying Notes to Financial Statements.
 
8

TCW Strategic Income Fund, Inc.
 
June 30, 2023
 
Issues   Maturity
Date
     Principal
Amount
    Value  
Commercial Mortgage-backed Securities — Non-Agency (Continued)  
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015‑C24, Class XA (I/O)
 
 
0.83% (6)
    05/15/48      $ 8,891,459     $ 95,396  
Morgan Stanley Bank of America Merrill Lynch Trust Series 2016‑C31, Class XA (I/O)
 
 
1.41% (6)
    11/15/49        6,406,322       199,742  
Natixis Commercial Mortgage Securities Trust Series 2019-FAME, Class D
 
 
4.54% (1),(6)
    08/15/36        835,000       591,905  
Roseville Ltd.
 
 
3.25% (4)
    03/29/25        605,000       591,569  
SFAVE Commercial Mortgage Securities Trust Series 2015-5AVE, Class A2A
 
 
3.66% (1),(6)
    01/05/43        805,000       569,948  
SFAVE Commercial Mortgage Securities Trust Series 2015-5AVE, Class D
 
 
4.53% (1),(6)
    01/05/43        880,000       457,219  
SMRT Commercial Mortgage Trust Series 2022-MINI, Class E
 
 
7.85% (1 mo. USD Term SOFR + 2.700%) (1),(5)
    01/15/39        1,005,000       949,994  
Taurus U.K. DAC Series 2021-UK1X, Class E
 
 
8.37% (Sterling Overnight Index Average + 3.650%) (8),(5)
    05/17/31        665,115       789,895  
UBS Commercial Mortgage Trust Series 2017‑C5, Class XA (I/O)
 
 
1.22% (6)
    11/15/50        5,693,652       187,821  
WFRBS Commercial Mortgage Trust Series 2013‑C14, Class XA (I/O)
 
 
0.56% (6)
    06/15/46        338,482       725  
WFRBS Commercial Mortgage Trust Series 2013‑C16, Class XA (I/O)
 
 
0.70% (6)
    09/15/46        6,756,601       108  
WFRBS Commercial Mortgage Trust Series 2014‑C24, Class XA (I/O)
 
 
0.98% (6)
    11/15/47        5,083,863       37,940  
      
 
 
 
Total Commercial Mortgage-backed Securities — Non‑Agency
 
 
(Cost: $21,228,387)
 
       13,876,491  
      
 
 
 
Residential Mortgage-backed Securities — Agency —19.0%  
Federal Home Loan Mortgage Corp. REMICS Series 1673, Class SD (I/F) (PAC)
 
 
11.66% (‑10 yr. CMT + 19.391%) (5)
    02/15/24        2,687       2,716  
Federal Home Loan Mortgage Corp. REMICS Series 1760, Class ZD
 
 
3.09% (10 yr. CMT - 0.500%) (5)
    02/15/24        5,803       5,783  
Federal Home Loan Mortgage Corp. REMICS Series 3122, Class SG (I/O) (I/F) (TAC) (PAC)
 
 
0.44% (‑1 mo. USD LIBOR + 5.630%) (5)
    03/15/36        1,252,380       72,167  
Issues   Maturity
Date
     Principal
Amount
    Value  
Residential Mortgage-backed Securities — Agency (Continued)  
Federal Home Loan Mortgage Corp. REMICS Series 3239, Class SI (I/O) (I/F) (PAC)
 
 
1.46% (‑1 mo. USD LIBOR + 6.650%) (5)
    11/15/36      $ 286,988     $ 30,774  
Federal Home Loan Mortgage Corp. REMICS Series 3323, Class SA (I/O) (I/F)
 
 
0.92% (‑1 mo. USD LIBOR + 6.110%) (5)
    05/15/37        63,391       3,025  
Federal Home Loan Mortgage Corp. REMICS Series 3459, Class JS (I/O) (I/F)
 
 
1.06% (‑1 mo. USD LIBOR + 6.250%) (5)
    06/15/38        82,527       6,846  
Federal Home Loan Mortgage Corp. REMICS Series 4030, Class HS (I/O) (I/F)
 
 
1.42% (‑1 mo. USD LIBOR + 6.610%) (5)
    04/15/42        517,610       48,159  
Federal National Mortgage Association REMICS Series 2007‑42, Class SE (I/O) (I/F)
 
 
0.96% (‑1 mo. USD LIBOR + 6.110%) (5)
    05/25/37        40,358       2,752  
Federal National Mortgage Association REMICS Series 2007‑48, Class SD (I/O) (I/F)
 
 
0.95% (‑1 mo. USD LIBOR + 6.100%) (5)
    05/25/37        766,129       48,324  
Federal National Mortgage Association REMICS Series 2009‑69, Class CS (I/O) (I/F)
 
 
1.60% (‑1 mo. USD LIBOR + 6.750%) (5)
    09/25/39        122,346       11,187  
Government National Mortgage Association REMICS Series 2006‑35, Class SA (I/O) (I/F)
 
 
1.45% (‑1 mo. USD LIBOR + 6.600%) (5)
    07/20/36        824,597       73,535  
Government National Mortgage Association REMICS Series 2006‑61, Class SA (I/O) (I/F) (TAC)
 
 
0.00% (‑1 mo. USD LIBOR + 4.750%) (5)
    11/20/36        1,161,954       25,703  
Government National Mortgage Association REMICS Series 2008‑58, Class TS (I/O) (I/F) (TAC)
 
 
1.25% (‑1 mo. USD LIBOR + 6.400%) (5)
    05/20/38        456,503       7,113  
Government National Mortgage Association REMICS Series 2014‑118, Class ST
 
 
0.45% (1 mo. USD LIBOR + 0.360%) (5)
    08/20/44        4,329,863       325,248  
Government National Mortgage Association REMICS Series 2016‑153, Class IO (I/O)
 
 
3.50%
    11/20/46        1,373,765       227,227  
Government National Mortgage Association, TBA
 
 
4.50% (9)
    03/01/53        1,275,000       1,230,512  
5.00% (9)
    03/01/53        600,000       589,641  
Uniform Mortgage-Backed Security, TBA
 
 
2.00% (9)
    12/01/51        3,650,000       2,977,459  
2.00% (9)
    12/01/51        7,775,000       6,346,951  
 
 
See accompanying Notes to Financial Statements.
 
9

TCW Strategic Income Fund, Inc.
 
Schedule of Investments (Unaudited) (Continued)
 
Issues   Maturity
Date
     Principal
Amount
    Value  
Residential Mortgage-backed Securities — Agency (Continued)  
2.50% (9)
    01/01/52      $ 10,500,000     $ 8,899,671  
2.50% (9)
    01/01/52        4,125,000       3,501,416  
3.00% (9)
    03/01/52        2,750,000       2,423,115  
3.50% (9)
    04/01/52        2,575,000       2,349,185  
4.00% (9)
    06/01/52        5,000,000       4,691,794  
4.50% (9)
    03/01/53        1,000,000       961,371  
4.50% (9)
    03/01/53        325,000       312,660  
5.00% (9)
    03/01/53        10,400,000       10,191,187  
      
 
 
 
Total Residential Mortgage-backed
Securities — Agency
 
 
(Cost: $45,581,927)
 
       45,365,521  
      
 
 
 
Residential Mortgage-backed Securities — Non‑Agency — 31.2%  
ABFC Trust Series 2007‑NC1, Class A2
 
 
5.45% (1 mo. USD LIBOR + 0.300%) (1),(5)
    05/25/37        782,545       708,289  
ACE Securities Corp. Home Equity Loan Trust Series 2004‑IN1, Class A1
 
 
5.79% (1 mo. USD LIBOR + 0.640%) (5)
    05/25/34        328,033       297,753  
ACE Securities Corp. Home Equity Loan Trust Series 2007-ASP1, Class A2C
 
 
5.67% (1 mo. USD LIBOR + 0.520%) (5)
    03/25/37        1,170,291       498,802  
Adjustable Rate Mortgage Trust Series 2005-4,
Class 6A22
 
 
4.34% (6),(10)
    08/25/35        337,244       288,477  
Ajax Mortgage Loan Trust Series 2019-F, Class A2
 
 
3.50% (1)
    07/25/59        1,300,000       1,182,770  
Asset-Backed Securities Corp. Home Equity Loan Trust Series 2006-HE3, Class A5
 
 
2.90% (1 mo. USD LIBOR + 0.540%) (5)
    03/25/36        870,387       832,820  
Asset-Backed Securities Corp. Home Equity Loan Trust Series 2007-HE1, Class A1B
 
 
3.50% (1 mo. USD LIBOR + 0.150%) (5)
    12/25/36        284,510       271,047  
Banc of America Alternative Loan Trust Series 2005-10, Class 1CB1
 
 
5.50% (1 mo. USD LIBOR + 0.400%) (5),(10)
    11/25/35        311,300       259,297  
Banc of America Funding Trust Series 2006-3, Class 4A14
 
 
6.00%
    03/25/36        145,235       116,352  
Banc of America Funding Trust Series 2006-3, Class 5A3
 
 
5.50% (10)
    03/25/36        100,816       87,086  
Banc of America Funding Trust Series 2015-R4, Class 2A1
 
 
5.34% (1 mo. USD LIBOR + 0.205%) (1),(5)
    02/25/37        298,540       291,191  
BCMSC Trust Series 2000-A, Class A4
 
 
8.29% (6)
    06/15/30        3,316,690       466,607  
Bear Stearns ALT-A Trust Series 2005-3, Class 4A3
 
 
3.76% (6)
    04/25/35        197,779       194,567  
Issues   Maturity
Date
     Principal
Amount
    Value  
Residential Mortgage-backed Securities — Non‑Agency (Continued)  
Bear Stearns ARM Trust Series 2003-7, Class 9A
 
 
4.23% (6)
    10/25/33      $ 201,348     $ 183,120  
Bear Stearns ARM Trust Series 2005-9, Class A1
 
 
5.23% (1 yr. CMT + 2.300%) (5)
    10/25/35        103,657       98,446  
Bear Stearns ARM Trust Series 2007-4, Class 22A1
 
 
4.06% (6),(10)
    06/25/47        529,265       477,454  
Bear Stearns Asset-Backed Securities I Trust Series 2005-AC6, Class 1A3
 
 
5.50% (6)
    09/25/35        277,362       243,707  
Bear Stearns Asset-Backed Securities I Trust Series 2006-IM1, Class A1
 
 
5.61% (1 mo. USD LIBOR + 0.460%) (5)
    04/25/36        78,645       81,413  
Bear Stearns Mortgage Funding Trust Series 2007-AR3, Class 1X (I/O)
 
 
0.50% (4)
    03/25/37        25,324,030       511,159  
C-BASS Mortgage Loan Trust Series 2007-CB2, Class A2B
 
 
3.54% (10)
    02/25/37        797,509       488,537  
C-BASS Mortgage Loan Trust Series 2007-CB2, Class A2C
 
 
3.54% (10)
    02/25/37        783,563       490,060  
C-BASS Mortgage Loan Trust Series 2007-CB3, Class A3
 
 
3.29%
    03/25/37        1,157,225       441,381  
Carrington Mortgage Loan Trust Series 2006-NC4, Class A4
 
 
5.39% (1 mo. USD LIBOR + 0.240%) (5)
    10/25/36        1,250,000       1,074,667  
Carrington Mortgage Loan Trust Series 2007-RFC1, Class A3
 
 
5.29% (1 mo. USD LIBOR + 0.140%) (5)
    12/25/36        1,079,081       1,033,015  
CHL Mortgage Pass-Through Trust Series 2004-HYB4, Class B1
 
 
4.53% (6)
    09/20/34        441,361       229,350  
CHL Mortgage Pass-Through Trust Series 2006-14, Class X (I/O)
 
 
0.14% (4),(6)
    09/25/36        8,038,263       33,801  
CHL Mortgage Pass-Through Trust Series 2006-HYB2, Class 1A1
 
 
4.22% (6)
    04/20/36        698,104       485,019  
CHNGE Mortgage Trust Series 2023-1, Class M1
 
 
8.41% (1),(6)
    03/25/58        460,000       456,228  
CIM Trust Series 2019-R1, Class A
 
 
3.25% (1),(6)
    10/25/58        698,564       601,777  
CIM Trust Series 2021-NR1, Class A1
 
 
2.57% (1)
    07/25/55        836,715       809,347  
CIM Trust Series 2021-NR2, Class A1
 
 
2.57% (1)
    07/25/59        964,543       923,432  
CIM Trust Series 2021-NR3, Class A1
 
 
2.57% (1)
    06/25/57        274,294       262,669  
CIM Trust Series 2021-NR4, Class A1
 
 
2.82% (1)
    10/25/61        1,063,258       996,043  
 
 
See accompanying Notes to Financial Statements.
 
10

TCW Strategic Income Fund, Inc.
 
June 30, 2023
 
Issues   Maturity
Date
     Principal
Amount
    Value  
Residential Mortgage-backed Securities — Non‑Agency (Continued)  
CIM Trust Series 2021-R3, Class A1A
 
 
1.95% (1),(6)
    06/25/57      $ 797,153     $ 685,010  
CIM Trust Series 2021-R4, Class A1A
 
 
2.00% (1),(6)
    05/01/61        822,784       704,026  
CIM Trust Series 2021-R5, Class A1B
 
 
2.00% (1),(6)
    08/25/61        1,096,000       638,981  
CIM Trust Series 2022-NR1, Class A1
 
 
5.00% (1),(10)
    07/25/62        346,037       317,131  
CIM Trust Series 2023-NR1, Class A1
 
 
6.00% (1)
    06/25/62        1,199,597       1,148,875  
CIM Trust Series 2023-NR2, Class A1
 
 
6.00% (1)
    06/25/62        1,240,062       1,166,666  
Citigroup Mortgage Loan Trust, Inc. Series 2005-11, Class A2A
 
 
5.41% (1 yr. CMT + 2.400%) (5)
    10/25/35        180,872       176,748  
Citigroup Mortgage Loan Trust, Inc. Series 2005-8, Class 1A1A
 
 
4.29% (6),(10)
    10/25/35        372,538       306,660  
Citigroup Mortgage Loan Trust, Inc. Series 2014-10, Class 2A2
 
 
4.49% (1 mo. USD LIBOR + 0.250%) (1),(5)
    07/25/37        159,715       160,725  
CitiMortgage Alternative Loan Trust Series 2006-A3, Class 1A7
 
 
6.00% (10)
    07/25/36        601,176       519,914  
CitiMortgage Alternative Loan Trust Series 2006-A5, Class 1A8
 
 
6.00% (10)
    10/25/36        506,892       446,558  
Conseco Finance Corp. Series 1996-6, Class M1
 
 
7.95% (6)
    09/15/27        13,973       13,989  
Conseco Finance Securitizations Corp. Series 1999-6, Class A1
 
 
7.36% (1),(6)
    06/01/30        1,256,636       454,683  
Countrywide Alternative Loan Trust Series 2005-46CB, Class A20 (TAC)
 
 
5.50% (10)
    10/25/35        541,220       391,052  
Countrywide Alternative Loan Trust Series 2006-8T1, Class 1A2 (I/O)
 
 
0.35% (-1 mo. USD LIBOR + 5.500%) (4),(5)
    04/25/36        4,662,352       435,568  
Countrywide Asset-Backed Certificates Trust Series 2007-13, Class 2A1
 
 
6.05% (1 mo. USD LIBOR + 0.900%) (5)
    10/25/47        416,027       375,710  
Credit Suisse First Boston Mortgage Securities Corp. Series 2005-12, Class 1A1
 
 
6.50%
    01/25/36        947,833       235,118  
Credit-Based Asset Servicing & Securitization LLC Series 2003-CB3, Class AF1
 
 
3.38%
    12/25/32        299,622       276,712  
Credit-Based Asset Servicing & Securitization LLC Series 2006-CB2, Class AF2
 
 
3.04%
    12/25/36        1,867,681       1,413,030  
Issues   Maturity
Date
     Principal
Amount
    Value  
Residential Mortgage-backed Securities — Non‑Agency (Continued)  
CSFB Mortgage-Backed Pass-Through Certificates Series 2004-AR5, Class 11A2
 
 
5.89% (1 mo. USD LIBOR + 0.740%) (5)
    06/25/34      $ 3,123     $ 3,152  
CSMC Mortgage-Backed Trust Series 2006-6, Class 1A8
 
 
6.00% (10)
    07/25/36        468,850       247,378  
Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR6, Class A6
 
 
5.53% (1 mo. USD LIBOR + 0.380%) (5)
    02/25/37        298,631       257,189  
Deutsche Alt-B Securities, Inc. Mortgage Loan Trust Series 2006-AB2, Class A2
 
 
4.81% (6),(10)
    06/25/36        915,233       795,783  
DSLA Mortgage Loan Trust Series 2006-AR2,
Class 2A1A
 
 
5.36% (1 mo. USD LIBOR + 0.200%) (5)
    10/19/36        339,494       237,746  
Federal Home Loan Mortgage Corp. STACR REMIC Trust Series 2021-DNA1, Class B2
 
 
9.82% (30 day USD SOFR Average + 4.750%) (1),(5)
    01/25/51        1,175,000       1,041,910  
Federal Home Loan Mortgage Corp. STACR REMIC Trust Series 2021-DNA5, Class B1
 
 
8.12% (30 day USD SOFR Average + 3.050%) (1),(5)
    01/25/34        800,000       778,407  
Federal Home Loan Mortgage Corp. STACR REMIC Trust Series 2021-DNA5, Class B2
 
 
10.57% (30 day USD SOFR Average + 5.500%) (1),(5)
    01/25/34        875,000       814,304  
Federal Home Loan Mortgage Corp. STACR REMIC Trust Series 2021-DNA6, Class B1
 
 
8.47% (30 day USD SOFR Average + 3.400%) (1),(5)
    10/25/41        650,000       648,177  
Federal Home Loan Mortgage Corp. STACR REMIC Trust Series 2021-HQA2, Class M2
 
 
7.12% (30 day USD SOFR Average + 2.050%) (1),(5)
    12/25/33        900,000       862,379  
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2021-DNA2, Class B2
 
 
11.07% (30 day USD SOFR Average + 6.000%) (1),(5)
    08/25/33        825,000       810,056  
Federal National Mortgage Association Connecticut Avenue Securities Series 2019-R06, Class 2B1
 
 
8.90% (1 mo. USD LIBOR + 3.750%) (1),(5)
    09/25/39        724,928       731,355  
Federal National Mortgage Association Connecticut Avenue Securities Series 2019-R07, Class 1B1
 
 
8.55% (1 mo. USD LIBOR + 3.400%) (1),(5)
    10/25/39        1,000,000       1,008,537  
Federal National Mortgage Association Connecticut Avenue Securities Series 2021-R02, Class 2B1
 
 
8.37% (30 day USD SOFR Average + 3.300%) (1),(5)
    11/25/41        800,000       795,747  
Federal National Mortgage Association Connecticut Avenue Securities Series 2021-R03, Class 1B2
 
 
10.57% (30 day USD SOFR Average + 5.500%) (1),(5)
    12/25/41        1,000,000       972,047  
 
 
See accompanying Notes to Financial Statements.
 
11

TCW Strategic Income Fund, Inc.
 
Schedule of Investments (Unaudited) (Continued)
 
Issues   Maturity
Date
     Principal
Amount
    Value  
Residential Mortgage-backed Securities — Non‑Agency (Continued)  
Federal National Mortgage Association Connecticut Avenue Securities Series 2022-R04, Class 1M2
 
 
8.17% (30 day USD SOFR Average + 3.100%) (1),(5)
    03/25/42      $ 850,000     $ 865,221  
First Franklin Mortgage Loan Trust Series 2006-FF13, Class A2C
 
 
5.47% (1 mo. USD LIBOR + 0.320%) (5)
    10/25/36        596,712       401,835  
First Horizon Alternative Mortgage Securities Trust Series 2005-AA10, Class 2A1
 
 
5.54% (6),(10)
    12/25/35        169,186       137,089  
Greenpoint Manufactured Housing Series 2000-1, Class A4
 
 
8.14% (6)
    03/20/30        446,327       323,655  
GSAA Home Equity Trust Series 2006-13, Class AF6
 
 
6.54%
    07/25/36        1,142,665       363,530  
GSAMP Trust Series 2007-NC1, Class A2C
 
 
5.30% (1 mo. USD LIBOR + 0.1500%) (5)
    12/25/46        2,307,866       1,049,711  
GSC Capital Corp. Mortgage Trust Series 2006-2, Class A1
 
 
5.51% (1 mo. USD LIBOR + 0.360%) (5)
    05/25/36        188,181       174,785  
GSR Mortgage Loan Trust Series 2005-AR3, Class 6A1
 
 
3.91% (6)
    05/25/35        136,607       106,240  
HSI Asset Loan Obligation Trust Series 2007-2, Class 2A12
 
 
6.00%
    09/25/37        333,223       254,304  
IndyMac INDX Mortgage Loan Trust Series 2004-AR6, Class 5A1
 
 
4.01% (6)
    10/25/34        263,100       250,048  
IndyMac INDX Mortgage Loan Trust Series 2005-AR19, Class A1
 
 
3.28% (6)
    10/25/35        382,704       303,926  
IndyMac INDX Mortgage Loan Trust Series 2006-AR13, Class A4X (I/O)
 
 
0.57% (4),(6)
    07/25/36        226,908       2  
IndyMac INDX Mortgage Loan Trust Series 2006-AR9, Class 1A1
 
 
3.73% (6)
    06/25/36        433,207       261,074  
IndyMac INDX Mortgage Loan Trust Series 2007-AR5, Class 2A1
 
 
3.32% (6)
    05/25/37        643,152       529,171  
IndyMac INDX Mortgage Loan Trust Series 2007-FLX2, Class A1C
 
 
5.34% (1 mo. USD LIBOR + 0.190%) (5)
    04/25/37        1,430,590       1,244,250  
JPMorgan Alternative Loan Trust Series 2006-A2, Class 5A1
 
 
3.98% (6),(10)
    05/25/36        350,674       206,307  
JPMorgan Mortgage Acquisition Trust Series 2006-WF1, Class A5
 
 
6.91%
    07/25/36        1,912,571       541,908  
JPMorgan Mortgage Trust Series 2004-A6, Class 5A1
 
 
3.90% (6)
    12/25/34        171,340       156,181  
Issues   Maturity
Date
     Principal
Amount
    Value  
Residential Mortgage-backed Securities — Non‑Agency (Continued)  
JPMorgan Mortgage Trust Series 2007-S2, Class 1A1
 
 
5.00%
    06/25/37      $ 147,213     $ 55,453  
JPMorgan Resecuritization Trust Series 2015-4, Class 2A2
 
 
3.91% (1),(6)
    06/26/47        3,080,454       1,382,561  
Lehman Mortgage Trust Series 2006-7, Class 2A5 (I/O) (I/F)
 
 
1.40% (-1 mo. USD LIBOR + 6.550%) (4),(5)
    11/25/36        2,888,711       295,955  
Lehman XS Trust Series 2006-10N, Class 1A3A
 
 
5.57% (1 mo. USD
LIBOR + 0.420%) (5)
    07/25/46        405,502       368,566  
Lehman XS Trust Series 2006-12N, Class A31A
 
 
5.55% (1 mo. USD
LIBOR + 0.400%) (5)
    08/25/46        516,968       507,689  
Long Beach Mortgage Loan Trust Series 2004-4, Class M1
 
 
6.05% (1 mo. USD
LIBOR + 0.900%) (5)
    10/25/34        390,224       363,859  
MASTR Alternative Loan Trust Series 2006-2, Class 2A2 (I/O) (I/F)
 
 
1.95% (-1 mo. USD
LIBOR + 7.100%) (4),(5)
    03/25/36        5,892,702       388,694  
MASTR Alternative Loan Trust Series 2007-HF1, Class 4A1
 
 
7.00%
    10/25/47        1,060,738       523,757  
MASTR Asset-Backed Securities Trust Series 2007-HE1, Class A4
 
 
5.43% (1 mo. USD
LIBOR + 0.280%) (5)
    05/25/37        2,000,000       1,560,302  
Merrill Lynch Alternative Note Asset Trust Series 2007-OAR2, Class A2
 
 
5.57% (1 mo. USD
LIBOR + 0.420%) (5)
    04/25/37        600,593       510,474  
Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-3, Class A2B
 
 
5.41% (1 mo. USD
LIBOR + 0.260%) (5)
    06/25/37        458,107       419,599  
Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-3, Class A2C
 
 
5.51% (1 mo. USD
LIBOR + 0.360%) (5)
    06/25/37        935,445       857,474  
Merrill Lynch Mortgage Investors Trust Series 2006-RM2, Class A1A
 
 
5.52% (1 mo. USD
LIBOR + 0.370%) (5)
    05/25/37        3,937,446       1,129,572  
Merrill Lynch Mortgage-Backed Securities Trust Series 2007-2, Class 1A1
 
 
7.62% (1 yr. CMT + 2.400%) (5),(10)
    08/25/36        106,162       94,016  
Morgan Stanley Mortgage Loan Trust Series 2007-15AR, Class 4A1
 
 
3.43% (6)
    11/25/37        238,877       214,707  
 
 
See accompanying Notes to Financial Statements.
 
12

TCW Strategic Income Fund, Inc.
 
June 30, 2023
 
Issues   Maturity
Date
     Principal
Amount
    Value  
Residential Mortgage-backed Securities — Non‑Agency (Continued)  
New Residential Mortgage Loan Trust Series 2022-NQM2, Class A2
 
 
3.70% (1),(6)
    03/27/62      $ 930,000     $ 708,705  
Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2006-AR1, Class 1A
 
 
4.24% (6)
    02/25/36        116,213       81,377  
Oakwood Mortgage Investors, Inc. Series 1999-E, Class A1
 
 
7.61% (6)
    03/15/30        570,894       348,200  
Oakwood Mortgage Investors, Inc. Series 2000-A, Class A4
 
 
8.15% (6)
    09/15/29        1,717,630       413,397  
Oakwood Mortgage Investors, Inc. Series 2000-D, Class A4
 
 
7.40% (6)
    07/15/30        681,680       159,900  
Oakwood Mortgage Investors, Inc. Series 2001-C, Class A3
 
 
6.61% (6)
    06/15/31        1,671,028       198,180  
Oakwood Mortgage Investors, Inc. Series 2001-D, Class A3
 
 
5.90% (6),(11)
    09/15/22        564,902       282,572  
Oakwood Mortgage Investors, Inc. Series 2002-A, Class A3
 
 
6.03% (6)
    05/15/24        12,289       12,265  
Preston Ridge Partners Mortgage LLC Series 2021-10, Class A1
 
 
2.49% (1)
    10/25/26        892,829       835,639  
Preston Ridge Partners Mortgage LLC Series 2021-11, Class A1
 
 
2.49% (1)
    11/25/26        395,767       370,145  
Preston Ridge Partners Mortgage LLC Series 2021-4, Class A1
 
 
1.87% (1)
    04/25/26        1,229,637       1,138,435  
Preston Ridge Partners Mortgage LLC Series 2021-8, Class A1
 
 
1.74% (1),(6)
    09/25/26        679,400       627,728  
Preston Ridge Partners Mortgage LLC Series 2022-1, Class A2
 
 
6.29% (1)
    02/25/27        1,000,000       944,158  
PRET LLC Series 2022-RN2, Class A2
 
 
6.50% (1)
    06/25/52        1,255,000       1,147,999  
Pretium Mortgage Credit Partners LLC Series 2022-RN3, Class A2
 
 
6.50% (1),(6)
    08/25/52        1,125,000       1,030,977  
PRPM LLC Series 2022-3, Class A1
 
 
5.56% (1)
    06/25/27        1,285,334       1,255,211  
PRPM LLC Series 2022-4, Class A2
 
 
5.00% (1)
    08/25/27        1,080,000       981,747  
Residential Accredit Loans, Inc. Trust Series 2005-QA7, Class A1
 
 
4.37% (6),(10)
    07/25/35        628,730       478,848  
Issues   Maturity
Date
     Principal
Amount
    Value  
Residential Mortgage-backed Securities — Non‑Agency (Continued)  
Residential Accredit Loans, Inc. Trust Series 2005-QA8, Class CB21
 
 
4.70% (6),(10)
    07/25/35      $ 324,595     $ 183,793  
Residential Accredit Loans, Inc. Trust Series 2006-QA10, Class A2
 
 
5.51% (1 mo. USD
LIBOR + 0.360%) (5)
    12/25/36        376,752       308,108  
Residential Accredit Loans, Inc. Trust Series 2006-QS1, Class A3 (PAC)
 
 
5.75% (10)
    01/25/36        226,530       183,077  
Residential Accredit Loans, Inc. Trust Series 2006-QS13, Class 1A2 (I/O) (I/F)
 
 
2.01% (-1 mo. USD
LIBOR + 7.160%) (4),(5)
    09/25/36        2,070,145       181,886  
Residential Accredit Loans, Inc. Trust Series 2006-QS6, Class 1AV (I/O)
 
 
0.77% (4),(6)
    06/25/36        2,714,974       57,633  
Residential Accredit Loans, Inc. Trust Series 2006-QS7, Class A2
 
 
6.00% (10)
    06/25/36        292,195       229,080  
Residential Accredit Loans, Inc. Trust Series 2006-QS8, Class A3
 
 
6.00% (10)
    08/25/36        523,009       426,952  
Residential Accredit Loans, Inc. Trust Series 2007-QS2, Class AV (I/O)
 
 
0.32% (4),(6)
    01/25/37        6,265,062       63,652  
Residential Accredit Loans, Inc. Trust Series 2007-QS3, Class AV (I/O)
 
 
0.36% (4),(6)
    02/25/37        7,390,640       85,114  
Residential Accredit Loans, Inc. Trust Series 2007-QS6, Class A62 (TAC)
 
 
5.50% (10)
    04/25/37        160,751       124,739  
Residential Asset Securitization Trust Series 2005-A15, Class 4A1
 
 
6.00%
    02/25/36        930,124       322,061  
Residential Asset Securitization Trust Series 2007-A5, Class AX (I/O)
 
 
6.00% (4)
    05/25/37        1,308,109       227,883  
Residential Funding Mtg Sec I Trust Series 2006-S9, Class AV (I/O)
 
 
0.35% (4),(6)
    09/25/36        16,442,278       177,284  
Saxon Asset Securities Trust Series 2007-3, Class 2A4
 
 
5.64% (1 mo. USD
LIBOR + 0.490%) (5)
    09/25/47        2,926,000       2,321,999  
Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2
 
 
2.86%
    01/25/36        970,686       776,729  
Securitized Asset-Backed Receivables LLC Trust Series 2007-NC2, Class A2C
 
 
5.59% (1 mo. USD
LIBOR + 0.440%) (5)
    01/25/37        4,614,000       3,248,054  
 
 
See accompanying Notes to Financial Statements.
 
13

TCW Strategic Income Fund, Inc.
 
Schedule of Investments (Unaudited) (Continued)
 
Issues   Maturity
Date
     Principal
Amount
    Value  
Residential Mortgage-backed Securities — Non‑Agency (Continued)  
Structured Adjustable Rate Mortgage Loan Trust Series 2005-20, Class 1A1
 
 
5.77% (6),(10)
    10/25/35      $ 87,551     $ 82,471  
Structured Adjustable Rate Mortgage Loan Trust Series 2007-9, Class 2A1
 
 
3.94% (6),(10)
    10/25/47        230,226       144,881  
Structured Asset Mortgage Investments II Trust Series 2006-AR4, Class 5A1
 
 
5.51% (1 mo. USD
LIBOR + 0.360%) (5)
    06/25/36        654,488       527,664  
VOLT CIII LLC Series 2021-CF1, Class A1
 
 
1.99% (1)
    08/25/51        769,726       717,432  
VOLT XCIX LLC Series 2021-NPL8, Class A1
 
 
2.12% (1)
    04/25/51        1,307,357       1,192,339  
WaMu Asset-Backed Certificates WaMu Trust Series 2007-HE1, Class 2A3
 
 
5.30% (1 mo. USD
LIBOR + 0.150%) (5)
    01/25/37        1,561,701       713,770  
Wells Fargo Alternative Loan Trust Series 2007-PA2, Class 2A2 (I/O) (I/F)
 
 
0.92% (-1 mo. USD
LIBOR + 6.070%) (4),(5)
    06/25/37        1,370,681       97,846  
Wells Fargo Mortgage-Backed Securities Trust Series 2007-AR3, Class A4
 
 
4.63% (6),(10)
    04/25/37        104,526       90,427  
      
 
 
 
Total Residential Mortgage-backed
Securities — Non-Agency
 
 
(Cost: $83,375,648)
 
    74,629,278  
      
 
 
 
Total Mortgage-backed Securities
 
(Cost: $156,398,639)
 
    136,615,581  
      
 
 
 
CORPORATE BONDS 32.8%
 
Aerospace & Defense — 0.4%  
Boeing Co.
1.43%
    02/04/24        675,000       657,241  
TransDigm, Inc.
6.75% (1)
    08/15/28        350,000       352,418  
      
 
 
 
         1,009,659  
      
 
 
 
Agriculture — 0.7%  
BAT Capital Corp.
 
4.54%
    08/15/47        135,000       99,485  
5.65%
    03/16/52        175,000       152,512  
Imperial Brands Finance Netherlands BV (Netherlands)
 
 
1.75% (8)
    03/18/33        100,000       79,000  
Imperial Brands Finance PLC (United Kingdom)
 
 
3.13% (1)
    07/26/24        270,000       261,087  
6.13% (1)
    07/27/27        125,000       125,425  
Reynolds American, Inc.
 
 
5.85%
    08/15/45        975,000       871,621  
      
 
 
 
         1,589,130  
      
 
 
 
Issues   Maturity
Date
     Principal
Amount
    Value  
Airlines — 0.2%  
JetBlue Pass-Through Trust Series 2020-1, Class A
 
 
4.00%
    05/15/34      $ 669,126     $ 609,995  
      
 
 
 
Banks — 9.4%  
Bank of America Corp.
      
0.98% (Secured Overnight Financing Rate + 0.910%) (5)
    09/25/25        395,000       371,328  
1.66% (Secured Overnight Financing Rate + 0.910%) (5)
    03/11/27        725,000       651,406  
1.73% (Secured Overnight Financing Rate + 0.960%) (5)
    07/22/27        55,000       49,113  
1.92% (Secured Overnight Financing Rate + 1.370%) (5)
    10/24/31        305,000       242,024  
2.30% (Secured Overnight Financing Rate + 1.220%) (5)
    07/21/32        655,000       523,921  
2.55% (Secured Overnight Financing Rate + 1.050%) (5)
    02/04/28        120,000       108,390  
2.88% (3 mo. USD Term SOFR + 1.452%) (5)
    10/22/30        500,000       430,161  
3.42% (3 mo. USD Term SOFR + 1.302%) (5)
    12/20/28        395,000       363,538  
4.38% (5 yr. CMT + 2.760%) (5),(12)
    01/27/27        140,000       121,209  
Citigroup, Inc.
 
1.46% (Secured Overnight Financing Rate + 0.770%) (5)
    06/09/27        330,000       293,208  
2.52% (Secured Overnight Financing Rate + 1.177%) (5)
    11/03/32        1,405,000       1,130,955  
2.57% (Secured Overnight Financing Rate + 2.107%)(5)
    06/03/31        455,000       379,816  
2.67% (Secured Overnight Financing Rate + 1.146%) (5)
    01/29/31        140,000       118,553  
2.98% (Secured Overnight Financing Rate + 1.422%) (5)
    11/05/30        145,000       125,976  
Comerica, Inc.
      
5.63% (5 yr. CMT + 5.291%) (5),(12)
    07/01/25        395,000       328,384  
Goldman Sachs Group, Inc.
 
0.93% (Secured Overnight Financing Rate + 0.486%) (5)
    10/21/24        285,000       280,213  
1.22%
    12/06/23        700,000       687,183  
1.54% (Secured Overnight Financing Rate + 0.818%) (5)
    09/10/27        1,350,000       1,187,649  
 
 
See accompanying Notes to Financial Statements.
 
14

TCW Strategic Income Fund, Inc.
 
June 30, 2023
 
Issues   Maturity
Date
     Principal
Amount
    Value  
Banks (Continued)  
2.38% (Secured Overnight Financing Rate + 1.248%) (5)
    07/21/32      $ 205,000     $ 164,338  
2.65% (Secured Overnight Financing Rate + 1.264%) (5)
    10/21/32        520,000       424,038  
HSBC Holdings PLC (United Kingdom)
 
1.59% (Secured Overnight Financing Rate + 1.290%) (5)
    05/24/27        285,000       251,675  
2.10% (Secured Overnight Financing Rate + 1.929%) (5)
    06/04/26        430,000       398,126  
2.21% (Secured Overnight Financing Rate + 1.285%) (5)
    08/17/29        1,075,000       900,936  
2.36% (Secured Overnight Financing Rate + 1.947%) (5)
    08/18/31        255,000       204,354  
6.33% (Secured Overnight Financing Rate + 2.650%) (5)
    03/09/44        75,000       77,956  
JPMorgan Chase & Co.
 
1.04% (3 mo. USD Term SOFR + 0.695%) (5)
    02/04/27        1,000,000       891,470  
1.58% (Secured Overnight Financing Rate + 0.885%) (5)
    04/22/27        425,000       381,964  
2.07% (Secured Overnight Financing Rate + 1.015%) (5)
    06/01/29        110,000       94,444  
2.55% (Secured Overnight Financing Rate + 1.180%) (5)
    11/08/32        365,000       299,501  
2.58% (3 mo. USD Term SOFR + 1.250%) (5)
    04/22/32        355,000       294,977  
2.95% (Secured Overnight Financing Rate + 1.170%) (5)
    02/24/28        175,000       160,892  
Lloyds Banking Group PLC (United Kingdom)
 
3.57% (3 mo. USD LIBOR + 1.205%) (5)
    11/07/28        200,000       181,426  
4.98% (1 yr. CMT + 2.300%) (5)
    08/11/33        300,000       280,938  
Macquarie Group Ltd. (Australia)
 
2.69% (Secured Overnight Financing Rate + 1.440%) (1),(5)
    06/23/32        160,000       126,851  
2.87% (Secured Overnight Financing Rate + 1.532%) (1),(5)
    01/14/33        555,000       443,778  
5.03% (3 mo. USD LIBOR + 1.750%) (1),(5)
    01/15/30        215,000       209,883  
Issues   Maturity
Date
     Principal
Amount
    Value  
Banks (Continued)  
Morgan Stanley
 
0.79% (Secured Overnight Financing Rate + 0.525%) (5)
    05/30/25      $ 920,000     $ 874,242  
1.93% (Secured Overnight Financing Rate + 1.020%) (5)
    04/28/32        400,000       310,854  
2.24% (Secured Overnight Financing Rate + 1.178%) (5)
    07/21/32        10,000       7,959  
2.48% (Secured Overnight Financing Rate + 1.360%) (5)
    09/16/36        190,000       143,862  
2.70% (Secured Overnight Financing Rate + 1.143%) (5)
    01/22/31        450,000       383,836  
NatWest Group PLC (United Kingdom)
 
4.27% (3 mo. USD LIBOR + 1.762%) (5)
    03/22/25        180,000       176,807  
PNC Financial Services Group, Inc.
 
5.07% (Secured Overnight Financing Rate + 1.933%) (5)
    01/24/34        245,000       235,124  
Santander U.K. Group Holdings PLC (United Kingdom)
 
1.09% (Secured Overnight Financing Rate + 0.787%) (5)
    03/15/25        1,095,000       1,048,824  
1.67% (Secured Overnight Financing Rate + 0.989%) (5)
    06/14/27        55,000       47,660  
U.S. Bancorp
 
3.70% (5 yr. CMT + 2.541%) (5),(12)
    01/15/27        130,000       96,012  
4.84% (Secured Overnight Financing Rate + 1.600%) (5)
    02/01/34        565,000       529,716  
5.84% (Secured Overnight Financing Rate + 2.260%) (5)
    06/12/34        140,000       141,081  
5.85% (Secured Overnight Financing Rate + 2.090%) (5)
    10/21/33        115,000       115,689  
UBS Group AG (Switzerland)
 
1.31% (Secured Overnight Financing Rate Index + 0.980%) (1),(5)
    02/02/27        190,000       166,336  
2.59% (Secured Overnight Financing Rate + 1.560%) (1),(5)
    09/11/25        95,000       90,531  
3.09% (Secured Overnight Financing Rate + 1.730%) (1),(5)
    05/14/32        500,000       404,870  
4.19% (Secured Overnight Financing Rate + 3.730%) (1),(5)
    04/01/31        2,660,000       2,368,943  
 
 
See accompanying Notes to Financial Statements.
 
15

TCW Strategic Income Fund, Inc.
 
Schedule of Investments (Unaudited) (Continued)
 
Issues   Maturity
Date
     Principal
Amount
    Value  
Banks (Continued)  
Wells Fargo & Co.
 
2.39% (Secured Overnight Financing Rate + 2.100%) (5)
    06/02/28      $ 1,090,000     $ 972,101  
3.35% (Secured Overnight Financing Rate + 1.500%) (5)
    03/02/33        1,320,000       1,131,834  
4.90% (Secured Overnight Financing Rate + 2.100%) (5)
    07/25/33        200,000       191,951  
      
 
 
 
         22,618,806  
      
 
 
 
Beverages — 0.2%  
Bacardi Ltd.
 
5.30% (1)
    05/15/48        205,000       193,152  
Triton Water Holdings, Inc.
 
6.25% (1)
    04/01/29        350,000       301,105  
      
 
 
 
         494,257  
      
 
 
 
Biotechnology — 0.4%  
Amgen, Inc.
 
4.88%
    03/01/53        135,000       124,250  
5.60%
    03/02/43        245,000       246,179  
5.65%
    03/02/53        245,000       248,513  
Grifols Escrow Issuer SA
 
4.75% (1)
    10/15/28        425,000       369,172  
      
 
 
 
         988,114  
      
 
 
 
Chemicals — 0.5%  
ASP Unifrax Holdings, Inc.
 
5.25% (1)
    09/30/28        280,000       202,603  
Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV
 
 
4.75% (1)
    06/15/27        135,000       128,419  
International Flavors & Fragrances, Inc.
 
2.30% (1)
    11/01/30        665,000       527,505  
3.27% (1)
    11/15/40        15,000       10,510  
3.47% (1)
    12/01/50        40,000       26,774  
5.00%
    09/26/48        10,000       8,480  
SK Invictus Intermediate II Sarl
 
 
5.00% (1)
    10/30/29        285,000       226,726  
Valvoline, Inc.
      
3.63% (1)
    06/15/31        150,000       122,088  
      
 
 
 
         1,253,105  
      
 
 
 
Commercial Services — 0.6%        
Adtalem Global Education, Inc.
 
    
5.50% (1)
    03/01/28        266,000       241,858  
Global Payments, Inc.
      
5.40%
    08/15/32        105,000       102,391  
5.95%
    08/15/52        179,000       172,053  
Issues   Maturity
Date
     Principal
Amount
    Value  
Commercial Services (Continued)        
Hertz Corp.
      
4.63% (1)
    12/01/26      $ 25,000     $ 22,688  
5.00% (1)
    12/01/29        405,000       332,100  
Upbound Group, Inc.
      
6.38% (1)
    02/15/29        270,000       240,300  
WASH Multifamily Acquisition, Inc.
 
    
5.75% (1)
    04/15/26        260,000       244,163  
      
 
 
 
         1,355,553  
      
 
 
 
Computers — 0.1%        
NCR Corp.
      
5.13% (1)
    04/15/29        315,000       279,487  
5.25% (1)
    10/01/30        80,000       69,669  
      
 
 
 
         349,156  
      
 
 
 
Cosmetics/Personal Care — 0.1%  
Edgewell Personal Care Co.
      
5.50% (1)
    06/01/28        133,000       126,379  
      
 
 
 
Diversified Financial Services — 1.1%  
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
 
 
3.30%
    01/30/32        590,000       482,602  
3.88%
    01/23/28        130,000       119,572  
Air Lease Corp.
      
3.63%
    12/01/27        120,000       109,503  
American Express Co.
      
3.55% (5 yr. CMT + 2.854%) (5),(12)
    09/15/26        145,000       121,359  
Avolon Holdings Funding Ltd.
 
    
2.53% (1)
    11/18/27        406,000       342,738  
2.88% (1)
    02/15/25        305,000       284,693  
3.95% (1)
    07/01/24        85,000       82,496  
Capital One Financial Corp.
      
3.27% (Secured Overnight Financing Rate + 1.790%) (5)
    03/01/30        375,000       319,913  
Charles Schwab Corp.
      
5.00% (5 yr. CMT + 3.256%) (5),(12)
    06/01/27        135,000       113,463  
GGAM Finance Ltd.
      
8.00% (1)
    06/15/28        242,000       242,728  
Jane Street Group/JSG Finance, Inc.
 
    
4.50% (1)
    11/15/29        435,000       375,601  
Park Aerospace Holdings Ltd.
 
    
5.50% (1)
    02/15/24        132,000       130,530  
      
 
 
 
         2,725,198  
      
 
 
 
 
 
See accompanying Notes to Financial Statements.
 
16

TCW Strategic Income Fund, Inc.
 
June 30, 2023
 
Issues   Maturity
Date
     Principal
Amount
    Value  
Electric — 1.2%  
Alliant Energy Finance LLC
      
3.60% (1)
    03/01/32      $ 535,000     $ 467,665  
Arizona Public Service Co.
      
3.35%
    05/15/50        1,000,000       692,290  
Duke Energy Corp.
      
3.85%
    06/15/34        330,000       329,831  
FirstEnergy Corp.
      
3.40%
    03/01/50        450,000       310,689  
FirstEnergy Transmission LLC
 
    
4.35% (1)
    01/15/25        300,000       292,346  
Pike Corp.
      
5.50% (1)
    09/01/28        225,000       202,231  
TenneT Holding BV (Netherlands)
 
 
2.75% (8)
    05/17/42        115,000       111,624  
4.50% (8)
    10/28/34        200,000       232,541  
4.75% (8)
    10/28/42        110,000       133,706  
      
 
 
 
         2,772,923  
      
 
 
 
Engineering & Construction — 0.1%  
Artera Services LLC
      
9.03% (1)
    12/04/25        254,000       222,623  
Cellnex Finance Co. SA (Spain)
 
    
2.00% (8)
    09/15/32        100,000       86,101  
      
 
 
 
         308,724  
      
 
 
 
Entertainment — 0.8%  
Cinemark USA, Inc.
      
5.25% (1)
    07/15/28        150,000       132,750  
Everi Holdings, Inc.
      
5.00% (1)
    07/15/29        275,000       242,000  
Penn Entertainment, Inc.
      
4.13% (1)
    07/01/29        300,000       246,750  
5.63% (1)
    01/15/27        165,000       154,481  
WarnerMedia Holdings, Inc.
      
4.28%
    03/15/32        5,000       4,437  
5.05%