TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS March 31, 2024 (Unaudited)

 

 

Issues   

Maturity

Date

    

Principal

Amount

     Value  

 

  

 

 

    

 

 

    

 

 

 

FIXED INCOME SECURITIES—97.6% of Net Assets

 

ASSET-BACKED SECURITIES—16.4%

 

Academic Loan Funding Trust Series 2012-1A, Class R
0.00%(1),(2),(3),(4)

     12/27/44      $ 3,368      $ 620,518  

Allegro CLO XII Ltd. Series 2020-1A, Class B
7.28% (3 mo. USD Term SOFR + 1.962%)(1),(5)

     01/21/32        475,000        475,263  

Allegro CLO XIII Ltd. Series 2021-1A, Class B
7.28% (3 mo. USD Term SOFR + 1.962%)(1),(5)

     07/20/34        650,000        650,630  

AMSR Trust Series 2020-SFR1, Class I
8.19%(1)

     04/17/37        850,000        844,655  

AMSR Trust Series 2020-SFR2, Class F
5.25%(1)

     07/17/37        1,375,000        1,342,565  

AMSR Trust Series 2020-SFR3, Class E1
2.56%(1)

     09/17/37        1,000,000        943,698  

Apidos CLO XXXVII Ltd. Series 2021-37A, Class B
7.18% (3 mo. USD Term SOFR + 1.862%)(1),(5)

     10/22/34        725,000        725,000  

Barings CLO Ltd. Series 2022-2A, Class A
7.11% (3 mo. USD Term SOFR + 1.800%)(1),(5)

     07/15/35        550,000        550,881  

BCRED CLO LLC Series 2023-1A, Class A
7.66% (3 mo. USD Term SOFR + 2.300%)(1),(5)

     01/20/36        850,000        859,741  

BlackRock Rainier CLO VI Ltd. Series 2021-6A, Class A
7.28% (3 mo. USD Term SOFR + 1.962%)(1),(5)

     04/20/33        700,000        699,784  

BMO SBA COOF Trust Series 2019-1, Class A (I/O)
1.40%(1),(6)

     10/25/45        4,420,842        145,436  

Carvana Auto Receivables Trust Series 2020-P1, Class R
0.00%(1),(3)

     09/08/27        2,000        175,465  

Carvana Auto Receivables Trust Series 2021-N3, Class R
0.00%(1),(3)

     06/12/28        2,200        232,304  

Carvana Auto Receivables Trust Series 2022-N1, Class R
0.00%(1),(3)

     12/11/28        4,700        340,993  

Carvana Auto Receivables Trust Series 2022-P3, Class R
0.00%(1),(3)

     09/10/29        2,900        372,642  

Carvana Auto Receivables Trust Series 2023-P1, Class R
0.00%(1),(3)

     03/11/30        4,400        616,897  

Carvana Auto Receivables Trust Series 2023-P2, Class R
0.00%(1),(3)

     06/10/30        2,000        420,846  

Cedar Funding II CLO Ltd. Series 2013-1A, Class BRR
6.93% (3 mo. USD Term SOFR + 1.612%)(1),(5)

     04/20/34        700,000        690,906  

CIFC Funding Ltd. Series 2018-1A, Class SUB
0.00%(1),(6),(7)

     04/18/31        650,000        267,865  

CIFC Funding Ltd. Series 2022-2A, Class INCB
0.00%(1),(6),(7)

     04/19/35        685,000        545,823  

CIT Education Loan Trust Series 2007-1, Class A
5.70% (90 day USD SOFR Average + 0.352%)(1),(5)

     03/25/42        310,505        296,221  

COOF Securitization Trust II Series 2015-2, Class A1 (I/O)
2.33%(1),(6)

     08/25/41        1,946,152        106,617  

FirstKey Homes Trust Series 2020-SFR1, Class G
4.78%(1)

     08/17/37        1,735,000        1,664,014  

FirstKey Homes Trust Series 2021-SFR3, Class E1
2.99%(1)

     12/17/38        1,173,000        1,066,673  

FirstKey Homes Trust Series 2022-SFR1, Class D
5.20%(1)

     05/19/39        1,100,000        1,066,808  

FRTKL Group, Inc. Series 2021-SFR1, Class G
4.11%(1)

     09/17/38        1,015,000        902,968  

Global SC Finance II SRL Series 2014-1A, Class A2
3.09%(1)

     07/17/29        14,442        14,290  

Goal Capital Funding Trust Series 2006-1, Class B
6.04% (3 mo. USD LIBOR + 0.450%)(5)

     08/25/42        110,441        104,024  

GoldenTree Loan Management U.S. CLO 17 Ltd. Series 2023-17A, Class D
10.32% (3 mo. USD Term SOFR + 5.000%)(1),(5)

     07/20/36        650,000        660,920  

Golub Capital Partners CLO 42M-R Ltd. Series 2019-42RA, Class A2R
8.07% (3 mo. USD Term SOFR + 2.750%)(1),(5)

     01/20/36        600,000        606,093  

Golub Capital Partners CLO 66B Ltd. Series 2023-66A, Class A
7.27% (3 mo. USD Term SOFR + 1.950%)(1),(5)

     04/25/36        750,000        754,537  

Golub Capital Partners CLO 69M Ltd. Series 2023-69A, Class B1
8.66% (3 mo. USD Term SOFR + 3.250%)(1),(5)

     11/09/36        870,000        879,483  

Harvest Commercial Capital Loan Trust Series 2019-1, Class A
3.29% (1),(6)

     09/25/46        125,712        122,445  

HOA Funding LLC Series 2021-1A, Class A2
4.72%(1)

     08/20/51        585,000        456,896  

HPS Loan Management Ltd. Series 2023-18A, Class D
11.07% (3 mo. USD Term SOFR + 5.750%)(1),(5)

     07/20/36        600,000        615,787  

HPS Loan Management Ltd. Series 2024-19A, Class C2
1.00% (-3 mo. USD Term SOFR + 2.900%)(1),(5),(8)

     04/15/37        750,000        752,009  

ITE Rail Fund Levered LP Series 2021-1A, Class A
2.25% (1)

     02/28/51        363,811        323,219  

MetroNet Infrastructure Issuer LLC
7.95%(4)

     04/20/53        850,000        854,881  

Mosaic Solar Loan Trust Series 2021-1A, Class R
0.00%(1),(7)

     12/20/46        766,951        81,308  

Mosaic Solar Loan Trust Series 2021-2A, Class R
0.00%(1),(7)

     04/22/47        1,150,000        46,184  

Mosaic Solar Loan Trust Series 2021-3A, Class R
0.00%(1),(7)

     06/20/52        1,600,000        81,966  

OCP CLO Ltd. Series 2021-21A, Class B
7.28% (3 mo. USD Term SOFR + 1.962%)(1),(5)

     07/20/34        400,000        400,040  

OCP CLO Ltd. Series 2023-28A, Class D
10.66% (3 mo. USD Term SOFR + 5.350%)(1),(5)

     07/16/36        700,000        712,268  

Park Avenue Institutional Advisers CLO Ltd. Series 2021-1A, Class A2
7.33% (3 mo. USD Term SOFR + 2.012%)(1),(5)

     01/20/34        420,000        420,044  


TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS March 31, 2024 (Unaudited) (Cont’d)

 

Issues    Maturity
Date
     Principal
Amount
     Value  

 

  

 

 

    

 

 

    

 

 

 

Progress Residential Trust Series 2021-SFR7, Class E2
2.64%(1)

     08/17/40      $  1,451,000      $ 1,227,449  

Progress Residential Trust Series 2021-SFR8, Class G
4.01%(1)

     10/17/38        1,450,000        1,293,623  

Progress Residential Trust Series 2021-SFR9, Class E1
2.81%(1)

     11/17/40        1,707,000        1,455,294  

Rad CLO 22 Ltd. Series 2023-22A, Class D
10.37% (3 mo. USD Term SOFR + 5.000%)(1),(5)

     01/20/37        350,000        357,000  

Regatta XII Funding Ltd. Series 2019-1A, Class BR
7.18% (3 mo. USD Term SOFR + 1.862%)(1),(5)

     10/15/32        725,000        725,469  

Rockford Tower CLO Ltd. Series 2017-2A, Class BR
7.08% (3 mo. USD Term SOFR + 1.762%)(1),(5)

     10/15/29        800,000        799,680  

Santander Consumer Auto Receivables Trust Series 2021-BA, Class R
0.00%(1),(3)

     03/15/29        5,000        815,925  

Santander Consumer Auto Receivables Trust Series 2021-CA, Class R
0.00%(1),(3)

     06/15/28        5,500        509,803  

SLC Student Loan Trust Series 2004-1, Class B
5.91% (90 day USD SOFR Average + 0.552%)(5)

     08/15/31        154,462        131,671  

SLC Student Loan Trust Series 2006-1, Class B
5.83% (90 day USD SOFR Average + 0.472%)(5)

     03/15/55        209,055        178,259  

SLM Student Loan EDC Repackaging Trust Series 2013-M1, Class M1R
0.00%(1),(3)

     10/28/29        1,000        392,380  

SLM Student Loan Trust Series 2004-2, Class B
6.09% (90 day USD SOFR Average + 0.732%)(5)

     07/25/39        184,668        173,431  

SLM Student Loan Trust Series 2005-9, Class B
5.92% (90 day USD SOFR Average + 0.562%)(5)

     01/25/41        286,988        269,890  

SLM Student Loan Trust Series 2007-6, Class B
6.47% (90 day USD SOFR Average + 1.112%)(5)

     04/27/43        93,636        88,598  

SLM Student Loan Trust Series 2007-7, Class B
6.37% (90 day USD SOFR Average + 1.012%)(5)

     10/27/70        150,000        139,224  

SLM Student Loan Trust Series 2008-2, Class B
6.82% (90 day USD SOFR Average + 1.462%)(5)

     01/25/83        225,000        216,173  

SLM Student Loan Trust Series 2008-3, Class B
6.82% (90 day USD SOFR Average + 1.462%)(5)

     04/26/83        225,000        214,665  

SLM Student Loan Trust Series 2008-4, Class B
7.47% (90 day USD SOFR Average + 2.112%)(5)

     04/25/73        515,000        519,170  

SLM Student Loan Trust Series 2008-5, Class B
7.47% (90 day USD SOFR Average + 2.112%)(5)

     07/25/73        260,000        258,773  

SLM Student Loan Trust Series 2008-6, Class B
7.47% (90 day USD SOFR Average + 2.112%)(5)

     07/26/83        225,000        214,007  

SLM Student Loan Trust Series 2008-7, Class B
7.47% (90 day USD SOFR Average + 2.112%)(5)

     07/26/83        305,000        286,249  

Stratus CLO Ltd. Series 2021-3A, Class SUB
0.00%(1),(6),(7)

     12/29/29        750,000        487,980  

Structured Receivables Finance LLC Series 2010-A, Class B
7.61%(1)

     01/16/46        447,021        447,021  

Structured Receivables Finance LLC Series 2010-B, Class B
7.97%(1)

     08/15/36        296,900        304,281  

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        970,354  

Textainer Marine Containers VII Ltd. Series 2021-2A, Class A
2.23%(1)

     04/20/46        1,203,667        1,080,333  

TIF Funding II LLC Series 2021-1A, Class A
1.65%(1)

     02/20/46        1,134,356        986,829  

Westlake Automobile Receivables Trust Series 2024-1A, Class D
6.02%(1)

     10/15/29        600,000        602,513  
        

 

 

 

Total Asset-backed Securities (Cost: $42,704,184)

           39,657,651  
        

 

 

 

MORTGAGE-BACKED SECURITIES—55.4%

 

Commercial Mortgage-backed Securities—Agency—0.9%

 

Federal Home Loan Mortgage Corp. Multifamily PC REMICS Trust Series 2019-P002, Class X (I/O)
0.89%(6)

     07/25/33        1,295,000        96,551  

Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series K039, Class X3 (I/O)
2.07%(6)

     08/25/47        3,110,000        44,527  

Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series K040, Class X3 (I/O)
2.03%(6)

     11/25/42        4,875,000        42,439  

Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series K049, Class X3 (I/O)
1.55%(6)

     10/25/43        2,330,000        43,547  

Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series K060, Class X3 (I/O)
1.90%(6)

     12/25/44        2,500,000        111,464  

Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series K726, Class X1 (I/O)
0.94%(6)

     04/25/24        1,342,613        108  

Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series K728, Class X3 (I/O)
2.00%(6)

     11/25/45        3,455,000        33,247  

Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series K732, Class X3 (I/O)
2.17%(6)

     05/25/46        2,400,000        61,333  

Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series K735, Class X3 (I/O)
2.15%(6)

     05/25/47        3,750,000        157,951  

Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series KC05, Class X1 (I/O)
1.23%(6)

     06/25/27        7,291,220        150,230  


TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS March 31, 2024 (Unaudited) (Cont’d)

 

Issues

   Maturity
Date
     Principal
Amount
     Value  

Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series KIR1, Class X (I/O)
1.02%(6)

     03/25/26      $ 7,965,829      $ 131,222  

Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series KW01, Class X3 (I/O)
4.10%(6)

     03/25/29        690,000        46,364  

Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series Q010, Class XPT2 (I/O)
0.36%

     08/25/24        874,987        973  

Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series Q013, Class XPT2 (I/O)
1.81%(6)

     05/25/27        2,805,277        74,080  

Federal National Mortgage Association, Pool #AN3542
3.41%

     11/01/46        1,054,433        882,533  

Federal National Mortgage Association-Aces Series 2016-M11, Class X2 (ACES) (I/O)
3.05%(6)

     07/25/39        723,136        10,607  

Federal National Mortgage Association-Aces Series 2019-M29, Class X4 (ACES) (I/O)
0.70%(6)

     03/25/29        7,900,000        207,718  

Government National Mortgage Association Series 2009-114, Class IO (I/O)
0.00%(6),(7)

     10/16/49        4,618,076        70  

Government National Mortgage Association Series 2010-148, Class IO (I/O)
0.30%(6)

     09/16/50        4,812,852        48,652  

Government National Mortgage Association Series 2011-105, Class IO (I/O)
0.00%(6),(7)

     09/16/51        3,320,977        4  

Government National Mortgage Association Series 2011-152, Class IO (I/O)
0.00%(6),(7)

     08/16/51        1,181,284        21  

Government National Mortgage Association Series 2012-139, Class IO (I/O)
0.56%(6)

     02/16/53        1,092,114        17,056  

Government National Mortgage Association Series 2012-4, Class IO (I/O)
0.00%(6),(7)

     05/16/52        2,842,675        28  

Government National Mortgage Association Series 2013-52, Class IO (I/O)
0.05%(6)

     02/16/55        6,166,592        2,850  

Government National Mortgage Association Series 2014-103, Class IO (I/O)
0.19%(6)

     05/16/55        2,099,817        13,182  

Government National Mortgage Association Series 2014-125, Class IO (I/O)
0.90%(6)

     11/16/54        1,325,596        27,970  
        

 

 

 

Total Commercial Mortgage-backed Securities—Agency (Cost: $5,754,249)

           2,204,727  
        

 

 

 

Commercial Mortgage-backed Securities—Non-Agency—7.0%

        

BBCMS Mortgage Trust Series 2020-BID, Class D
10.07% (1 mo. USD Term SOFR + 4.744%)(1),(5)

     10/15/37        705,000        683,758  

Benchmark Mortgage Trust Series 2019-B14, Class 225D
3.29%(1),(6)

     12/15/62        535,000        9,836  

Benchmark Mortgage Trust Series 2020-IG3, Class BXC
3.54% (1),(6)

     09/15/48        555,000        451,001  

BXHPP Trust Series 2021-FILM, Class C
6.54% (1 mo. USD Term SOFR + 1.214%)(1),(5)

     08/15/36        430,000        402,889  

BXHPP Trust Series 2021-FILM, Class D
6.94% (1 mo. USD Term SOFR + 1.614%)(1),(5)

     08/15/36        515,000        477,964  

BXP Trust Series 2017-GM, Class D
3.42%(1),(6)

     06/13/39        375,000        334,415  

Citigroup Commercial Mortgage Trust Series 2014-GC21, Class XD (I/O)
1.33%(1),(6)

     05/10/47        4,710,600        921  

Citigroup Commercial Mortgage Trust Series 2015-GC35, Class XA (I/O)
0.71%(6)

     11/10/48        6,166,881        50,498  

COMM Mortgage Trust Series 2012-LC4, Class XB (I/O)
0.44%(1),(6)

     12/10/44        14,567,615        517  

COMM Mortgage Trust Series 2013-CR12, Class XA (I/O)
0.56%(6)

     10/10/46        918,788        60  

COMM Mortgage Trust Series 2014-CR18, Class XA (I/O)
0.87%(6)

     07/15/47        3,199,054        2,082  

COMM Mortgage Trust Series 2014-CR21, Class XA (I/O)
0.82%(6)

     12/10/47        14,738,595        52,365  

COMM Mortgage Trust Series 2020-CBM, Class XCP (I/O)
0.60%(1),(6)

     02/10/37        5,644,863        18,187  

COMM Mortgage Trust Series 2020-CX, Class E
2.68%(1),(6)

     11/10/46        370,000        255,305  

CSMC Trust Series 2020-FACT, Class F
11.85% (1 mo. USD Term SOFR + 6.521%)(1),(5)

     10/15/37        1,017,000        910,346  

Extended Stay America Trust Series 2021-ESH, Class F
9.14% (1 mo. USD Term SOFR + 3.814%)(1),(5)

     07/15/38        594,266        594,660  

Frost CMBS DAC Series 2021-1A, Class EUE
7.92% (3 mo. EUR EURIBOR + 3.990%)(1),(5)

     11/20/33        739,233        704,028  

Grace Trust Series 2020-GRCE, Class D
2.68%(1),(6)

     12/10/40        700,000        533,709  

Grace Trust Series 2020-GRCE, Class F
2.68%(1),(6)

     12/10/40        376,000        253,320  

Grace Trust Series 2020-GRCE, Class X (I/O)
0.30%(1),(6)

     12/10/40        10,620,000        177,533  

GS Mortgage Securities Corp. Trust Series 2020-UPTN, Class XA (I/O)
0.35%(1),(6)

     02/10/37        3,150,000        6,106  

GS Mortgage Securities Trust Series 2014-GC18, Class XB (I/O)
0.04%(6),(7)

     01/10/47        18,613,418        28  

GS Mortgage Securities Trust Series 2016-GS2, Class XA (I/O)
1.73%(6)

     05/10/49        4,023,436        102,229  

Hudson Yards Mortgage Trust Series 2019-55HY, Class F
2.94%(1),(6)

     12/10/41        150,000        110,161  

ILPT Trust Series 2019-SURF, Class A
4.15%(1)

     02/11/41        240,000        226,648  

JPMBB Commercial Mortgage Securities Trust Series 2014-C24, Class XA (I/O)
0.81%(6)

     11/15/47        6,742,049        7,844  

JPMBB Commercial Mortgage Securities Trust Series 2014-C21, Class XA (I/O)
0.86%(6)

     08/15/47        893,185        596  

JPMBB Commercial Mortgage Securities Trust Series 2014-C23, Class XA (I/O)
0.57%(6)

     09/15/47        8,366,116        7,523  

JPMBB Commercial Mortgage Securities Trust Series 2015-C29, Class XD (I/O)
0.50%(1),(6)

     05/15/48        26,458,000        131,506  

JPMCC Commercial Mortgage Securities Trust Series 2017-JP5, Class XA (I/O)
0.81%(6)

     03/15/50        10,038,399        173,935  


TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS March 31, 2024 (Unaudited) (Cont’d)

 

Issues

   Maturity
Date
     Principal
Amount
     Value  

JPMorgan Chase Commercial Mortgage Securities Trust Series 2011-C3, Class XB
(I/O)
0.39%(1),(6)

     02/15/46      $ 48,975,319      $ 116,436  

JPMorgan Chase Commercial Mortgage Securities Trust Series 2013-LC11, Class XA
(I/O)
0.90%(6)

     04/15/46        992,922        4,663  

JPMorgan Chase Commercial Mortgage Securities Trust Series 2016-NINE, Class A
2.85%(1),(6)

     09/06/38        775,000        725,518  

JPMorgan Chase Commercial Mortgage Securities Trust Series 2019-OSB, Class A
3.40%(1)

     06/05/39        585,000        526,911  

Manhattan West Mortgage Trust Series 2020-1MW, Class A
2.13%(1)

     09/10/39        695,000        617,761  

Med Trust Series 2021-MDLN, Class G
10.69% (1 mo. USD Term SOFR + 5.364%)(1),(5)

     11/15/38        666,800        667,478  

MFT Mortgage Trust Series 2020-B6, Class C
3.28%(1),(6)

     08/10/40        220,000        126,144  

Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C22, Class XA
(I/O)
0.99%(6)

     04/15/48        7,851,159        39,897  

Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C24, Class XA
(I/O)
0.68%(6)

     05/15/48        8,717,164        53,148  

Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C31, Class XA
(I/O)
1.26%(6)

     11/15/49        6,170,504        145,049  

Natixis Commercial Mortgage Securities Trust Series 2019-FAME, Class D
4.40%(1),(6)

     08/15/36        835,000        511,436  

Roseville Ltd.
8.57%(4)

     03/29/25        605,000        604,395  

SFAVE Commercial Mortgage Securities Trust Series 2015-5AVE, Class A2A
3.66%(1),(6)

     01/05/43        805,000        587,592  

SFAVE Commercial Mortgage Securities Trust Series 2015-5AVE, Class D
4.39%(1),(6)

     01/05/43        880,000        416,249  

SMRT Commercial Mortgage Trust Series 2022-MINI, Class E
8.03% (1 mo. USD Term SOFR + 2.700%)(1),(5)

     01/15/39        1,005,000        976,026  

Taurus U.K. DAC Series 2021-UK1X, Class E
8.87% (Sterling Overnight Index Average + 3.650%)(5),(9)

     05/17/31        665,115        815,438  

UBS Commercial Mortgage Trust Series 2017-C5, Class XA (I/O)
1.07%(6)

     11/15/50        5,616,012        169,292  

VASA Trust Series 2021-VASA, Class B
6.69% (1 mo. USD Term SOFR + 1.364%)(1),(5)

     07/15/39        1,000,000        840,301  

Vita Scientia DAC Series 2022-1X, Class D
6.42% (3 mo. EUR EURIBOR + 2.490%)(5),(9)

     02/27/33        1,500,000        1,492,188  

Wells Fargo Commercial Mortgage Trust Series 2018-C47, Class AS
4.67%(6)

     09/15/61        750,000        724,196  

WFRBS Commercial Mortgage Trust Series 2013-C14, Class XA (I/O)
0.35%(6)

     06/15/46        221,937        442  

WFRBS Commercial Mortgage Trust Series 2014-C24, Class XA (I/O)
0.83%(6)

     11/15/47        4,977,047        9,365  
        

 

 

 

Total Commercial Mortgage-backed  Securities—Non-Agency
(Cost: $22,847,749)

           16,849,895  
        

 

 

 

Residential Mortgage-backed Securities—Agency—21.7%

 

Federal Home Loan Mortgage Corp., Pool #SD8199
2.00%

     03/01/52        3,826,570        3,030,361  

Federal Home Loan Mortgage Corp. REMICS Series 3122, Class SG (I/O) (I/F) (TAC) (PAC)
0.20% (-30 day USD SOFR Average + 5.516%)(5)

     03/15/36        1,113,124        58,376  

Federal Home Loan Mortgage Corp. REMICS Series 3239, Class SI (I/O) (I/F) (PAC)
1.22% (-30 day USD SOFR Average + 6.536%)(5)

     11/15/36        245,985        25,818  

Federal Home Loan Mortgage Corp. REMICS Series 3323, Class SA (I/O) (I/F)
0.68% (-30 day USD SOFR Average + 5.996%)(5)

     05/15/37        47,067        2,226  

Federal Home Loan Mortgage Corp. REMICS Series 3459, Class JS (I/O) (I/F)
0.82% (-30 day USD SOFR Average + 6.136%)(5)

     06/15/38        79,404        6,536  

Federal Home Loan Mortgage Corp. REMICS Series 4030, Class HS (I/O) (I/F)
1.18% (-30 day USD SOFR Average + 6.496%)(5)

     04/15/42        454,876        43,902  

Federal National Mortgage Association REMICS Series 2007-42, Class SE (I/O) (I/F)
0.68% (-30 day USD SOFR Average + 5.996%)(5)

     05/25/37        38,436        2,495  

Federal National Mortgage Association REMICS Series 2007-48, Class SD (I/O) (I/F)
0.67% (-30 day USD SOFR Average + 5.986%)(5)

     05/25/37        666,547        45,809  

Federal National Mortgage Association REMICS Series 2009-69, Class CS (I/O) (I/F)
1.32% (-30 day USD SOFR Average + 6.636%)(5)

     09/25/39        115,644        10,542  

Government National Mortgage Association REMICS Series 2006-35, Class SA (I/O) (I/F)
1.16% (-1 mo. USD Term SOFR + 6.486%)(5)

     07/20/36        749,519        55,309  

Government National Mortgage Association REMICS Series 2006-61, Class SA (I/O) (I/F) (TAC)
0.00% (-1 mo. USD Term SOFR + 4.636%)(5),(7)

     11/20/36        985,436        17,690  

Government National Mortgage Association REMICS Series 2008-58, Class TS (I/O) (I/F) (TAC)
0.96% (-1 mo. USD Term SOFR + 6.286%)(5)

     05/20/38        360,933        7,419  


TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS March 31, 2024 (Unaudited) (Cont’d)

 

Issues

   Maturity
Date
     Principal
Amount
     Value  

Government National Mortgage Association REMICS Series 2014-118, Class ST
0.16% (-1 mo. USD Term SOFR + 5.486%)(5)

     08/20/44      $ 3,983,772      $ 256,279  

Government National Mortgage Association REMICS Series 2016-153, Class IO (I/O)
3.50%

     11/20/46        1,265,841        222,741  

Government National Mortgage Association, TBA

        

4.50%(10)

     03/01/53        1,275,000        1,225,430  

5.00%(10)

     04/01/53        2,400,000        2,359,141  

5.50%(10)

     05/01/53        1,850,000        1,848,550  

Uniform Mortgage-Backed Security, TBA

        

2.00%(10)

     10/01/51        5,650,000        4,475,276  

2.50%(10)

     10/01/51        10,300,000        8,521,818  

3.00%(10)

     12/01/51        5,600,000        4,821,772  

3.50%(10)

     01/01/52        3,375,000        3,022,405  

4.00%(10)

     03/01/52        11,900,000        11,023,304  

5.00%(10)

     01/01/53        4,625,000        4,513,165  

4.50%(10)

     02/01/53        5,100,000        4,857,949  

5.50%(10)

     02/01/53        2,100,000        2,089,789  
        

 

 

 

Total Residential Mortgage-backed Securities—Agency (Cost: $52,744,292)

           52,544,102  
        

 

 

 

Residential Mortgage-backed Securities—Non-Agency—25.8%

 

ABFC Trust Series 2007-NC1, Class A2
5.74% (1 mo. USD Term SOFR + 0.414%)(1),(5)

     05/25/37        738,789        671,879  

ACE Securities Corp. Home Equity Loan Trust Series 2004-IN1, Class A1
6.08% (1 mo. USD Term SOFR + 0.754%)(5)

     05/25/34        314,912        292,117  

ACE Securities Corp. Home Equity Loan Trust Series 2007-ASP1, Class A2C
5.96% (1 mo. USD Term SOFR + 0.634%)(5)

     03/25/37        1,154,871        495,978  

Adjustable Rate Mortgage Trust Series 2005-4, Class 6A22
5.10%(6)

     08/25/35        319,230        229,461  

Ajax Mortgage Loan Trust Series 2019-F, Class A2
3.50%(1)

     07/25/59        1,300,000        1,202,893  

Asset-Backed Securities Corp. Home Equity Loan Trust Series 2006-HE3, Class A5
2.89% (1 mo. USD Term SOFR + 0.654%)(5)

     03/25/36        797,271        768,637  

Asset-Backed Securities Corp. Home Equity Loan Trust Series 2007-HE1, Class A1B
4.07% (1 mo. USD Term SOFR + 0.414%)(5)

     12/25/36        248,282        234,326  

Banc of America Alternative Loan Trust Series 2005-10, Class 1CB1
5.50% (1 mo. USD Term SOFR + 0.514%)(5),(11)

     11/25/35        274,681        223,125  

Banc of America Funding Trust Series 2006-3, Class 4A14
6.00%(11)

     03/25/36        133,827        106,686  

Banc of America Funding Trust Series 2006-3, Class 5A3
5.50%(11)

     03/25/36        87,497        76,211  

Banc of America Funding Trust Series 2015-R4, Class 2A1
5.64% (1 mo. USD Term SOFR + 0.319%)(1),(5)

     02/25/37        216,639        212,920  

BCMSC Trust Series 2000-A, Class A4
8.29%(6)

     06/15/30        3,316,690        396,275  

Bear Stearns ALT-A Trust Series 2005-3, Class 4A3
4.52%(6)

     04/25/35        164,920        159,129  

Bear Stearns ARM Trust Series 2003-7, Class 9A
5.67%(6)

     10/25/33        182,382        164,843  

Bear Stearns ARM Trust Series 2005-9, Class A1
7.67% (1 yr. CMT + 2.300%)(5)

     10/25/35        95,906        89,381  

Bear Stearns ARM Trust Series 2007-4, Class 22A1
4.08%(6),(11)

     06/25/47        502,835        447,794  

Bear Stearns Asset-Backed Securities I Trust Series 2005-AC6, Class 1A3
5.50%(6)

     09/25/35        261,060        252,232  

Bear Stearns Asset-Backed Securities I Trust Series 2006-IM1, Class A1
5.90% (1 mo. USD Term SOFR + 0.574%)(5)

     04/25/36        123,627        119,507  

Bear Stearns Mortgage Funding Trust Series 2007-AR3, Class 1X (I/O)
0.50%(4)

     03/25/37        24,376,741        485,936  

C-BASS Mortgage Loan Trust Series 2007-CB2, Class A2B
3.57%

     02/25/37        742,497        450,016  

C-BASS Mortgage Loan Trust Series 2007-CB2, Class A2C
3.57%

     02/25/37        729,513        438,378  

C-BASS Mortgage Loan Trust Series 2007-CB3, Class A3
3.32%

     03/25/37        1,118,601        406,876  

Carrington Mortgage Loan Trust Series 2006-NC4, Class A4
5.68% (1 mo. USD Term SOFR + 0.354%)(5)

     10/25/36        1,250,000        1,119,845  

Carrington Mortgage Loan Trust Series 2007-RFC1, Class A3
5.58% (1 mo. USD Term SOFR + 0.254%)(5)

     12/25/36        940,513        909,407  

CHL Mortgage Pass-Through Trust Series 2004-HYB4, Class B1
5.05%(6)

     09/20/34        429,607        112,533  

CHL Mortgage Pass-Through Trust Series 2006-14, Class X (I/O)
0.15%(4),(6)

     09/25/36        6,816,408        22,621  

CHL Mortgage Pass-Through Trust Series 2006-HYB2, Class 1A1
5.16%(6)

     04/20/36        669,792        489,345  

CHNGE Mortgage Trust Series 2023-1, Class M1
8.30% (1),(6)

     03/25/58        460,000        472,178  

CIM Trust Series 2019-R1, Class A
3.25%(1),(6)

     10/25/58        634,332        564,411  

CIM Trust Series 2021-NR1, Class A1
5.57%(1)

     07/25/55        585,932        580,425  

CIM Trust Series 2021-NR2, Class A1
5.57%(1)

     07/25/59        757,409        750,421  

CIM Trust Series 2021-NR3, Class A1
2.57%(1)

     06/25/57        195,043        192,700  

CIM Trust Series 2021-NR4, Class A1
2.82%(1)

     10/25/61        896,966        870,731  

CIM Trust Series 2021-R3, Class A1A
1.95%(1),(6)

     06/25/57        691,519        611,441  

CIM Trust Series 2021-R4, Class A1A
2.00%(1),(6)

     05/01/61        727,068        636,777  

CIM Trust Series 2021-R5, Class A1B
2.00%(1),(6)

     08/25/61        1,096,000        714,805  

CIM Trust Series 2022-NR1, Class A1
5.00%(1)

     07/25/62        315,458        307,091  


TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS March 31, 2024 (Unaudited) (Cont’d)

 

Issues

   Maturity
Date
     Principal
Amount
     Value  

CIM Trust Series 2023-NR1, Class A1
6.00%(1)

     06/25/62      $ 996,416      $ 982,728  

CIM Trust Series 2023-NR2, Class A1
6.00%(1)

     06/25/62        1,093,439        1,074,676  

Citigroup Mortgage Loan Trust, Inc. Series 2005-11, Class A2A
7.78% (1 yr. CMT + 2.400%)(5)

     10/25/35        163,713        162,207  

Citigroup Mortgage Loan Trust, Inc. Series 2005-8, Class 1A1A
5.46%(6),(11)

     10/25/35        361,150        293,507  

CitiMortgage Alternative Loan Trust Series 2006-A3, Class 1A7
6.00%(11)

     07/25/36        552,542        474,877  

CitiMortgage Alternative Loan Trust Series 2006-A5, Class 1A8
6.00%(11)

     10/25/36        482,007        403,053  

Conseco Finance Securitizations Corp. Series 1999-6, Class A1
7.36% (1),(6)

     06/01/30        1,222,924        407,226  

Countrywide Alternative Loan Trust Series 2005-46CB, Class A20 (TAC)
5.50%(11)

     10/25/35        506,515        365,035  

Countrywide Alternative Loan Trust Series 2006-8T1, Class 1A2 (I/O)
0.06% (-1 mo. USD Term SOFR + 5.386%)(4),(5)

     04/25/36        4,661,060        432,689  

Countrywide Asset-Backed Certificates Trust Series 2007-13, Class 2A1
6.34% (1 mo. USD Term SOFR + 1.014%)(5)

     10/25/47        388,813        351,340  

Credit Suisse First Boston Mortgage Securities Corp. Series 2005-12, Class 1A1
6.50%

     01/25/36        947,833        230,305  

Credit-Based Asset Servicing & Securitization LLC Series 2003-CB3, Class AF1
3.38%(6)

     12/25/32        278,649        263,009  

Credit-Based Asset Servicing & Securitization LLC Series 2006-CB2, Class AF2
3.05%

     12/25/36        1,787,605        1,519,406  

Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2006-AR6, Class A6
5.82% (1 mo. USD Term SOFR + 0.494%)(5)

     02/25/37        278,426        236,875  

Deutsche Alt-B Securities, Inc. Mortgage Loan Trust Series 2006-AB2, Class A2
4.79%(6),(11)

     06/25/36        858,060        755,668  

DSLA Mortgage Loan Trust Series 2006-AR2, Class 2A1A
5.64% (1 mo. USD Term SOFR + 0.314%)(5)

     10/19/36        331,674        211,714  

Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2021-DNA6, Class B1
8.72% (30 day USD SOFR Average + 3.400%)(1),(5)

     10/25/41        650,000        673,568  

Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2021-HQA2, Class M2
7.37% (30 day USD SOFR Average + 2.050%)(1),(5)

     12/25/33        894,772        907,290  

Federal National Mortgage Association Connecticut Avenue Securities Series 2019-R06, Class 2B1
9.18% (30 day USD SOFR Average + 3.864%)(1),(5)

     09/25/39        661,839        688,828  

Federal National Mortgage Association Connecticut Avenue Securities Series 2019-R07, Class 1B1
8.83% (30 day USD SOFR Average + 3.514%)(1),(5)

     10/25/39        982,007        1,011,458  

First Franklin Mortgage Loan Trust Series 2006-FF13, Class A2C
5.76% (1 mo. USD Term SOFR + 0.434%)(5)

     10/25/36        569,919        366,601  

First Horizon Alternative Mortgage Securities Trust Series 2005-AA10, Class 2A1
6.05%(6),(11)

     12/25/35        137,744        109,100  

Fremont Home Loan Trust Series 2005-A, Class M4
6.46% (1 mo. USD Term SOFR + 1.134%)(5)

     01/25/35        1,432,275        1,234,838  

GreenPoint Manufactured Housing Series 2000-1, Class A4
8.14%(6)

     03/20/30        404,364        268,845  

GSAA Home Equity Trust Series 2006-13, Class AF6
6.54%

     07/25/36        1,122,340        338,551  

GSAMP Trust Series 2007-NC1, Class A2C
5.59% (1 mo. USD Term SOFR + 0.264%)(5)

     12/25/46        2,243,543        1,098,093  

GSC Capital Corp. Mortgage Trust Series 2006-2, Class A1
5.80% (1 mo. USD Term SOFR + 0.474%)(5)

     05/25/36        170,895        160,513  

GSR Mortgage Loan Trust Series 2005-AR3, Class 6A1
4.35%(6)

     05/25/35        130,253        102,779  

HSI Asset Loan Obligation Trust Series 2007-2, Class 2A12
6.00%

     09/25/37        306,407        231,986  

IndyMac INDX Mortgage Loan Trust Series 2004-AR6, Class 5A1
5.14%(6)

     10/25/34        253,014        239,581  

IndyMac INDX Mortgage Loan Trust Series 2005-AR19, Class A1
3.71%(6)

     10/25/35        377,109        299,210  

IndyMac INDX Mortgage Loan Trust Series 2006-AR13, Class A4X (I/O)
0.00% (4),(6),(7)

     07/25/36        256,095        3  

IndyMac INDX Mortgage Loan Trust Series 2006-AR9, Class 1A1
3.90%(6)

     06/25/36        433,089        239,243  

IndyMac INDX Mortgage Loan Trust Series 2007-AR5, Class 2A1
3.37%(6)

     05/25/37        595,328        462,756  

IndyMac INDX Mortgage Loan Trust Series 2007-FLX2, Class A1C
5.82% (1 mo. USD Term SOFR + 0.304%)(5)

     04/25/37        1,337,319        1,126,320  

JPMorgan Alternative Loan Trust Series 2006-A2, Class 5A1
4.02%(6)

     05/25/36        333,125        193,394  

JPMorgan Mortgage Acquisition Trust Series 2006-WF1, Class A5
6.91%

     07/25/36        1,852,769        503,107  

JPMorgan Mortgage Trust Series 2004-A6, Class 5A1
5.06%(6)

     12/25/34        162,780        156,418  


TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS March 31, 2024 (Unaudited) (Cont’d)

 

Issues

   Maturity
Date
     Principal
Amount
     Value  

JPMorgan Mortgage Trust Series 2007-S2, Class 1A1
5.00%

     06/25/37      $ 147,023      $ 50,793  

JPMorgan Resecuritization Trust Series 2015-4, Class 2A2
3.57%(1),(6)

     06/26/47        2,913,720        1,360,171  

Lehman Mortgage Trust Series 2006-7, Class 2A5 (I/O) (I/F)
1.11% (-1 mo. USD Term SOFR + 6.436%)(4),(5)

     11/25/36        2,862,623        275,408  

Lehman XS Trust Series 2006-10N, Class 1A3A
5.86% (1 mo. USD Term SOFR + 0.534%)(5)

     07/25/46        376,686        339,526  

Lehman XS Trust Series 2006-12N, Class A31A
5.84% (1 mo. USD Term SOFR + 0.514%)(5)

     08/25/46        467,427        462,571  

Long Beach Mortgage Loan Trust Series 2004-4, Class M1
6.34% (1 mo. USD Term SOFR + 1.014%)(5)

     10/25/34        297,537        286,353  

MASTR Alternative Loan Trust Series 2006-2, Class 2A2 (I/O) (I/F)
1.66% (-1 mo. USD Term SOFR + 6.986%)(4),(5)

     03/25/36        5,890,099        347,476  

MASTR Alternative Loan Trust Series 2007-HF1, Class 4A1
7.00%

     10/25/47        1,050,149        461,845  

MASTR Asset-Backed Securities Trust Series 2007-HE1, Class A4
5.72% (1 mo. USD Term SOFR + 0.394%)(5)

     05/25/37        2,000,000        1,575,868  

Merrill Lynch Alternative Note Asset Trust Series 2007-OAR2, Class A2
5.86% (1 mo. USD Term SOFR + 0.534%)(5)

     04/25/37        549,953        443,270  

Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-3, Class A2B
5.70% (1 mo. USD Term SOFR + 0.374%)(5)

     06/25/37        290,044        278,585  

Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-3, Class A2C
5.80% (1 mo. USD Term SOFR + 0.474%)(5)

     06/25/37        416,778        401,196  

Merrill Lynch Mortgage Investors Trust Series 2006-RM2, Class A1A
5.81% (1 mo. USD Term SOFR + 0.484%)(5)

     05/25/37        3,863,612        1,048,090  

Merrill Lynch Mortgage-Backed Securities Trust Series 2007-2, Class 1A1
7.40% (1 yr. CMT + 2.400%)(5),(11)

     08/25/36        93,214        80,671  

Morgan Stanley Mortgage Loan Trust Series 2007-15AR, Class 4A1
3.68%(6)

     11/25/37        219,334        202,830  

New Residential Mortgage Loan Trust Series 2022-NQM2, Class A2
3.70%(1),(6)

     03/27/62        930,000        718,792  

Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2006-AR1, Class 1A
4.24%(6)

     02/25/36        111,698        77,458  

Oakwood Mortgage Investors, Inc. Series 1999-E, Class A1
7.61%(6)

     03/15/30        512,412        278,349  

Oakwood Mortgage Investors, Inc. Series 2000-A, Class A4
8.15%(6)

     09/15/29        1,717,630        349,073  

Oakwood Mortgage Investors, Inc. Series 2000-D, Class A4
7.40%(6)

     07/15/30        681,680        138,731  

Oakwood Mortgage Investors, Inc. Series 2001-C, Class A3
6.61%(6)

     06/15/31        1,671,028        166,388  

Oakwood Mortgage Investors, Inc. Series 2001-D, Class A3
5.90%(6),(12),(13)

     09/15/22        526,171        240,269  

PRET LLC Series 2022-RN2, Class A2
6.50%(1)

     06/25/52        1,255,000        1,189,464  

PRPM LLC Series 2021-10, Class A1
2.49%(1)

     10/25/26        783,308        771,977  

PRPM LLC Series 2021-11, Class A1
2.49%(1)

     11/25/26        325,516        319,799  

PRPM LLC Series 2021-4, Class A1
1.87%(1)

     04/25/26        1,123,474        1,098,244  

PRPM LLC Series 2021-8, Class A1
1.74%(1),(6)

     09/25/26        603,503        581,672  

PRPM LLC Series 2022-1, Class A2
6.29%(1)

     02/25/27        1,000,000        972,049  

PRPM LLC Series 2022-3, Class A1
5.56%(1)

     06/25/27        1,148,621        1,134,988  

PRPM LLC Series 2022-4, Class A2
5.00%(1)

     08/25/27        1,080,000        1,032,069  

Residential Accredit Loans, Inc. Trust Series 2005-QA7, Class A1
4.63%(6),(11)

     07/25/35        591,073        458,373  

Residential Accredit Loans, Inc. Trust Series 2005-QA8, Class CB21
5.20%(6),(11)

     07/25/35        297,870        165,896  

Residential Accredit Loans, Inc. Trust Series 2006-QS1, Class A3 (PAC)
5.75%(11)

     01/25/36        208,482        160,936  

Residential Accredit Loans, Inc. Trust Series 2006-QS13, Class 1A2 (I/O) (I/F)
1.72% (-1 mo. USD Term SOFR + 7.046%)(4),(5)

     09/25/36        1,957,732        173,245  

Residential Accredit Loans, Inc. Trust Series 2006-QS6, Class 1AV (I/O)
0.77%(4),(6)

     06/25/36        2,530,882        52,612  

Residential Accredit Loans, Inc. Trust Series 2006-QS7, Class A2
6.00%

     06/25/36        276,862        211,733  

Residential Accredit Loans, Inc. Trust Series 2006-QS8, Class A3
6.00%(11)

     08/25/36        484,240        391,715  

Residential Accredit Loans, Inc. Trust Series 2007-QS2, Class AV (I/O)
0.30%(4),(6)

     01/25/37        5,751,025        54,685  

Residential Accredit Loans, Inc. Trust Series 2007-QS3, Class AV (I/O)
0.36%(4),(6)

     02/25/37        6,847,803        86,659  

Residential Accredit Loans, Inc. Trust Series 2007-QS6, Class A62 (TAC)
5.50%(11)

     04/25/37        149,610        114,874  

Residential Asset Securitization Trust Series 2005-A15, Class 4A1
6.00%

     02/25/36        930,577        291,420  

Residential Asset Securitization Trust Series 2007-A5, Class AX (I/O)
6.00%(4)

     05/25/37        1,201,887        200,182  

RFMSI Trust Series 2006-S9, Class AV (I/O)
0.35%(4),(6)

     09/25/36        15,916,605        168,294  


TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS March 31, 2024 (Unaudited) (Cont’d)

 

Issues

   Maturity
Date
     Principal
Amount
     Value  

Saxon Asset Securities Trust Series 2007-3, Class 2A4
5.93% (1 mo. USD Term SOFR + 0.604%)(5)

     09/25/47      $ 2,926,000      $ 2,486,291  

Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2
2.84%

     01/25/36        933,948        758,170  

Securitized Asset-Backed Receivables LLC Trust Series 2007-NC2, Class A2C
5.88% (1 mo. USD Term SOFR + 0.554%)(5)

     01/25/37        1,494,000        977,559  

Structured Adjustable Rate Mortgage Loan Trust Series 2005-20, Class 1A1
6.73%(6)

     10/25/35        84,247        80,479  

Structured Adjustable Rate Mortgage Loan Trust Series 2007-9, Class 2A1
4.43%(6),(11)

     10/25/47        227,597        146,508  

Structured Asset Mortgage Investments II Trust Series 2006-AR4, Class 5A1
5.80% (1 mo. USD Term SOFR + 0.474%)(5)

     06/25/36        616,076        498,203  

Verus Securitization Trust Series 2023-4, Class A1
5.81%(1)

     05/25/68        1,083,305        1,076,950  

VOLT CIII LLC Series 2021-CF1, Class A1
1.99%(1)

     08/25/51        673,409        650,635  

VOLT XCIX LLC Series 2021-NPL8, Class A1
5.12%(1)

     04/25/51        935,109        912,127  

WaMu Asset-Backed Certificates WaMu Trust Series 2007-HE1, Class 2A3
5.59% (1 mo. USD Term SOFR + 0.264%)(5)

     01/25/37        1,515,255        680,401  

Wells Fargo Alternative Loan Trust Series 2007-PA2, Class 2A2 (I/O) (I/F)
0.63% (-1 mo. USD Term SOFR + 5.956%)(4),(5)

     06/25/37        1,275,471        86,711  

Wells Fargo Mortgage-Backed Securities Trust Series 2007-AR3, Class A4
6.23%(6),(11)

     04/25/37        87,708        78,587  
        

 

 

 

Total Residential Mortgage-backed  Securities—Non-Agency (Cost: $72,218,908)

           62,503,348  
        

 

 

 

Total Mortgage-backed Securities (Cost: $153,565,198)

           134,102,072  
        

 

 

 

CORPORATE BONDS24.5%

 

Aerospace & Defense—0.2%

 

Boeing Co.
5.81%

     05/01/50        255,000        241,500  

TransDigm, Inc.
6.75%(1)

     08/15/28        350,000        355,404  
        

 

 

 
           596,904  
        

 

 

 

Agriculture—0.6%

 

BAT Capital Corp. (United Kingdom)
5.65%

     03/16/52        175,000        158,477  

Imperial Brands Finance PLC (United Kingdom)

        

3.13%(1)

     07/26/24        270,000        267,694  

6.13%(1)

     07/27/27        125,000        127,605  

Philip Morris International, Inc.
1.88%

     11/06/37        100,000        83,110  

Reynolds American, Inc. (United Kingdom)
5.85%

     08/15/45        975,000        907,920  
        

 

 

 
           1,544,806  
        

 

 

 

Airlines—0.2%

 

JetBlue Pass-Through Trust Series 2020-1, Class A
4.00%

     05/15/34        642,951        594,235  

Banks—5.9%

 

Bank of America Corp.

        

0.98% (Secured Overnight Financing Rate + 0.910%)(5)

     09/25/25        395,000        386,041  

1.32% (Secured Overnight Financing Rate + 1.150%)(5)

     06/19/26        305,000        289,921  

1.53% (Secured Overnight Financing Rate + 0.650%)(5)

     12/06/25        125,000        121,511  

1.66% (Secured Overnight Financing Rate + 0.910%)(5)

     03/11/27        780,000        727,143  

1.92% (Secured Overnight Financing Rate + 1.370%)(5)

     10/24/31        790,000        645,240  

2.30% (Secured Overnight Financing Rate + 1.220%)(5)

     07/21/32        350,000        286,699  

2.55% (Secured Overnight Financing Rate + 1.050%)(5)

     02/04/28        120,000        111,563  

3.42% (3 mo. USD Term SOFR + 1.302%)(5)

     12/20/28        395,000        370,889  

4.38% (5 yr. CMT + 2.760%)(5),(14)

     01/27/27        140,000        131,950  

Citigroup, Inc.

        

0.98% (Secured Overnight Financing Rate + 0.669%)(5)

     05/01/25        215,000        214,063  

2.52% (Secured Overnight Financing Rate + 1.177%)(5)

     11/03/32        665,000        546,391  

2.98% (Secured Overnight Financing Rate + 1.422%)(5)

     11/05/30        145,000        128,856  

Goldman Sachs Group, Inc.

        

1.09% (Secured Overnight Financing Rate + 0.789%)(5)

     12/09/26        1,275,000        1,184,194  

1.54% (Secured Overnight Financing Rate + 0.818%)(5)

     09/10/27        1,350,000        1,233,711  

5.84% (Secured Overnight Financing Rate + 0.486%)(5)

     10/21/24        285,000        285,192  

HSBC Holdings PLC (United Kingdom)

        

1.59% (Secured Overnight Financing Rate + 1.290%)(5)

     05/24/27        285,000        262,313  

2.10% (Secured Overnight Financing Rate + 1.929%)(5)

     06/04/26        430,000        412,529  

2.21% (Secured Overnight Financing Rate + 1.285%)(5)

     08/17/29        110,000        96,463  

2.36% (Secured Overnight Financing Rate + 1.947%)(5)

     08/18/31        130,000        108,390  


TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS March 31, 2024 (Unaudited) (Cont’d)

 

Issues

   Maturity
Date
     Principal
Amount
     Value  

JPMorgan Chase & Co.

 

1.04% (3 mo. USD Term SOFR + 0.695%)(5)

     02/04/27      $  1,000,000      $ 925,410  

1.58% (Secured Overnight Financing Rate + 0.885%)(5)

     04/22/27        425,000        394,209  

2.07% (Secured Overnight Financing Rate + 1.015%)(5)

     06/01/29        285,000        252,722  

2.58% (3 mo. USD Term SOFR + 1.250%)(5)

     04/22/32        375,000        316,942  

Lloyds Banking Group PLC (United Kingdom)
3.57% (3 mo. USD LIBOR + 1.205%)(5)

     11/07/28        200,000        187,638  

Morgan Stanley

        

0.79% (Secured Overnight Financing Rate + 0.525%)(5)

     05/30/25        920,000        911,512  

1.93% (Secured Overnight Financing Rate + 1.020%)(5)

     04/28/32        195,000        156,560  

2.19% (Secured Overnight Financing Rate + 1.990%)(5)

     04/28/26        55,000        53,078  

2.24% (Secured Overnight Financing Rate + 1.178%)(5)

     07/21/32        410,000        334,806  

2.51% (Secured Overnight Financing Rate + 1.200%)(5)

     10/20/32        180,000        148,942  

PNC Financial Services Group, Inc.

        

5.68% (Secured Overnight Financing Rate + 1.902%)(5)

     01/22/35        75,000        75,778  

6.88% (Secured Overnight Financing Rate + 2.284%)(5)

     10/20/34        400,000        438,320  

Santander U.K. Group Holdings PLC (United Kingdom)
1.67% (Secured Overnight Financing Rate + 0.989%)(5)

     06/14/27        55,000        50,349  

U.S. Bancorp

        

3.70% (5 yr. CMT + 2.541%)(5),(14)

     01/15/27        130,000        112,649  

4.84% (Secured Overnight Financing Rate + 1.600%)(5)

     02/01/34        325,000        308,773  

5.68% (Secured Overnight Financing Rate + 1.860%)(5)

     01/23/35        110,000        111,166  

5.84% (Secured Overnight Financing Rate + 2.260%)(5)

     06/12/34        20,000        20,407  

5.85% (Secured Overnight Financing Rate + 2.090%)(5)

     10/21/33        100,000        102,191  

Wells Fargo & Co.

        

2.39% (Secured Overnight Financing Rate + 2.100%)(5)

     06/02/28        955,000        874,374  

2.57% (3 mo. USD Term SOFR + 1.262%)(5)

     02/11/31        200,000        172,439  

3.35% (Secured Overnight Financing Rate + 1.500%)(5)

     03/02/33        795,000        689,615  
        

 

 

 
           14,180,939  
        

 

 

 

Beverages—0.2%

 

Bacardi Ltd.
5.30%(1)

     05/15/48        205,000        193,866  

Triton Water Holdings, Inc.
6.25%(1)

     04/01/29        345,000        314,992  
        

 

 

 
           508,858  
        

 

 

 

Biotechnology—0.0%

 

Amgen, Inc.
5.65%

     03/02/53        60,000        61,195  
        

 

 

 

Chemicals—0.4%

 

ASP Unifrax Holdings, Inc.
5.25%(1)

     09/30/28        280,000        181,017  

Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV
4.75%(1)

     06/15/27        135,000        130,612  

International Flavors & Fragrances, Inc.

        

2.30%(1)

     11/01/30        725,000        602,589  

3.27%(1)

     11/15/40        15,000        10,690  

3.47%(1)

     12/01/50        40,000        26,680  

4.38%

     06/01/47        60,000        46,520  

5.00%

     09/26/48        60,000        51,354  
        

 

 

 
           1,049,462  
        

 

 

 

Commercial Services—0.5%

 

Adtalem Global Education, Inc.
5.50%(1)

     03/01/28        294,000        281,840  

Global Payments, Inc.
4.88%

     03/17/31        100,000        114,030  

Hertz Corp.

        

4.63%(1)

     12/01/26        25,000        22,766  

5.00%(1)

     12/01/29        290,000        224,750  

Valvoline, Inc.
3.63%(1)

     06/15/31        150,000        129,432  

VT Topco, Inc.
8.50%(1)

     08/15/30        120,000        126,757  

WASH Multifamily Acquisition, Inc.
5.75%(1)

     04/15/26        205,000        200,468  
        

 

 

 
           1,100,043  
        

 

 

 

Computers—0.1%

 

NCR Voyix Corp.
5.13%(1)

     04/15/29        215,000        199,578  
        

 

 

 

Cosmetics/Personal Care—0.1%

 

Edgewell Personal Care Co.
5.50%(1)

     06/01/28        133,000        130,706  
        

 

 

 

Diversified Financial Services—0.9%

 

AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)

        

3.30%

     01/30/32        295,000        252,877  

3.88%

     01/23/28        130,000        123,271  

Air Lease Corp.
3.63%

     12/01/27        120,000        113,332  

American Express Co.
3.55% (5 yr. CMT + 2.854%)(5),(14)

     09/15/26        145,000        134,578  

Avolon Holdings Funding Ltd. (Ireland)

        

2.53%(1)

     11/18/27        406,000        361,305  

2.88%(1)

     02/15/25        305,000        296,933  

3.95%(1)

     07/01/24        85,000        84,535  


TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS March 31, 2024 (Unaudited) (Cont’d)

 

Issues

   Maturity
Date
     Principal
Amount
     Value  

Charles Schwab Corp.
5.00% (5 yr. CMT + 3.256%)(5),(14)

     06/01/27      $ 135,000      $ 129,406  

GGAM Finance Ltd. (Ireland)

        

8.00%(1)

     06/15/28        117,000        122,119  

8.00%(1)

     02/15/27        115,000        118,812  

Jane Street Group/JSG Finance, Inc.
4.50%(1)

     11/15/29        435,000        403,593  
        

 

 

 
           2,140,761  
        

 

 

 

Electric—0.9%

        

Alliant Energy Finance LLC
3.60%(1)

     03/01/32        535,000        474,096  

Arizona Public Service Co.
3.35%

     05/15/50        1,000,000        688,610  

Duke Energy Corp.
3.85%

     06/15/34        330,000        353,852  

FirstEnergy Transmission LLC
4.35%(1)

     01/15/25        300,000        296,415  

TenneT Holding BV (Netherlands)

        

2.75%(9)

     05/17/42        115,000        116,493  

4.50%(9)

     10/28/34        200,000        237,505  

4.75%(9)

     10/28/42        110,000        136,681  
        

 

 

 
           2,303,652  
        

 

 

 

Electronics—0.0%

        

Honeywell International, Inc.
3.75%

     03/01/36        110,000        120,065  
        

 

 

 

Engineering & Construction—0.1%

        

Artera Services LLC
8.50%(1)

     02/15/31        145,000        148,766  
        

 

 

 

Entertainment—0.7%

        

Banijay Entertainment SASU (France)
8.13%(1)

     05/01/29        200,000        206,438  

Everi Holdings, Inc.
5.00%(1)

     07/15/29        275,000        272,937  

Penn Entertainment, Inc.
5.63%(1)

     01/15/27        165,000        159,340  

WarnerMedia Holdings, Inc.

        

4.28%

     03/15/32        5,000        4,472  

5.05%

     03/15/42        630,000        541,460  

5.14%

     03/15/52        756,000        628,440  
        

 

 

 
           1,813,087  
        

 

 

 

Environmental Control—0.0%

        

Waste Pro USA, Inc.
5.50%(1)

     02/15/26        55,000        54,216  
        

 

 

 

Food—0.9%

        

B&G Foods, Inc.
5.25%

     04/01/25        42,000        42,000  

ELO SACA (France)
6.00%(9)

     03/22/29        200,000        219,244  

H-Food Holdings LLC/Hearthside Finance Co., Inc.
8.50%(1)

     06/01/26        244,000        18,300  

JBS USA LUX SA/JBS USA Food Co./JBS Luxembourg SARL

        

6.75%(1)

     03/15/34        125,000        131,464  

7.25%(1)

     11/15/53        145,000        155,950  

JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.

        

3.75%

     12/01/31        650,000        563,628  

5.50%

     01/15/30        25,000        24,654  

6.50%

     12/01/52        180,000        178,328  

Kraft Heinz Foods Co.
6.38%

     07/15/28        210,000        220,346  

Pilgrim’s Pride Corp.
4.25%

     04/15/31        285,000        257,432  

Post Holdings, Inc.
4.63%(1)

     04/15/30        270,000        248,066  

Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed
4.63%(1)

     03/01/29        275,000        243,548  
        

 

 

 
           2,302,960  
        

 

 

 

Gas—0.3%

        

National Gas Transmission PLC (United Kingdom)
4.25%(9)

     04/05/30        100,000        111,209  

Southern Co. Gas Capital Corp.
3.88%

     11/15/25        640,000        624,000  
        

 

 

 
           735,209  
        

 

 

 

Health Care-Products—0.1%

        

Embecta Corp.
5.00%(1)

     02/15/30        400,000        326,848  
        

 

 

 

Health Care-Services—0.9%

        

Cano Health LLC
0.00%(1),(2),(4),(7),(13)

     10/01/28        98,000        85  

Catalent Pharma Solutions, Inc.
3.50%(1)

     04/01/30        450,000        428,972  

Centene Corp.
3.00%

     10/15/30        248,000        212,855  

Fortrea Holdings, Inc.
7.50%(1)

     07/01/30        125,000        129,235  

HCA, Inc.

        

3.50%

     07/15/51        154,000        106,166  

5.38%

     09/01/26        65,000        64,964  

5.63%

     09/01/28        100,000        101,187  

7.05%

     12/01/27        235,000        247,812  

HealthEquity, Inc.
4.50%(1)

     10/01/29        265,000        245,221  

Kedrion SpA (Italy)
6.50%(1)

     09/01/29        335,000        305,662  

ModivCare Escrow Issuer, Inc.
5.00%(1)

     10/01/29        492,000        357,369  
        

 

 

 
           2,199,528  
        

 

 

 

Household Products/Wares—0.1%

        

Central Garden & Pet Co.
4.13%

     10/15/30        24,000        21,552  

Spectrum Brands, Inc.
3.88%(1)

     03/15/31        155,000        149,724  
        

 

 

 
           171,276  
        

 

 

 

Housewares—0.1%

        

Newell Brands, Inc.
7.00%

     04/01/46        300,000        242,571  
        

 

 

 

Insurance—1.4%

        

Acrisure LLC/Acrisure Finance, Inc.

        

4.25%(1)

     02/15/29        280,000        253,120  

6.00%(1)

     08/01/29        160,000        147,200  

Athene Global Funding

        

1.61%(1)

     06/29/26        285,000        261,630  

1.99%(1)

     08/19/28        425,000        368,177  

3.21%(1)

     03/08/27        135,000        126,228  

Farmers Exchange Capital
7.05%(1)

     07/15/28        500,000        505,428  

Farmers Insurance Exchange
4.75% (3 mo. USD LIBOR + 3.231%)(1),(5)

     11/01/57        5,000        3,712  


TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS March 31, 2024 (Unaudited) (Cont’d)

 

Issues

   Maturity
Date
     Principal
Amount
     Value  

Nationwide Mutual Insurance Co.
7.88% (3 mo. USD LIBOR + 2.290%)(1),(5)

     12/15/24      $ 1,000,000      $ 1,000,093  

Teachers Insurance & Annuity Association of America
4.38% (3 mo. USD LIBOR + 2.661%)(1),(5)

     09/15/54        675,000        664,262  
        

 

 

 
           3,329,850  
        

 

 

 

Internet—0.3%

 

Netflix, Inc.
5.88%

     02/15/25        485,000        486,974  

Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.

 

4.75%(1)

     04/30/27        123,000        126,075  

6.00%(1)

     02/15/28        45,000        46,350  
        

 

 

 
           659,399  
        

 

 

 

Investment Companies—0.2%

 

Icahn Enterprises LP/Icahn Enterprises Finance Corp.

 

4.38%

     02/01/29        103,000        88,045  

5.25%

     05/15/27        264,000        245,520  

9.75%(1)

     01/15/29        55,000        57,405  
        

 

 

 
           390,970  
        

 

 

 

Iron & Steel—0.1%

 

ATI, Inc.
7.25%

     08/15/30        121,000        125,574  
        

 

 

 

Machinery-Diversified—0.2%

 

OT Merger Corp.
7.88%(1)

     10/15/29        575,000        414,816  

Titan Acquisition Ltd./Titan Co.-Borrower LLC (Canada)
7.75%(1)

     04/15/26        140,000        140,070  
        

 

 

 
           554,886  
        

 

 

 

Media—1.4%

 

Cable One, Inc.
4.00%(1)

     11/15/30        415,000        324,738  

Charter Communications Operating LLC/Charter Communications Operating Capital

 

2.30%

     02/01/32        165,000        127,466  

3.70%

     04/01/51        598,000        371,400  

4.80%

     03/01/50        65,000        48,156  

5.25%

     04/01/53        210,000        166,497  

5.38%

     05/01/47        125,000        101,068  

5.75%

     04/01/48        360,000        303,387  

6.65%

     02/01/34        170,000        174,321  

CSC Holdings LLC

 

5.38%(1)

     02/01/28        50,000        43,049  

5.75%(1)

     01/15/30        45,000        23,858  

6.50%(1)

     02/01/29        354,000        300,247  

7.50%(1)

     04/01/28        150,000        101,234  

11.75%(1)

     01/31/29        117,000        117,146  

DirecTV Financing LLC/DirecTV Financing Co.-Obligor, Inc.
5.88%(1)

     08/15/27        225,000        213,035  

Scripps Escrow, Inc.
5.88%(1)

     07/15/27        265,000        222,600  

Sirius XM Radio, Inc.
3.88%(1)

     09/01/31        150,000        125,174  

Time Warner Cable LLC
5.50%

     09/01/41        120,000        99,994  

VZ Secured Financing BV (Netherlands)
5.00%(1)

     01/15/32        615,000        528,500  
        

 

 

 
           3,391,870  
        

 

 

 

Metal Fabricate & Hardware—0.1%

 

Advanced Drainage Systems, Inc.
6.38%(1)

     06/15/30        125,000        125,763  
        

 

 

 

Miscellaneous Manufacturers—0.9%

 

General Electric Co.
6.05% (3 mo. USD Term SOFR + 0.742%)(5)

     08/15/36        2,400,000        2,229,141  
        

 

 

 

Oil & Gas—0.2%

 

KazMunayGas National Co. JSC (Kazakhstan)
3.50%(9)

     04/14/33        200,000        166,780  

Petroleos Mexicanos
6.35%

     02/12/48        34,000        21,721  

Sunoco LP/Sunoco Finance Corp.
4.50%

     05/15/29        283,000        263,544  
        

 

 

 
           452,045  
        

 

 

 

Oil & Gas Services—0.1%

 

USA Compression Partners LP/USA Compression Finance Corp.
7.13%(1)

     03/15/29        120,000        121,421  
        

 

 

 

Packaging & Containers—0.7%

 

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.

        

4.13%(1)

     08/15/26        85,000        77,207  

5.25%(1)

     08/15/27        70,000        44,175  

5.25%(1)

     08/15/27        280,000        176,400  

Ball Corp.
6.88%

     03/15/28        240,000        246,768  

Berry Global, Inc.

 

1.57%

     01/15/26        323,000        302,496  

1.65%

     01/15/27        149,000        135,357  

4.88%(1)

     07/15/26        85,000        83,362  

5.50%

     04/15/28        95,000        95,694  

5.65%(1)

     01/15/34        30,000        29,871  

Clearwater Paper Corp.
4.75%(1)

     08/15/28        125,000        116,379  

Graphic Packaging International LLC
4.75%(1)

     07/15/27        130,000        126,425  

Trivium Packaging Finance BV (Netherlands)
5.50%(1)

     08/15/26        250,000        246,716  
        

 

 

 
           1,680,850  
        

 

 

 

Pharmaceuticals—1.0%

 

1375209 BC Ltd. (Canada)
9.00%(1)

     01/30/28        240,000        235,461  

180 Medical, Inc. (United Kingdom)
3.88%(1)

     10/15/29        275,000        249,222  

Bayer U.S. Finance II LLC

        

4.63%(1)

     06/25/38        515,000        429,033  

4.88%(1)

     06/25/48        285,000        229,244  

Bayer U.S. Finance LLC
6.50%(1)

     11/21/33        360,000        366,386  

Grifols SA (Spain)
4.75%(1)

     10/15/28        395,000        327,123  

Option Care Health, Inc.
4.38%(1)

     10/31/29        275,000        252,819  

Prestige Brands, Inc.
3.75%(1)

     04/01/31        445,000        387,841  
        

 

 

 
           2,477,129  
        

 

 

 

Pipelines—0.9%

 

Energy Transfer LP
6.63% (3 mo. USD LIBOR + 4.155%)(5),(14)

     02/15/28        634,000        594,471  

Global Partners LP/GLP Finance Corp.
6.88%

     01/15/29        275,000        273,041  


TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS March 31, 2024 (Unaudited) (Cont’d)

 

Issues

   Maturity
Date
     Principal
Amount
     Value  

NGL Energy Operating LLC/NGL Energy Finance Corp.
8.38%(1)

     02/15/32      $ 95,000      $ 97,499  

Rockies Express Pipeline LLC

        

4.80%(1)

     05/15/30        125,000        116,125  

4.95%(1)

     07/15/29        425,000        398,081  

TransMontaigne Partners LP/TLP Finance Corp.
6.13%

     02/15/26        265,000        253,406  

Venture Global Calcasieu Pass LLC
3.88%(1)

     08/15/29        93,000        83,853  

Venture Global LNG, Inc.
9.50%(1)

     02/01/29        235,000        253,513  
        

 

 

 
           2,069,989  
        

 

 

 

Real Estate—0.2%

        

Annington Funding PLC (United Kingdom)
3.69%(9)

     07/12/34        100,000        107,733  

Blackstone Property Partners Europe Holdings SARL (Luxembourg)

        

1.00%(9)

     05/04/28        150,000        140,148  

1.75%(9)

     03/12/29        100,000        94,204  

China Aoyuan Group Ltd.
6.35%(9),(13)

     02/08/24        400,000        8,000  

Greystar Real Estate Partners LLC
7.75%(1)

     09/01/30        125,000        130,000  

Sunac China Holdings Ltd.

        

6.00%(1),(2),(4),(13)

     09/30/26        17,586        2,066  

6.25%(1),(2),(4),(13)

     09/30/27        17,586        1,838  

6.50%(1),(2),(4),(13)

     09/30/27        35,173        3,236  

6.75%(1),(2),(4),(13)

     09/30/28        52,759        4,326  

7.00%(1),(2),(4),(13)

     09/30/29        52,759        3,825  

7.25%(1),(2),(4),(13)

     09/30/30        24,786        1,599  

Vonovia SE (Germany)
0.75%(9)

     09/01/32        100,000        82,045  

Zhenro Properties Group Ltd. (China)
6.63%(4),(9),(13)

     01/07/26        200,000        3,234  
        

 

 

 
           582,254  
        

 

 

 

REIT—1.9%

        

American Assets Trust LP
3.38%

     02/01/31        275,000        224,845  

American Homes 4 Rent LP
4.30%

     04/15/52        315,000        248,598  

American Tower Corp.

        

1.00%

     01/15/32        265,000        234,346  

2.70%

     04/15/31        195,000        165,183  

CapitaLand Ascendas REIT (Singapore)
0.75%(9)

     06/23/28        115,000        107,634  

Digital Intrepid Holding BV (Netherlands)
0.63%(9)

     07/15/31        365,000        309,112  

Extra Space Storage LP

        

2.40%

     10/15/31        56,000        46,096  

2.55%

     06/01/31        320,000        266,531  

GLP Capital LP/GLP Financing II, Inc.

        

5.30%

     01/15/29        210,000        207,478  

5.75%

     06/01/28        345,000        345,528  

Healthcare Realty Holdings LP

        

2.00%

     03/15/31        75,000        59,686  

2.05%

     03/15/31        32,000        24,833  

2.40%

     03/15/30        205,000        167,992  

3.10%

     02/15/30        245,000        213,091  

Hudson Pacific Properties LP

        

3.25%

     01/15/30        100,000        77,179  

3.95%

     11/01/27        303,000        268,709  

4.65%

     04/01/29        20,000        17,058  

Invitation Homes Operating Partnership LP

        

2.00%

     08/15/31        210,000        167,133  

2.70%

     01/15/34        135,000        107,036  

4.15%

     04/15/32        8,000        7,326  

5.50%

     08/15/33        40,000        39,867  

Iron Mountain Information Management Services, Inc.
5.00%(1)

     07/15/32        420,000        384,388  

LXP Industrial Trust
2.70%

     09/15/30        275,000        230,174  

Prologis Euro Finance LLC (REIT)
4.25%

     01/31/43        105,000        114,486  

Realty Income Corp.
5.13%

     07/06/34        220,000        259,602  

VICI Properties LP

        

4.95%

     02/15/30        40,000        38,682  

5.13%

     05/15/32        220,000        210,782  

VICI Properties LP/VICI Note Co., Inc.

        

3.88%(1)

     02/15/29        75,000        69,091  

4.13%(1)

     08/15/30        7,000        6,369  

4.50%(1)

     01/15/28        48,000        46,108  

4.63%(1)

     06/15/25        20,000        19,725  
        

 

 

 
           4,684,668  
        

 

 

 

Retail—0.5%

        

Ferrellgas LP/Ferrellgas Finance Corp.
5.88%(1)

     04/01/29        270,000        257,593  

Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc.
6.75%(1)

     01/15/30        85,000        76,713  

FirstCash, Inc.
5.63%(1)

     01/01/30        280,000        266,641  

LCM Investments Holdings II LLC
8.25%(1)

     08/01/31        120,000        125,400  

Michaels Cos., Inc.
7.88%(1)

     05/01/29        590,000        443,204  
        

 

 

 
           1,169,551  
        

 

 

 

Savings & Loans—0.1%

        

Nationwide Building Society (United Kingdom)
2.97% (Secured Overnight Financing Rate + 1.290%)(1),(5)

     02/16/28        250,000        233,320  
        

 

 

 

Software—0.3%

        

Open Text Corp. (Canada)
6.90%(1)

     12/01/27        580,000        598,792  

RingCentral, Inc.
8.50%(1)

     08/15/30        115,000        119,667  
        

 

 

 
           718,459  
        

 

 

 

Telecommunications—0.7%

        

Frontier Communications Holdings LLC

        

5.00%(1)

     05/01/28        285,000        265,127  

6.75%(1)

     05/01/29        275,000        245,378  

Global Switch Finance BV (United Kingdom)
1.38%(9)

     10/07/30        315,000        315,314  

Intelsat Jackson Holdings SA (Luxembourg)
6.50%(1)

     03/15/30        86,000        80,198  

Qwest Corp.
7.25%

     09/15/25        250,000        247,188  

SES GLOBAL Americas Holdings, Inc. (Luxembourg)
5.30%(1)

     03/25/44        675,000        516,949  
        

 

 

 
           1,670,154  
        

 

 

 

Water—0.1%

        

Thames Water Utilities Finance PLC (United Kingdom)
4.38%(9)

     01/18/31        220,000        221,571  
        

 

 

 

Total Corporate Bonds (Cost: $61,984,579)

           59,414,529  
        

 

 

 


TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS March 31, 2024 (Unaudited) (Cont’d)

 

Issues

   Maturity
Date
     Principal
Amount
     Value  

MUNICIPAL BONDS—0.7%

        

Alabama Economic Settlement Authority, Revenue Bond
4.26%

     09/15/32      $ 705,000      $ 679,846  

New York State Dormitory Authority, Revenue Bond
5.29%

     03/15/33        1,000,000        1,006,870  
        

 

 

 

Total Municipal Bonds (Cost: $1,820,761)

           1,686,716  
        

 

 

 

FOREIGN GOVERNMENT BONDS—0.6%

        

Brazil Government International Bonds
6.13%

     03/15/34        200,000        198,140  

Colombia Government International Bonds

        

3.00%

     01/30/30        50,000        41,460  

8.00%

     04/20/33        200,000        211,720  

Dominican Republic International Bonds
4.50%(1)

     01/30/30        200,000        182,500  

Guatemala Government Bonds
3.70%(9)

     10/07/33        200,000        165,675  

Hungary Government International Bonds
2.13%(1)

     09/22/31        200,000        159,080  

Oman Government International Bonds
5.63%(9)

     01/17/28        200,000        201,280  

Panama Government International Bonds
2.25%

     09/29/32        200,000        143,290  

Republic of Poland Government International Bonds
4.88%

     10/04/33        240,000        236,688  
        

 

 

 

Total Foreign Government Bonds (Cost: $1,589,804)

           1,539,833  
        

 

 

 

Total Fixed Income Securities (Cost: $261,664,526)

           236,400,801  
        

 

 

 

CONVERTIBLE SECURITIES—0.1%

        

CONVERTIBLE CORPORATE BONDS—0.1%

        

Commercial Services—0.1%

        

Worldline SA (France)
0.00%(9)

     07/30/25        29,860        35,690  

Worldline SA (France)
0.00%(7),(9)

     07/30/26        206,400        201,949  
        

 

 

 

Total Commercial Services (Cost: $228,775)

           237,639  
        

 

 

 

Real Estate—0.0% (Cost: $16,219)

        

Sunac China Holdings Ltd.
1.00%(1),(2),(4),(13)

     09/30/32        21,848        1,420  
        

 

 

 

Total Convertible Corporate Bonds (Cost: $244,994)

           239,059  
        

 

 

 

Total Convertible Securities (Cost: $244,994)

           239,059  
        

 

 

 

COMMON STOCK—5.6%

        
        
       Shares         

Agriculture—0.4%

        

Altria Group, Inc.

        12,670        552,665  

British American Tobacco PLC (SP ADR) (United Kingdom)

        15,706        479,033  
        

 

 

 
           1,031,698  
        

 

 

 

Banks—1.5%

        

Bank of America Corp.

        41,077        1,557,640  

PNC Financial Services Group, Inc.

        2,795        451,672  

U.S. Bancorp

        10,043        448,922  

Wells Fargo & Co.

        19,525        1,131,669  
        

 

 

 
           3,589,903  
        

 

 

 

Oil & Gas Services—0.4%

        

USA Compression Partners LP

        39,911        1,064,426  
        

 

 

 

Pipelines—1.1%

        

Energy Transfer LP

        103,400        1,626,482  

Enterprise Products Partners LP

        38,393        1,120,308  
        

 

 

 
           2,746,790  
        

 

 

 

REIT—1.4%

        

AGNC Investment Corp.

        144,641        1,431,946  

Annaly Capital Management, Inc.

        41,441        815,973  

Redwood Trust, Inc.

        61,963        394,705  

Rithm Capital Corp.

        55,339        617,583  
        

 

 

 
           3,260,207  
        

 

 

 

Telecommunications—0.8%

        

AT&T, Inc.

        54,617        961,259  

Intelsat SA(4),(15)

        11,093        298,125  

Verizon Communications, Inc.

        15,224        638,799  
           1,898,183  
        

 

 

 

Total Common Stock (Cost: $12,889,046)

           13,591,207  
        

 

 

 

MONEY MARKET INVESTMENTS—3.7%

        

State Street Institutional U.S. Government Money Market Fund — Premier Class,
5.26%(16)

        9,001,597        9,001,597  
        

 

 

 

Total Money Market Investments (Cost: $9,001,597)

           9,001,597  
        

 

 

 

SHORT TERM INVESTMENTS—14.2%

        
        

Issues

   Maturity
Date
     Principal
Amount
        

U.S. TREASURY SECURITIES14.2%

        

U.S. Treasury Bills

        

4.97%(17)

     04/16/24      $ 5,000,000        4,986,850  

5.01%(17)

     04/18/24        7,000,000        6,982,617  

5.20%(17)

     05/16/24        7,500,000        7,447,800  

5.27%(17)

     05/30/24        8,000,000        7,927,563  

5.29%(17)

     07/09/24        7,000,000        6,897,134  
        

 

 

 

Total U.S. Treasury Securities (Cost: $34,254,261)

           34,241,964  
        

 

 

 

Total Short Term Investments (Cost: $34,254,261)

           34,241,964  
        

 

 

 

Total Investments (121.2%) (Cost: $318,054,424)

           293,474,628  

Liabilities In Excess Of Other Assets (-21.2%)

           (51,247,715
        

 

 

 

Net Assets (100.0%)

         $ 242,226,913  
        

 

 

 


TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS March 31, 2024 (Unaudited) (Cont’d)

 

FUTURES CONTRACTS

 

Number of
Contracts

  

Type

   Expiration
Date
     Notional
Contract
Value
    Market Value     Net
Unrealized
Appreciation
(Depreciation)
 

Long Futures

 

479

   5-Year U.S. Treasury Note Futures      06/28/24      $ 51,221,230     $ 51,260,485     $ 39,255  

229

   2-Year U.S. Treasury Note Futures      06/28/24        46,863,182       46,826,922       (36,260
        

 

 

   

 

 

   

 

 

 
         $ 98,084,412     $ 98,087,407     $ 2,995  
        

 

 

   

 

 

   

 

 

 

Short Futures

 

198

   10-Year U.S. Treasury Note Futures      06/18/24        (22,551,602   $ (22,692,656   $ (141,054

2

   30-Year Euro-Buxl Future      06/6/24        (287,407     (293,328     (5,921

2

   Euro SCHWATZ Futures      06/6/24        (228,270     (228,312     (42

5

   Euro-Bobl Future      06/6/24        (636,168     (638,550     (2,382

14

   Euro-Bund Future      06/6/24        (2,002,626     (2,016,706     (14,080

68

   U.S. Ultra Long Bond Futures      06/18/24        (8,695,832     (8,772,000     (76,168
        

 

 

   

 

 

   

 

 

 
         $ (34,401,905   $ (34,641,552   $ (239,647
        

 

 

   

 

 

   

 

 

 

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 (18)

                 

Bank of New York

     EUR        92,915        04/03/24      $ 100,396      $ 100,348      $ (48

Citibank N.A.

     EUR        501,000        04/12/24        544,766        541,271        (3,495

Bank of America

     EUR        213,000        04/12/24        231,423        230,121        (1,302
           

 

 

    

 

 

    

 

 

 
            $ 876,585      $ 871,740      $ (4,845
           

 

 

    

 

 

    

 

 

 

SELL (19)

                 

Bank of America

     EUR        220,000        04/12/24      $ 239,390      $ 237,683      $ 1,707  

Bank of New York

     EUR        269,000        04/12/24        291,418        290,623        795  

Citibank N.A.

     EUR        5,527,000        04/12/24        6,082,643        5,971,263        111,380  

Goldman Sachs & Co.

     EUR        11,000        04/12/24        11,942        11,884        58  

Citibank N.A.

     GBP        725,000        04/12/24        925,422        915,901        9,521  
           

 

 

    

 

 

    

 

 

 
            $ 7,550,815      $ 7,427,354      $ 123,461  
           

 

 

    

 

 

    

 

 

 

CENTRALLY CLEARED—INTEREST RATE SWAP AGREEMENTS

 

Notional

Amount

    Expiration
Date
    Payment Made by
Fund Frequency
  Payment Made by
Fund
  Payment Received by
Fund Frequency
 

Payment Received by

Fund

  Unrealized
Appreciation
(Depreciation)
    Premium Paid     Value  
  $1,476,000       12/20/53     Annual   3.520%   Annual   12-Month SOFR   $ 21,379     $ —      $ 21,379  
           

 

 

   

 

 

   

 

 

 


TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS March 31, 2024 (Unaudited) (Cont’d)

 

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

                

Bank of America Corp.

   $ 37.00        4/19/24        (410   $ (1,554,720   $ (61,090   $ (9,214   $ (51,876

PNC Financial Services Group, Inc.

     165.00        4/19/24        (27     (436,320     (7,020     (2,254     (4,766

U.S. Bancorp

     47.50        4/19/24        (100     (447,000     (3,750     (2,147     (1,603

Wells Fargo & Co.

     62.50        7/19/24        (195     (1,130,220     (30,420     (17,252     (13,168
            

 

 

   

 

 

   

 

 

 
             $ (102,280   $ (30,867   $ (71,413
            

 

 

   

 

 

   

 

 

 

 

Notes to the Schedule of Investments:
ACES     Alternative Credit Enhancement Securities.
CLO     Collateralized Loan Obligation.
EETC     Enhanced Equipment Trust Certificate.
I/F     Inverse Floating rate security whose interest rate moves in the opposite direction of prevailing interest rates.
I/O     Interest Only Security.
LIBOR     London Interbank Offered Rate.
PAC     Planned Amortization Class.
REMIC     Real Estate Mortgage Investment Conduit.
SOFR     Secured Overnight Financing Rate.
TAC     Target Amortization Class.
TBA     To Be Announced.
EUR     Euro Currency.
GBP     British Pound.
(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 March 31, 2024, the value of these securities amounted to $97,956,695 or 40.4% of net assets. These securities are determined to be liquid by the Fund’s investment advisor, unless otherwise noted, under procedures established by and under the general supervision of the Fund’s Board of Directors.
(2)     Restricted security (Note 2).
(3)     This security is a residual or equity position that does not have a stated interest rate. This residual or equity position is entitled to recurring distributions which are generally equal to the remaining cash flow of payments made by underlying securities less contractual payments to debtholders and fund expenses.
(4)     For fair value measurement disclosure purposes, security is categorized as Level 3. Security is valued using significant unobservable inputs.
(5)     Floating or variable rate security. The interest shown reflects the rate in effect at March 31, 2024.
(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)     Security is not accruing interest.
(8)     This security is purchased on a when-issued, delayed-delivery or forward commitment basis.
(9)     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 March 31, 2024, the value of these securities amounted to $5,289,127 or 2.2% of net assets.
(10)     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.
(11)     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.
(12)     The maturity date of the security has been extended past the date disclosed. The new maturity date is not known as of March 31, 2024.
(13)     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.
(14)     Perpetual maturity.
(15)     Non-income producing security.
(16)     Rate disclosed is the 7-day net yield as of March 31, 2024.
(17)     Rate shown represents yield-to-maturity.
(18)     Fund buys foreign currency, sells U.S. Dollar.
(19)     Fund sells foreign currency, buys U.S. Dollar.


TCW Strategic Income Fund, Inc.

 

Investments by Sector (Unaudited)    March 31, 2024

 

Sector

   Percentage of
Net Assets
 

Residential Mortgage-Backed Securities—Non-Agency

     25.8

Corporate Bonds

     24.5  

Residential Mortgage-Backed Securities—Agency

     21.7  

Asset-Backed Securities

     16.4  

Short Term Investments

     14.2  

Commercial Mortgage-Backed Securities—Non-Agency

     7.0  

Common Stock

     5.6  

Money Market Investments

     3.7  

Commercial Mortgage-Backed Securities—Agency

     0.9  

Municipal Bonds

     0.7  

Foreign Government Bonds

     0.6  

Convertible Corporate Bonds

     0.1  

Other

     (21.2 )* 
  

 

 

 

Total

     100.0
  

 

 

 

 

*

Includes cash, futures, written options, foreign currency exchange contracts, swap agreements, pending trades, interest receivable, and accrued expenses payable.


TCW Strategic Income Fund, Inc.

 

Fair Valuation Summary (Unaudited)    March 31, 2024

The following is a summary of the fair valuations according to the inputs used as of March 31, 2024 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

   $ —       $ 38,182,252      $ 1,475,399      $ 39,657,651  

Mortgage-Backed Securities

           

Commercial Mortgage-Backed
Securities—Agency

     —         2,204,727        —         2,204,727  

Commercial Mortgage-Backed
Securities—Non-Agency

     —         16,245,500        604,395        16,849,895  

Residential Mortgage-Backed Securities—Agency

     —         52,544,102        —         52,544,102  

Residential Mortgage-Backed
Securities—Non-Agency

     —         60,116,827        2,386,521        62,503,348  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Mortgage-Backed Securities

     —         131,111,156        2,990,916        134,102,072  
  

 

 

    

 

 

    

 

 

    

 

 

 

Corporate Bonds*

     —         59,394,320        20,209        59,414,529  

Municipal Bonds

     —         1,686,716        —         1,686,716  

Foreign Government Bonds

     —         1,539,833        —         1,539,833  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Fixed Income Securities

     —         231,914,277        4,486,524        236,400,801  
  

 

 

    

 

 

    

 

 

    

 

 

 

Convertible Corporate Bonds*

     —         237,639        1,420        239,059  

Common Stock*

     13,293,082        —         298,125        13,591,207  

Money Market Investments

     9,001,597        —         —         9,001,597  

Short Term Investments

     34,241,964        —         —         34,241,964  

Total Investments

   $ 56,536,643      $ 232,151,916      $ 4,786,069      $ 293,474,628  
  

 

 

    

 

 

    

 

 

    

 

 

 

Asset Derivatives

           

Forward Currency Exchange Contracts

           

Foreign Currency Risk

     —         123,461        —         123,461  

Futures Contracts

           

Interest Rate Risk

     39,255        —         —         39,255  

Swap Agreements

           

Interest Rate Risk

     —         21,379        —         21,379  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 56,575,898      $ 232,296,756      $ 4,786,069      $ 293,658,723  
  

 

 

    

 

 

    

 

 

    

 

 

 

Liability Derivatives

           

Futures Contracts

           

Interest Rate Risk

   $ (275,907    $ —       $ —       $ (275,907

Forward Currency Exchange Contracts

           

Foreign Currency Risk

     —         (4,845      —         (4,845

Written Options

           

Equity Risk

     (102,280      —         —         (102,280
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ (378,187    $ (4,845    $ —       $ (383,032
  

 

 

    

 

 

    

 

 

    

 

 

 

 

*

See Schedule of Investments for corresponding industries.


Note 1 — Security Valuations

Securities listed or traded on the NYSE and other stock exchanges were valued at the latest sale price on the exchange. Securities traded on the NASDAQ stock market (“NASDAQ”) were valued during the period using official closing prices as reported by NASDAQ, which may not have been the last sale price. All other securities for which over-the-counter (“OTC”) market quotations were readily available, including short-term securities, swap agreements and forward currency exchange contracts, were valued with prices furnished by independent pricing services or by broker-dealers.

Pursuant to Rule 2a-5 under the 1940 Act, the Board of Directors of the Fund (the “Board”, and each member thereof, a “Director”) has designated the Advisor as the “valuation designee” with respect to the fair valuation of the Fund’s portfolio securities, subject to oversight by and periodic reporting to the Board. Fair valued securities are those for which market quotations were not readily available, including in circumstances under which it was determined by the Advisor that prices received were not reflective of their market values.

Fair value is defined as the price that the 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 Fund discloses investments in its 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 Fund’s 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 as 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 Fund’s 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 as Level 2 of the fair value hierarchy; otherwise, they would be categorized as Level 3.

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 as 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 as 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 as Level 1 of the fair value hierarchy. Restricted securities issued by publicly held companies are generally categorized as Level 2 of the fair value hierarchy; if a discount is applied and significant, they are categorized as 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 as Level 2 of the fair value hierarchy.

Foreign currency contracts. The fair values of foreign currency contracts are derived from indices, reference rates, and other inputs or a combination of these factors. To the extent that these factors can be observed, foreign currency contracts are categorized as 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 as 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 as Level 1 or 2 of the fair value hierarchy depending on the liquidity and transparency of the market.

Interest rate swaps. Interest rate 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 are categorized as Level 2; otherwise, the fair values are categorized as Level 3.

Money market funds. Money market funds are open-end mutual funds that invest in short-term debt securities. To the extent that these funds are valued based upon the reported net asset value (“NAV”), they are categorized as 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 as Level 2; otherwise, the fair values are categorized as Level 3.

Options contracts. Option contracts traded on securities exchanges are fair valued using market mid prices; as such, they are categorized as 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-the-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 as Level 2; otherwise, the fair values would be categorized as Level 3.


Restricted securities. Restricted securities, including illiquid Rule 144A securities, issued by non-public entities are categorized as Level 3 of the fair value hierarchy because they trade infrequently, and therefore the inputs are unobservable. Any other restricted securities valued similar to publicly traded securities may be categorized as Level 2 or 3 of the fair value hierarchy depending on whether a discount is applied and significant to the fair value.

Short-term investments. Short-term investments are valued using market price quotations, and are categorized as Level 1 or Level 2 of the fair value hierarchy.

The summary of the inputs used as of March 31, 2024 in valuing the Fund’s investments is listed after the Investments by Sector table.

Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value:

 

     Asset-Backed
Securities
    Commercial
Mortgage-
Backed
Securities —
Non-Agency
     Common Stock     Convertible
Corporate
Bonds
    Corporate
Bonds
    Residential
Mortgage-Backed
Securities —Non-
Agency
    Total  

Balance as of December 31, 2023

   $ 1,505,956     $ 603,790.00      $ 321,703     $ 1,739.00     $ 28,981     $ 2,679,207     $ 5,141,376  

Accrued Discounts (Premiums)

     —        —         —        —        —        (33,536     (33,536

Realized Gain (Loss)

     —        —         (94     —        —        —        (94

Change in Unrealized Appreciation (Depreciation)

     (30,557     605        (23,482     (319     (857     (259,150     (313,760

Purchases

     —        —         —        —        —        —        —   

Sales

     —        —         (2     —        —        —        (2

Transfers in to Level 3

     —        —         —        —        85       —        85  

Transfers out of Level 3

     —        —         —        —        (8,000     —        (8,000
  

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Balance as of March 31, 2024

   $ 1,475,399     $ 604,395      $ 298,125     $ 1,420     $ 20,209     $ 2,386,521     $ 4,786,069  
  

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2024

   $ (30,557   $ 605      $ (23,482   $ (319   $ 143     $ (259,150   $ (312,760
  

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Significant unobservable valuation inputs for Level 3 investments as of March 31, 2024 are as follows:

 

Description

   Fair Value at
March 31, 2024
     Valuation Techniques      Unobservable
Input
     Price or Price
Range
     Weighted
Average
Price
     Impact to
Valuation
If Input
Increases
 

Asset-Backed Securities

   $ 1,475,399        Broker Quote        Offered Quote      $ 100.574 to $18,423.920      $ 172.891        Increase  

Commercial Mortgage- Backed
Securities— Non-Agency

   $ 604,395        Broker Quote        Offered Quote      $ 99.900      $ 99.9000        Increase  

Common Stock

   $ 298,125        Third-Party Vendor        Vendor Prices      $ 26.875      $ 26.875        Increase  

Convertible Corporate Bonds

   $ 1,420        Third-Party Vendor        Vendor Prices      $ 6.500      $ 6.500        Increase  

Corporate Bonds

   $ 20,209        Third-Party Vendor        Vendor Prices      $ 0.087 to $11.750      $ 4.053        Increase  

Residential Mortgage-Backed
Securities— Non-Agency

   $ 2,386,521        Third-Party Vendor        Vendor Prices      $ 0.001 to $16.656      $ 2.970        Increase  


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 Fund may not be able to close out a derivative transaction at a favorable time or price.

For the quarter ended March 31, 2024, the Fund had derivatives and transactions in derivatives, grouped in the following risk categories:

 

     Equity Risk     Foreign
Currency Risk
    Interest Rate
Risk
    Total  

Asset Derivatives

        

Swaps Agreements

   $ —       $ —       $ 21,379     $ 21,379  

Futures Contracts

     —         —         39,255       39,255  

Forward Currency Exchange Contracts

     —         123,461       —         123,461  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Value

   $ —       $ 123,461     $ 60,634     $ 184,095  

Liability Derivatives

 

Forward Currency Exchange Contracts

   $       $ (4,845   $       $ (4,845

Written Options

     (102,280     —         —         (102,280

Futures Contracts

     —         —         (275,907     (275,907
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Value

   $ (102,280   $ (4,845   $ (275,907   $ (383,032

Number of Contracts or Notional Amounts(1)

 

Forward Contracts

   $ —       $ 7,857,735     $ —       $ 7,857,735  

Futures Contracts

     —         —         939       939  

Swap Agreements

   $ —       $ —       $ 1,476,000     $ 1,476,000  

Written Options

     732       —         —         732  

 

(1)

Amount disclosed represents average number of contracts or notional amounts, which are representative of the volume traded for the period ended March 31, 2024.

Mortgage-Backed and Other Asset-Backed Securities: The Fund 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 Fund 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 the Government National Mortgage Association (Ginnie Mae), Federal Home Loan Mortgage Corporation (Freddie Mac) or Federal National Mortgage Corporation (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 Fund may invest in stripped MBS. Stripped MBS are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. In certain cases, one class will receive all of the interest (the interest only or “IO” class), while the other class will receive all of the principal (the principal only or “PO” class). The yield to maturity on IOs is sensitive to the rate of principal repayments (including prepayments) on the related underlying mortgage assets, and principal payments may have a material effect on yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, the Fund may not fully recoup its initial investment in IOs. Mortgage-backed and other asset-backed securities held by the Fund at March 31, 2024 are listed in the Fund’s Schedule of Investments.


When-Issued, Delayed-Delivery, To Be Announced (“TBA”) and Forward Commitment Transactions: The Fund 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 Fund’s existing portfolio. In when-issued, delayed-delivery, TBA or forward commitment transactions, the 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 the 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, 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 Fund may enter into repurchase agreements under the terms of a Master Repurchase Agreement (“MRA”). In a repurchase agreement, the Fund purchases a security from a counterparty who agrees to repurchase the same security at a mutually agreed upon date and price. The MRA permits the 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 the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, the 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. The Fund had no repurchase agreements outstanding as of March 31, 2024.

Securities Lending: The Fund may lend its securities to qualified brokers. The loans must be collateralized at all times primarily with cash although the Fund 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 Fund 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 Fund earns additional income for lending its securities by investing the cash collateral in short-term investments. The Fund did not lend any securities during the period ended March 31, 2024.

Derivatives:

Forward Currency Exchange Contracts: The Fund enters into forward currency exchange contracts as a hedge against fluctuations in foreign exchange rates. Forward currency exchange contracts are marked-to-market daily and the change in market value is recorded by the Fund as unrealized gains or losses in the Statement of Assets and Liabilities. When a contract is closed or delivery is taken, 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. 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 forward currency exchange contracts at March 31, 2024 are disclosed in the Schedule of Investments.

Futures Contracts: The Fund may enter into futures contracts. The 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. The 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 the 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 the Fund that is the subject of the hedge. It may not always be possible for the Fund to enter into a closing transaction with respect to a futures contract it has entered into at a favorable time or price. When the 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 the 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. During the period ended March 31, 2024, the Fund utilized treasury futures to help manage interest rate duration and credit market exposure. Futures contracts outstanding at March 31, 2024 are listed in the Fund’s Schedule of Investments.

Options: The Fund 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 Fund 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 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 period ended March 31, 2024, the Fund entered into written option contracts to gain exposure to the equity market.


Swap Agreements: The Fund 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. The 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. The 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 the 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. The 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. The Fund’s maximum risk of loss due to counterparty default is the discounted NAV of the cash flows paid to/received from the counterparty over the interest rate swap’s remaining life.

The 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 the Fund buys protection, it may or may not own securities of the reference entity. When the 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 the Fund sells protection, it may do so either to earn additional income or to create such a “synthetic” long position.

Whenever the 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. The 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 the 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 the 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, the 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 the Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gains or losses on the Fund’s Statement of Operations upon termination or maturity of the swap agreement.


During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security. These periodic payments received or made by the Fund are recorded as realized gains and losses, respectively. During the period ended March 31, 2024, the 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). Outstanding swap agreements at March 31, 2024 are disclosed in the Schedule of Investments.

Note 2 — Restricted Securities

The Fund is 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 Fund 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 Fund at March 31, 2024 are listed below:

 

Issuer Description

   Acquisition
Date
     Acquisition
Cost
     Aggregate
Value
     Percentage
of Net
Assets
 

Academic Loan Funding Trust, Series 2012-1A, Class R, 0.00%, due 12/27/2044

         11/1/2022      $ 735,000      $ 620,518        0.26

Cano Health 0.00% LLC 10/01/28

     7/6/2022      $ 82,684      $ 85        0.00

Sunac China Holdings Ltd., 1.00%, 9/30/2027

     11/2/2021      $ 16,110      $ 1,420        0.00

Sunac China Holdings Ltd., 6.00%, 9/30/2026

     11/2/2021      $ 14,031      $ 2,066        0.00

Sunac China Holdings Ltd., 6.25%, 9/30/2027

     11/2/2021      $ 11,907      $ 1,838        0.00

Sunac China Holdings Ltd., 6.50%, 9/30/2027

     11/2/2021      $ 21,551      $ 3,236        0.00

Sunac China Holdings Ltd., 6.75%, 9/30/2028

     11/2/2021      $ 27,222      $ 4,326        0.00

Sunac China Holdings Ltd., 7.00%, 9/30/2029

     11/2/2021      $ 25,516      $ 3,825        0.00

Sunac China Holdings Ltd., 7.25%, 9/30/2030

     11/2/2021      $ 10,787      $ 1,599        0.00
     

 

 

    

 

 

    

 

 

 
      $ 944,808      $ 638,913        0.26
     

 

 

    

 

 

    

 

 

 

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