UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
| Investment Company Act file number | 811-04980 | |
| TCW Strategic Income Fund, Inc. | ||
| (Exact name of registrant as specified in charter) | ||
| 865 South Figueroa Street, Suite 1800, Los Angeles, CA |
90017 | |
| (Address of principal executive offices) |
(Zip code) | |
| Patrick W. Dennis, Esq. Assistant Secretary 865 South Figueroa Street, Suite 1800 Los Angeles, CA 90017 | ||
| (Name and address of agent for service) | ||
| Registrant’s telephone number, including area code: | (213) 244-0000 | |
| Date of fiscal year end: | December 31, 2014 | |
| Date of reporting period: | September 30, 2014 | |
| Item 1. | Schedule of Investments. – The Schedule of Investments is filed herewith. |
TCW Strategic Income Fund, Inc.
SCHEDULE OF INVESTMENTS–SEPTEMBER 30, 2014 (UNAUDITED)
| Principal |
Fixed Income Securities |
Value | ||||||
| Asset-Backed Securities (26.3% of Net Assets) |
||||||||
| $ | 1,130,000 | 321 Henderson Receivables LLC, (13-3A-B), (144A), 5.54%, due 01/15/75(1) |
$ | 1,237,823 | ||||
| 575,000 | 321 Henderson Receivables LLC, (14-2A-B), (144A), 4.48%, due 01/15/75(1) |
576,153 | ||||||
| 949,583 | AABS, Ltd., (13-1-B), 6.875%, due 01/10/38(2) |
966,173 | ||||||
| 1,150,000 | AMUR Finance I LLC, (2013-1), 10%, due 01/25/22 |
1,149,995 | ||||||
| 1,143,119 | AMUR Finance I LLC, (2013-2), 10%, due 03/20/24 |
1,143,053 | ||||||
| 667,168 | AMUR Finance I LLC, (2014-1), 11%, due 11/21/17 |
667,164 | ||||||
| 500,000 | ARES XXVI CLO, Ltd., (13-1A-C), (144A), 2.984%, due 04/15/25(1)(2) |
483,067 | ||||||
| 268,349 | Axis Equipment Finance Receivables LLC, (12-1I-E1), 6.25%, due 04/20/16 |
269,390 | ||||||
| 425,000 | Axis Equipment Finance Receivables LLC, (12-1I-E2), 7%, due 03/20/17 |
427,104 | ||||||
| 1,200,000 | Babson CLO, Ltd., (13-IA-A), (144A), 1.334%, due 04/20/25(1)(2) |
1,183,676 | ||||||
| 1,150,000 | Babson CLO, Ltd., (14-IA-A1), (144A), 1.72%, due 07/20/25(1)(2) |
1,151,040 | ||||||
| 1,236,048 | Bayview Commercial Asset Trust, (03-2-A), (144A), 1.025%, due 12/25/33(1)(2) |
1,174,500 | ||||||
| 1,011,266 | Bayview Commercial Asset Trust, (04-1-A), (144A), 0.515%, due 04/25/34(1)(2) |
954,989 | ||||||
| 945,981 | Bayview Commercial Asset Trust, (04-2-A), (144A), 0.585%, due 08/25/34(1)(2) |
911,301 | ||||||
| 449,879 | Bayview Commercial Asset Trust, (04-3-A1), (144A), 0.525%, due 01/25/35(1)(2) |
418,393 | ||||||
| 1,528,388 | Bayview Commercial Asset Trust, (05-2A-A1), (144A), 0.465%, due 08/25/35(1)(2) |
1,396,074 | ||||||
| 1,655,441 | Bayview Commercial Asset Trust, (05-4A-A1), (144A), 0.455%, due 01/25/36(1)(2) |
1,511,813 | ||||||
| 1,294,974 | Bayview Commercial Asset Trust, (06-4A-A1), (144A), 0.385%, due 12/25/36(1)(2) |
1,180,218 | ||||||
| 1,000,000 | Bayview Commercial Asset Trust, (06-SP1-M1), (144A), 0.605%, due 04/25/36(1)(2) |
915,841 | ||||||
| 974,512 | Bayview Commercial Asset Trust, (07-2A-A1), (144A), 0.425%, due 07/25/37(1)(2) |
858,668 | ||||||
| 625,940 | Bayview Commercial Asset Trust, (07-3-A1), (144A), 0.395%, due 07/25/37(1)(2) |
560,039 | ||||||
| 690,000 | Bayview Commercial Asset Trust, (08-4-A3), (144A), 2.905%, due 07/25/38(1)(2) |
677,319 | ||||||
| 600,000 | Blue Hill CLO, Ltd., (13-1A-C1), (144A), 3.234%, due 01/15/26(1)(2) |
591,400 | ||||||
| 1,100,000 | BlueMountain CLO, Ltd., (13-1A-A1), (144A), 1.434%, due 05/15/25(1)(2) |
1,090,850 | ||||||
| 2,200,000 | Brazos Higher Education Authority, Inc., (10-1-A2), 1.438%, due 02/25/35(2) |
2,268,264 | ||||||
| 1,100,000 | Cent CLO 19 LP, (13-19A-A1A), (144A), 1.564%, due 10/29/25(1)(2) |
1,094,398 | ||||||
| 1,233,889 | CIT Education Loan Trust, (07-1-A), (144A), 0.324%, due 03/25/42(1)(2) |
1,180,510 | ||||||
| 320,000 | Cronos Containers Program, Ltd., (12-2A-A), (144A), 3.81%, due 09/18/27(1) |
320,326 | ||||||
| 1,150,000 | Dryden XXVI Senior Loan Fund, (13-26A-A), (144A), 1.334%, due 07/15/25(1)(2) |
1,134,510 | ||||||
| 500,000 | Dryden XXVIII Senior Loan Fund, (13-28A-A3L), (144A), 2.934%, due 08/15/25(1)(2) |
487,675 | ||||||
| 1,260,000 | Education Loan Asset-Backed Trust I, (13-1-A2), (144A), 0.955%, due 04/26/32(1)(2) |
1,261,418 | ||||||
| 675,000 | EFS Volunteer LLC, (10-1-A2), (144A), 1.084%, due 10/25/35(1)(2) |
673,749 | ||||||
| 1,500,000 | EFS Volunteer No 2 LLC, (12-1-A2), (144A), 1.505%, due 03/25/36(1)(2) |
1,547,015 | ||||||
| 2,702,187 | GCO Education Loan Funding Trust, (06-2AR-A1RN), (144A), 0.805%, due 08/27/46(1)(2) |
2,635,544 | ||||||
| 496,094 | GE Business Loan Trust, (03-2A-A), (144A), 0.524%, due 11/15/31(1)(2) |
476,498 | ||||||
| 236,473 | GE Business Loan Trust, (04-1-A), (144A), 0.444%, due 05/15/32(1)(2) |
232,548 | ||||||
| 308,666 | GE Business Loan Trust, (04-2A-A), (144A), 0.374%, due 12/15/32(1)(2) |
301,133 | ||||||
| 659,330 | GE Business Loan Trust, (05-1A-A3), (144A), 0.404%, due 06/15/33(1)(2) |
640,342 | ||||||
| 640,795 | GE Business Loan Trust, (05-2A-A), (144A), 0.394%, due 11/15/33(1)(2) |
622,296 | ||||||
| 653,917 | Global SC Finance SRL, (14-1A-A2), (144A) 3.09%, due 07/17/29(1) |
647,068 | ||||||
| 431,269 | Goal Capital Funding Trust, (06-1-B), 0.685%, due 08/25/42(2) |
397,902 | ||||||
| 1,175,000 | GoldenTree Loan Opportunities VII, Ltd., (13-7A-A), (144A), 1.384%, due 04/25/25(1)(2) |
1,161,448 | ||||||
| 1,200,000 | GoldenTree Loan Opportunities VIII, Ltd., (14-8A-A), (144A), 1.679%, due 04/19/26(1)(2) |
1,199,236 | ||||||
| 558,930 | Higher Education Funding I, (14-1-A), (144A), 1.288%, due 05/25/34(1)(2) |
555,077 | ||||||
| 1,200,000 | ING Investment Management CLO, Ltd., (13-2A-A1), (144A), 1.384%, due 04/25/25(1)(2) |
1,185,709 | ||||||
See accompanying Notes to Schedule of Investments.
TCW Strategic Income Fund, Inc.
SCHEDULE OF INVESTMENTS–SEPTEMBER 30, 2014 (UNAUDITED) (CONT’D)
| Principal |
Fixed Income Securities |
Value | ||||||
| Asset-Backed Securities (Continued) |
||||||||
| $ | 270,000 | ING Investment Management CLO, Ltd., (14-1A-A1), (144A), 1.769%, due 04/18/26(1)(2) |
$ | 270,000 | ||||
| 1,016,600 | KKR Financial CLO, Ltd., (05-1A-B), (144A), 0.685%, due 04/26/17(1)(2) |
1,012,214 | ||||||
| 542,250 | Leaf II Receivables Funding LLC, (13-1-E2), (144A), 6%, due 09/15/21(1) |
515,291 | ||||||
| 1,109,092 | MAPS CLO Fund II, Ltd., (07-2A-A1), (144A), 0.474%, due 07/20/22(1)(2) |
1,095,488 | ||||||
| 950,000 | National Collegiate Master Student Loan Trust I, (02-2-AR10), (144A), 3.656%, due 11/01/42(1)(2) |
949,902 | ||||||
| 826,019 | National Collegiate Student Loan Trust, (06-3-A3), 0.305%, due 10/25/27(2) |
815,719 | ||||||
| 325,000 | National Collegiate Student Loan Trust, (07-4-A2A3), 3.652%, due 12/26/25(2) |
324,584 | ||||||
| 575,000 | Nelnet Student Loan Trust, (14-4A-A2), (144A), 1.105%, due 11/25/43(1)(2) |
577,391 | ||||||
| 1,200,000 | Nomad CLO, Ltd., (13-1A-A1), (144A), 1.434%, due 01/15/25(1)(2) |
1,189,841 | ||||||
| 2,200,000 | North Carolina State Education Assistance Authority, (11-1-A3), 1.134%, due 10/25/41(2)(3) |
2,235,486 | ||||||
| 570,000 | Octagon Investment Partners XVIII, Ltd., (13-1A-B), (144A), 2.981%, due 12/16/24(1)(2) |
552,690 | ||||||
| 871,909 | Peachtree Finance Co. LLC, (2005-B-A), (144A), 4.71%, due 04/15/48(1) |
902,374 | ||||||
| 1,000,000 | Scholar Funding Trust, (12-B-A2), (144A), 1.252%, due 03/28/46(1)(2) |
1,024,909 | ||||||
| 609,180 | SLC Student Loan Trust, (04-1-B), 0.524%, due 08/15/31(2) |
560,452 | ||||||
| 502,366 | SLC Student Loan Trust, (05-2-B), 0.514%, due 03/15/40(2) |
453,709 | ||||||
| 711,234 | SLC Student Loan Trust, (06-1-B), 0.444%, due 03/15/39(2) |
636,149 | ||||||
| 1,000,000 | SLC Student Loan Trust, (06-2-A5), 0.334%, due 09/15/26(2)(3) |
983,917 | ||||||
| 2,600,000 | SLM Private Credit Student Loan Trust, (04-A-A3), 0.634%, due 06/15/33(2)(3) |
2,516,968 | ||||||
| 2,500,000 | SLM Private Credit Student Loan Trust, (04-B-A3), 0.564%, due 03/15/24(2)(3) |
2,387,219 | ||||||
| 2,300,000 | SLM Student Loan Trust, (03-11-A6), (144A), 0.984%, due 12/15/25(1)(2) |
2,300,854 | ||||||
| 620,526 | SLM Student Loan Trust, (04-2-B), 0.704%, due 07/25/39(2) |
579,921 | ||||||
| 646,385 | SLM Student Loan Trust, (05-4-B), 0.414%, due 07/25/40(2) |
582,028 | ||||||
| 701,728 | SLM Student Loan Trust, (05-9-B), 0.534%, due 01/25/41(2) |
644,986 | ||||||
| 1,400,000 | SLM Student Loan Trust, (06-2-A6), 0.404%, due 01/25/41(2)(3) |
1,300,632 | ||||||
| 1,400,000 | SLM Student Loan Trust, (06-8-A6), 0.394%, due 01/25/41(2) |
1,276,950 | ||||||
| 213,673 | SLM Student Loan Trust, (07-6-B), 1.084%, due 04/27/43(2) |
195,591 | ||||||
| 150,000 | SLM Student Loan Trust, (07-7-B), 0.984%, due 10/25/28(2) |
136,687 | ||||||
| 133,331 | SLM Student Loan Trust, (07-8-B), 1.234%, due 04/27/43(2) |
125,097 | ||||||
| 225,000 | SLM Student Loan Trust, (08-2-B), 1.434%, due 01/25/29(2) |
206,608 | ||||||
| 225,000 | SLM Student Loan Trust, (08-3-B), 1.434%, due 04/25/29(2) |
208,265 | ||||||
| 225,000 | SLM Student Loan Trust, (08-4-B), 2.084%, due 04/25/29(2) |
226,998 | ||||||
| 225,000 | SLM Student Loan Trust, (08-5-B), 2.084%, due 07/25/29(2) |
231,816 | ||||||
| 225,000 | SLM Student Loan Trust, (08-6-B), 2.084%, due 07/25/29(2) |
227,033 | ||||||
| 225,000 | SLM Student Loan Trust, (08-7-B), 2.084%, due 07/25/29(2) |
226,722 | ||||||
| 225,000 | SLM Student Loan Trust, (08-8-B), 2.484%, due 10/25/29(2) |
236,678 | ||||||
| 225,000 | SLM Student Loan Trust, (08-9-B), 2.484%, due 10/25/29(2)(3) |
237,782 | ||||||
| 675,000 | Sound Point CLO, Ltd., (12-1A-C), (144A), 3.534%, due 10/20/23(1)(2) |
674,992 | ||||||
| 874,424 | Structured Receivables Finance LLC, (10-A-B), (144A), 7.614%, due 01/16/46(1) |
1,042,455 | ||||||
| 500,000 | Structured Receivables Finance LLC, (10-B-B), (144A), 7.97%, due 08/15/36(1) |
621,063 | ||||||
| 1,500,000 | Student Loan Consolidation Center, (02-2-B2), (144A), 0.036%, due 07/01/42(1)(2) |
1,159,760 | ||||||
| 700,000 | Symphony CLO, Ltd., (12-9A-C), (144A), 3.483%, due 04/16/22(1)(2) |
700,041 | ||||||
| 221,667 | TAL Advantage I LLC, (06-1A-NOTE), (144A), 0.346%, due 04/20/21(1)(2) |
219,754 | ||||||
| 53,386 | Triton Container Finance LLC, (07-1A-NOTE), (144A), 0.29%, due 02/26/19(1)(2) |
53,278 | ||||||
| 578,930 | Vermont Student Assistance Corp., (12-1-A), 0.856%, due 07/28/34(2)(3) |
578,649 | ||||||
|
|
|
|||||||
| Total Asset-Backed Securities (Cost: $77,071,738) |
74,517,652 | |||||||
|
|
|
|||||||
See accompanying Notes to Schedule of Investments.
TCW Strategic Income Fund, Inc.
SCHEDULE OF INVESTMENTS–SEPTEMBER 30, 2014 (UNAUDITED) (CONT’D)
| Principal |
Fixed Income Securities |
Value | ||||||
| Collateralized Mortgage Obligations (52.0%) |
||||||||
| Commercial Mortgage-Backed Securities—Agency (0.2%) |
||||||||
| $ | 6,398,338 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, (KP01-X), 3.27%, due 01/25/19(I/O)(2) |
$ | 682,872 | ||||
|
|
|
|||||||
| Commercial Mortgage-Backed Securities—Non-Agency (0.8%) |
||||||||
| 1,972,403 | DBRR Trust, (11-LC2-AC4), (144A), 4.537%, due 07/12/44(1)(2) |
2,108,798 | ||||||
|
|
|
|||||||
| Residential Mortgage-Backed Securities—Agency (2.5%) |
||||||||
| 313,187 | Federal Home Loan Mortgage Corp., (1673-SD), 14.198%, due 02/15/24(I/F) (PAC)(2) |
402,952 | ||||||
| 676,262 | Federal Home Loan Mortgage Corp., (1760-ZD), 1.91%, due 02/15/24(2) |
685,008 | ||||||
| 235,424 | Federal Home Loan Mortgage Corp., (2990-JK), 21.39%, due 03/15/35(I/F)(2)(3) |
322,130 | ||||||
| 5,612,174 | Federal Home Loan Mortgage Corp., (3122-SG), 5.476%, due 03/15/36(I/O) (I/F) (TAC) (PAC)(2)(3) |
810,537 | ||||||
| 2,049,302 | Federal Home Loan Mortgage Corp., (3239-SI), 6.496%, due 11/15/36(I/O) (I/F) (PAC)(2)(3) |
331,111 | ||||||
| 1,247,285 | Federal Home Loan Mortgage Corp., (3323-SA), 5.956%, due 05/15/37(I/O) (I/F)(2)(3) |
157,686 | ||||||
| 847,397 | Federal Home Loan Mortgage Corp., (3459-JS), 6.096%, due 06/15/38(I/O) (I/F)(2)(3) |
97,343 | ||||||
| 3,868,634 | Federal Home Loan Mortgage Corp., (4030-HS), 6.456%, due 04/15/42(I/O) (I/F)(2)(3) |
666,621 | ||||||
| 5,735,345 | Federal National Mortgage Association, (04-53-QV), 1.59%, due 02/25/34(I/O) (I/F)(2)(3) |
225,659 | ||||||
| 702,113 | Federal National Mortgage Association, (07-42-SE), 5.956%, due 05/25/37(I/O) (I/F)(2)(3) |
98,439 | ||||||
| 5,217,103 | Federal National Mortgage Association, (07-48-SD), 5.946%, due 05/25/37(I/O) (I/F)(2)(3) |
667,527 | ||||||
| 1,013,395 | Federal National Mortgage Association, (09-69-CS), 6.596%, due 09/25/39(I/O) (I/F)(2)(3) |
138,004 | ||||||
| 5,435,741 | Government National Mortgage Association, (06-35-SA), 6.447%, due 07/20/36(I/O) (I/F)(2)(3) |
901,444 | ||||||
| 9,618,423 | Government National Mortgage Association, (06-61-SA), 4.597%, due 11/20/36(I/O) (I/F) |
907,868 | ||||||
| 5,719,349 | Government National Mortgage Association, (08-58-TS), 6.247%, due 05/20/38(I/O) (I/F) |
749,209 | ||||||
|
|
|
|||||||
| Total Residential Mortgage-Backed Securities—Agency |
7,161,538 | |||||||
|
|
|
|||||||
| Residential Mortgage-Backed Securities—Non-Agency (48.5%) |
||||||||
| 1,730,638 | ACE Securities Corp., (06-ASP3-A2C), 0.305%, due 06/25/36(2) |
1,389,834 | ||||||
| 1,898,753 | ACE Securities Corp., (07-ASP1-A2C), 0.415%, due 03/25/37(2) |
1,123,183 | ||||||
| 1,857,164 | Adjustable Rate Mortgage Trust, (05-4-6A22), 2.748%, due 08/25/35(2) |
741,477 | ||||||
| 1,072,511 | Adjustable Rate Mortgage Trust, (06-1-2A1), 3.02%, due 03/25/36(2)(4) |
802,419 | ||||||
| 1,814,169 | Asset-Backed Funding Certificates, (05-HE2-M2), 0.905%, due 06/25/35(2) |
1,776,049 | ||||||
| 1,500,000 | Asset-Backed Securities Corp. Home Equity, (06-HE1-A4), 0.455%, due 01/25/36(2) |
1,349,908 | ||||||
| 3,000,000 | Asset-Backed Securities Corp. Home Equity, (06-HE3-A5), 0.425%, due 03/25/36(2) |
2,308,947 | ||||||
| 3,100,000 | Asset-Backed Securities Corp. Home Equity, (07-HE1-A4), 0.295%, due 12/25/36(2) |
2,497,341 | ||||||
| 1,153,471 | Banc of America Alternative Loan Trust, (05-10-1CB1), 0.555%, due 11/25/35(2) |
892,165 | ||||||
| 1,341,237 | Banc of America Funding Trust, (06-3-4A14), 6%, due 03/25/36 |
1,348,332 | ||||||
| 901,240 | Banc of America Funding Trust, (06-3-5A3), 5.5%, due 03/25/36(4) |
868,406 | ||||||
| 695,489 | BCAP LLC Trust, (09-RR4-1A1), (144A), 9.5%, due 06/26/37(1) |
725,866 | ||||||
| 752,865 | BCAP LLC Trust, (10-RR11-3A2), (144A), 2.766%, due 06/27/36(1)(2) |
755,465 | ||||||
| 1,061,233 | BCAP LLC Trust, (11-RR3-1A5), (144A), 2.714%, due 05/27/37(1)(2) |
1,059,045 | ||||||
| 1,675,947 | BCAP LLC Trust, (11-RR3-5A3), (144A), 5.094%, due 11/27/37(1)(2) |
1,622,211 | ||||||
| 815,481 | BCAP LLC Trust, (11-RR4-1A3), (144A), 2.848%, due 03/26/36(1)(2) |
795,241 | ||||||
| 877,175 | BCAP LLC Trust, (11-RR5-1A3), (144A), 1.418%, due 03/26/37(1)(2) |
863,120 | ||||||
| 580,363 | BCAP LLC Trust, (11-RR5-2A3), (144A), 2.708%, due 06/26/37(1)(2) |
582,618 | ||||||
| 1,364,562 | Bear Stearns Adjustable Rate Mortgage Trust, (07-4-22A1), 4.986%, due 06/25/47(2)(4) |
1,241,318 | ||||||
See accompanying Notes to Schedule of Investments.
TCW Strategic Income Fund, Inc.
SCHEDULE OF INVESTMENTS–SEPTEMBER 30, 2014 (UNAUDITED) (CONT’D)
| Principal |
Fixed Income Securities |
Value | ||||||
| Collateralized Mortgage Obligations (Continued) |
||||||||
| Residential Mortgage-Backed Securities—Non-Agency (Continued) |
||||||||
| $ | 935,881 | Bear Stearns Asset-Backed Securities Trust, (05-AC6-1A3), 5.5%, due 09/25/35(2) |
$ | 964,656 | ||||
| 840,768 | Bear Stearns Asset-Backed Securities Trust, (06-IM1-A1), 0.385%, due 04/25/36(2)(4) |
764,502 | ||||||
| 455,990 | Centex Home Equity Loan Trust, (05-A-AF5), 5.28%, due 01/25/35 |
471,907 | ||||||
| 3,100,000 | Centex Home Equity Loan Trust, (06-A-AV4), 0.405%, due 06/25/36(2) |
2,868,545 | ||||||
| 3,124,218 | Citigroup Mortgage Loan Trust, Inc., (05-8-1A1A), 2.514%, due 10/25/35(2) |
2,683,965 | ||||||
| 2,039,220 | CitiMortgage Alternative Loan Trust, (06-A3-1A7), 6%, due 07/25/36(4) |
1,832,062 | ||||||
| 1,198,076 | CitiMortgage Alternative Loan Trust, (06-A5-1A8), 6%, due 10/25/36(4) |
1,071,871 | ||||||
| 458,938 | Conseco Finance Securitizations Corp., (01-4-A4), 7.36%, due 08/01/32 |
511,291 | ||||||
| 1,200,000 | Countryplace Manufactured Housing Contract Trust, (07-1-A4), (144A), 5.846%, |
1,208,602 | ||||||
| 1,447,270 | Countrywide Asset-Backed Certificates, (07-13-2A1), 1.055%, due 10/25/47(2) |
1,274,854 | ||||||
| 1,685,300 | Countrywide Home Loans, (04-HYB4-B1), 2.461%, due 09/20/34(2)(4) |
52,834 | ||||||
| 59,883,821 | Countrywide Home Loans, (06-14-X), 0.29%, due 09/25/36(I/O)(2)(5) |
607,162 | ||||||
| 2,551,937 | Countrywide Home Loans, (06-HYB2-1A1), 2.47%, due 04/20/36(2)(4) |
1,812,008 | ||||||
| 656,983 | Credit Suisse First Boston Mortgage Securities Corp., (04-AR5-11A2), 0.895%, |
645,236 | ||||||
| 2,175,465 | Credit Suisse First Boston Mortgage Securities Corp., (05-12-1A1), 6.5%, due 01/25/36(4) |
1,745,571 | ||||||
| 1,342,928 | Credit Suisse Mortgage Capital Certificates, (06-6-1A8), 6%, due 07/25/36(4) |
1,068,755 | ||||||
| 1,049,310 | Credit-Based Asset Servicing and Securitization LLC, (03-CB3-AF1), 3.379%, due 12/25/32 |
1,025,825 | ||||||
| 1,931,619 | Credit-Based Asset Servicing and Securitization LLC, (06-CB1-AF2), 5.236%, due 01/25/36 |
1,417,423 | ||||||
| 3,263,262 | Credit-Based Asset Servicing and Securitization LLC, (06-CB2-AF2), 5.501%, due 12/25/36 |
2,269,039 | ||||||
| 1,170,970 | Credit-Based Asset Servicing and Securitization LLC, (07-CB2-A2B), 5.505%, due 02/25/37 |
872,307 | ||||||
| 1,889,085 | Credit-Based Asset Servicing and Securitization LLC, (07-CB3-A3), 5.731%, due 03/25/37 |
1,169,117 | ||||||
| 3,713,625 | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, (06-AB2-A2), 6.16%, |
3,189,312 | ||||||
| 1,536,706 | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, (06-AR6-A6), 0.345%, |
1,150,841 | ||||||
| 1,195,000 | Deutsche Mortgage Securities, Inc. REMIC Trust, (10-RS2-A3), (144A), 3.849%, |
1,207,271 | ||||||
| 412,343 | DSLA Mortgage Loan Trust, (06-AR2-2A1A), 0.462%, due 10/19/36(2) |
342,513 | ||||||
| 1,593,397 | First Franklin Mortgage Loan Asset-Backed Certificates, (06-FF13-A2C), 0.315%, |
1,277,761 | ||||||
| 2,109,709 | First Franklin Mortgage Loan Asset-Backed Certificates, (06-FF18-A2D), 0.365%, |
1,411,689 | ||||||
| 1,270,849 | First Horizon Alternative Mortgage Securities Trust, (05-AA10-2A1), 2.261%, |
1,092,660 | ||||||
| 1,271,278 | Green Tree, (08-MH1-A2), (144A), 8.97%, due 04/25/38(1)(2) |
1,368,268 | ||||||
| 540,307 | Green Tree, (08-MH1-A3), (144A), 8.97%, due 04/25/38(1)(2) |
577,412 | ||||||
| 616,027 | Green Tree Financial Corp., (96-6-M1), 7.95%, due 09/15/27 |
685,767 | ||||||
| 860,725 | Green Tree Financial Corp., (96-7-M1), 7.7%, due 09/15/26(2) |
926,421 | ||||||
| 566,012 | Green Tree Financial Corp., (97-3-A5), 7.14%, due 03/15/28 |
604,602 | ||||||
| 234,647 | Green Tree Financial Corp., (97-3-A7), 7.64%, due 03/15/28(2) |
252,266 | ||||||
| 588,117 | Green Tree Financial Corp., (98-3-A6), 6.76%, due 03/01/30(2) |
625,260 | ||||||
| 671,384 | Green Tree Financial Corp., (98-4-A5), 6.18%, due 04/01/30 |
694,149 | ||||||
| 574,118 | Green Tree Financial Corp., (98-4-A6), 6.53%, due 04/01/30(2) |
600,194 | ||||||
| 607,923 | Green Tree Financial Corp., (98-4-A7), 6.87%, due 04/01/30(2) |
647,248 | ||||||
| 351,976 | Greenpoint Manufactured Housing, (99-5-A5), 7.82%, due 12/15/29(2) |
359,595 | ||||||
| 93,129 | Greenpoint Mortgage Funding Trust, (05-HE4-1A1), 0.595%, due 07/25/30(2) |
92,298 | ||||||
| 2,235,031 | GSAA Home Equity Trust, (06-13-AF6), 6.04%, due 07/25/36 |
1,490,560 | ||||||
| 1,544,599 | GSAMP Trust, (06-FM3-A2C), 0.355%, due 11/25/36(2) |
955,313 | ||||||
| 964,345 | GSC Capital Corp. Mortgage Trust, (06-2-A1), 0.335%, due 05/25/36(2)(4) |
752,935 | ||||||
| 884,708 | GSR Mortgage Loan Trust, (05-AR3-6A1), 2.601%, due 05/25/35(2) |
832,403 | ||||||
| 966,048 | HSI Asset Loan Obligation Trust, (07-2-2A12), 6%, due 09/25/37 |
924,220 | ||||||
See accompanying Notes to Schedule of Investments.
TCW Strategic Income Fund, Inc.
SCHEDULE OF INVESTMENTS–SEPTEMBER 30, 2014 (UNAUDITED) (CONT’D)
| Principal |
Fixed Income Securities |
Value | ||||||
| Collateralized Mortgage Obligations (Continued) |
||||||||
| Residential Mortgage-Backed Securities—Non-Agency (Continued) |
||||||||
| $ | 1,000,000 | HSI Asset Securitization Corp. Trust, (06-OPT2-2A4), 0.445%, due 01/25/36(2) |
$ | 954,840 | ||||
| 1,059,223 | Indymac INDX Mortgage Loan Trust, (04-AR6-5A1), 2.518%, due 10/25/34(2) |
1,001,919 | ||||||
| 1,455,730 | Indymac INDX Mortgage Loan Trust, (05-AR19-A1), 4.723%, due 10/25/35(2)(4) |
1,265,486 | ||||||
| 2,981,085 | Indymac INDX Mortgage Loan Trust, (06-AR13-A4X), 4.015%, due 07/25/36(I/O)(2)(5) |
99,828 | ||||||
| 2,164,410 | Indymac INDX Mortgage Loan Trust, (07-AR5-2A1), 2.657%, due 05/25/37(2)(4) |
1,641,852 | ||||||
| 2,051,990 | Indymac INDX Mortgage Loan Trust, (07-FLX2-A1C), 0.345%, due 04/25/37(2) |
1,519,121 | ||||||
| 364,299 | Indymac Manufactured Housing Contract, (98-2-A4), 6.64%, due 08/25/29(2) |
363,541 | ||||||
| 1,064,404 | JPMorgan Alternative Loan Trust, (06-A2-5A1), 4.937%, due 05/25/36(2)(4) |
844,550 | ||||||
| 526,777 | JPMorgan Mortgage Trust, (07-S2-1A1), 5%, due 06/25/37(4) |
431,817 | ||||||
| 475,904 | Lehman ABS Manufactured Housing Contract Trust, (01-B-A6), 6.467%, due 04/15/40(2) |
524,737 | ||||||
| 1,914,839 | Lehman XS Trust, (06-10N-1A3A), 0.365%, due 07/25/46(2)(4) |
1,566,750 | ||||||
| 2,753,918 | Lehman XS Trust, (06-12N-A31A), 0.355%, due 08/25/46(2)(4) |
2,132,887 | ||||||
| 1,700,000 | Long Beach Mortgage Loan Trust, (04-4-M1), 1.055%, due 10/25/34(2) |
1,620,576 | ||||||
| 1,823,200 | MASTR Alternative Loans Trust, (07-HF1-4A1), 7%, due 10/25/47(4) |
1,373,922 | ||||||
| 2,000,000 | MASTR Asset-Backed Securities Trust, (07-HE1-A4), 0.435%, due 05/25/37(2) |
1,323,440 | ||||||
| 1,136,997 | Merrill Lynch First Franklin Mortgage Loan Trust, (07-3-A2B), 0.285%, due 06/25/37(2) |
772,028 | ||||||
| 2,321,722 | Merrill Lynch First Franklin Mortgage Loan Trust, (07-3-A2C), 0.335%, due 06/25/37(2) |
1,561,121 | ||||||
| 943,356 | Merrill Lynch Mortgage-Backed Securities Trust, (07-2-1A1), 2.514%, due 08/25/36(2)(4) |
876,651 | ||||||
| 611,206 | Mid-State Trust, (04-1-B), 8.9%, due 08/15/37 |
734,592 | ||||||
| 611,206 | Mid-State Trust, (04-1-M1), 6.497%, due 08/15/37 |
666,987 | ||||||
| 272,632 | Mid-State Trust, (6-A1), 7.34%, due 07/01/35 |
294,382 | ||||||
| 427,658 | Mid-State Trust, (6-A3), 7.54%, due 07/01/35 |
459,204 | ||||||
| 1,158,141 | Morgan Stanley ABS Capital I, Inc. Trust, (03-NC6-M1), 1.355%, due 06/25/33(2) |
1,130,391 | ||||||
| 168,339 | Morgan Stanley ABS Capital I, Inc. Trust, (05-HE3-M2), 0.935%, due 07/25/35(2) |
164,984 | ||||||
| 1,500,000 | Morgan Stanley ABS Capital I, Inc. Trust, (05-HE3-M3), 0.95%, due 07/25/35(2) |
1,452,614 | ||||||
| 1,558,023 | Morgan Stanley ABS Capital I, Inc. Trust, (07-15AR-4A1), 4.569%, due 11/25/37(2) |
1,173,681 | ||||||
| 1,588,000 | Morgan Stanley Home Equity Loan Trust, (06-2-A4), 0.435%, due 02/25/36(2) |
1,434,593 | ||||||
| 1,211,857 | MortgageIT Trust, (05-5-A1), 0.415%, due 12/25/35(2) |
1,134,504 | ||||||
| 3,000,000 | Nationstar Home Equity Loan Trust, (07-B-2AV3), 0.405%, due 04/25/37(2) |
2,366,055 | ||||||
| 1,046,447 | New Century Home Equity Loan Trust, (05-3-M1), 0.635%, due 07/25/35(2) |
1,042,980 | ||||||
| 1,971,278 | Nomura Asset Acceptance Corp., (06-AR1-1A), 3.682%, due 02/25/36(2)(4) |
1,484,650 | ||||||
| 483,907 | Oakwood Mortgage Investors, Inc., (01-D-A3), 5.9%, due 09/15/22(2) |
423,782 | ||||||
| 791,300 | Oakwood Mortgage Investors, Inc., (01-D-A4), 6.93%, due 09/15/31(2) |
737,072 | ||||||
| 596,518 | Oakwood Mortgage Investors, Inc., (02-A-A3), 6.03%, due 05/15/24(2) |
594,696 | ||||||
| 812,217 | Oakwood Mortgage Investors, Inc., (98-A-M), 6.825%, due 05/15/28(2) |
878,921 | ||||||
| 300,171 | Oakwood Mortgage Investors, Inc., (98-D-A), 6.4%, due 01/15/29 |
306,101 | ||||||
| 626,903 | Oakwood Mortgage Investors, Inc., (99-B-A4), 6.99%, due 12/15/26 |
671,357 | ||||||
| 688,385 | Origen Manufactured Housing Contract Trust, (04-A-M2), 6.64%, due 01/15/35(2) |
755,645 | ||||||
| 569,563 | Origen Manufactured Housing Contract Trust, (05-A-M1), 5.46%, due 06/15/36(2) |
598,305 | ||||||
| 1,810,000 | Park Place Securities, Inc., (05-WCW1-M1), 0.605%, due 09/25/35(2) |
1,800,025 | ||||||
| 623,666 | Popular ABS Mortgage Pass-Through Trust, (05-3-AF4), 4.699%, due 07/25/35(2) |
630,660 | ||||||
| 2,066,606 | Residential Accredit Loans, Inc., (05-QA7-A1), 3.129%, due 07/25/35(2)(4) |
1,645,531 | ||||||
| 1,472,094 | Residential Accredit Loans, Inc., (05-QA8-CB21), 3.182%, due 07/25/35(2)(4) |
1,228,963 | ||||||
| 1,184,250 | Residential Accredit Loans, Inc., (06-QS1-A3), 5.75%, due 01/25/36(PAC)(4) |
1,048,638 | ||||||
| 28,132,102 | Residential Accredit Loans, Inc., (06-QS11-AV), 0.33%, due 08/25/36(I/O)(2)(5) |
393,301 | ||||||
See accompanying Notes to Schedule of Investments.
TCW Strategic Income Fund, Inc.
SCHEDULE OF INVESTMENTS–SEPTEMBER 30, 2014 (UNAUDITED) (CONT’D)
| Principal |
Fixed Income Securities |
Value | ||||||
| Collateralized Mortgage Obligations (Continued) |
||||||||
| Residential Mortgage-Backed Securities—Non-Agency (Continued) |
||||||||
| $ | 13,691,862 | Residential Accredit Loans, Inc., (06-QS6-1AV), 0.742%, due 06/25/36(I/O)(2)(5) |
$ | 439,228 | ||||
| 2,627,098 | Residential Accredit Loans, Inc., (06-QS8-A3), 6%, due 08/25/36(4) |
2,121,537 | ||||||
| 30,720,620 | Residential Accredit Loans, Inc., (07-QS2-AV), 0.317%, due 01/25/37(I/O)(2)(5) |
424,238 | ||||||
| 31,076,019 | Residential Accredit Loans, Inc., (07-QS3-AV), 0.326%, due 02/25/37(I/O)(2)(5) |
453,373 | ||||||
| 745,603 | Residential Accredit Loans, Inc., (07-QS6-A62), 5.5%, due 04/25/37(TAC)(4) |
593,884 | ||||||
| 4,369,148 | Residential Asset Securitization Trust, (07-A5-AX), 6%, due 05/25/37(I/O)(5) |
918,189 | ||||||
| 87,149,501 | Residential Funding Mortgage Securities, (06-S9-AV), 0.31%, due 09/25/36(I/O)(2)(5) |
1,147,497 | ||||||
| 270,595 | Residential Funding Mortgage Securities II, (01-HI3-AI7), 7.56%, due 07/25/26 |
275,509 | ||||||
| 4,614,000 | Securitized Asset-Backed Receivables LLC Trust, (07-NC2-A2C), 0.375%, due 01/25/37(2) |
2,689,014 | ||||||
| 985,799 | Structured Adjustable Rate Mortgage Loan Trust, (05-20-1A1), 2.517%, due 10/25/35(2)(4) |
742,891 | ||||||
| 916,406 | Structured Adjustable Rate Mortgage Loan Trust, (07-9-2A1), 2.686%, due 10/25/47(2)(4) |
725,887 | ||||||
| 1,144,987 | Structured Asset Mortgage Investments, Inc., (07-AR6-A1), 1.615%, due 08/25/47(2) |
1,031,544 | ||||||
| 1,000,000 | Structured Asset Securities Corp., (05-WF4-M2), 0.585%, due 11/25/35(2) |
938,025 | ||||||
| 189,692 | UCFC Manufactured Housing Contract, (97-4-A4), 6.995%, due 04/15/29(2) |
188,212 | ||||||
| 452,708 | Vanderbilt Acquisition Loan Trust, (02-1-A4), 6.57%, due 05/07/27(2) |
472,643 | ||||||
| 390,318 | Vanderbilt Acquisition Loan Trust, (02-1-M1), 7.33%, due 05/07/32(2) |
432,082 | ||||||
| 900,000 | Vanderbilt Mortgage Finance, (02-C-A5), 7.6%, due 12/07/32(3) |
947,934 | ||||||
| 3,145,515 | WAMU Asset-Backed Certificates, (07-HE1-2A3), 0.305%, due 01/25/37(2) |
1,808,641 | ||||||
| 730,000 | Wells Fargo Home Equity Trust, (06-2-A3), 0.365%, due 01/25/37 |
478,516 | ||||||
| 1,500,000 | Wells Fargo Home Equity Trust, (06-2-A4), 0.405%, due 07/25/36(2) |
1,433,449 | ||||||
| 1,224,324 | Wells Fargo Mortgage-Backed Securities Trust, (06-AR10-5A1), 2.612%, due 07/25/36(2)(4) |
1,201,840 | ||||||
| 992,437 | Wells Fargo Mortgage-Backed Securities Trust, (07-AR3-A4), 5.68%, due 04/25/37(2)(4) |
983,195 | ||||||
| 642,801 | Wells Fargo Mortgage-Backed Securities Trust, (08-1-4A1), 5.75%, due 02/25/38 |
679,676 | ||||||
|
|
|
|||||||
| Total Residential Mortgage-Backed Securities—Non-Agency |
137,396,119 | |||||||
|
|
|
|||||||
| Total Collateralized Mortgage Obligations (Cost: $121,598,338) |
147,349,327 | |||||||
|
|
|
|||||||
| Bank Loans (0.3%) |
||||||||
| Telecommunications (0.3%) |
||||||||
| 946,938 | Intelsat Jackson Holdings, Ltd. (Luxembourg), Term Loan, 4.995%, due 06/30/19(6) |
933,563 | ||||||
|
|
|
|||||||
| Total Bank Loans (Cost: $946,938) |
933,563 | |||||||
|
|
|
|||||||
| Corporate Bonds (9.3%) |
||||||||
| Airlines (1.7%) |
||||||||
| 474,194 | America West Airlines, Inc. Pass-Through Certificates, (01-1), 7.1%, due 10/02/22(EETC) |
525,170 | ||||||
| 1,731,002 | Continental Airlines, Inc. Pass-Through Certificates, (00-2-A1), 7.707%, due 10/02/22(EETC) |
1,952,786 | ||||||
| 505,184 | Delta Air Lines, Inc. Pass-Through Certificates, (02-1G1), 6.718%, due 07/02/24(EETC) |
588,540 | ||||||
| 1,000,000 | JetBlue Airways Corp. Pass-Through Trust, (04-2-G2), 0.684%, due 05/15/18(EETC)(2) |
984,000 | ||||||
| 725,692 | US Airways Group, Inc. Pass-Through Certificates, (10-1A), 6.25%, due 10/22/24(EETC) |
820,032 | ||||||
|
|
|
|||||||
| Total Airlines |
4,870,528 | |||||||
|
|
|
|||||||
| Banks (2.3%) |
||||||||
| 2,000,000 | Citigroup, Inc., 0.785%, due 08/25/36(2) |
1,626,892 | ||||||
| 1,000,000 | HBOS PLC (United Kingdom), (144A), 6%, due 11/01/33(1) |
1,136,045 | ||||||
| 900,000 | JPMorgan Chase Capital XXI, 1.189%, due 01/15/87(2) |
776,250 | ||||||
| 1,000,000 | JPMorgan Chase Capital XXIII, 1.234%, due 05/15/77(2) |
815,000 | ||||||
| 650,000 | Lloyds TSB Bank PLC (United Kingdom), (144A), 5.8%, due 01/13/20(1) |
749,731 | ||||||
See accompanying Notes to Schedule of Investments.
TCW Strategic Income Fund, Inc.
SCHEDULE OF INVESTMENTS–SEPTEMBER 30, 2014 (UNAUDITED) (CONT’D)
| Principal |
Fixed Income Securities |
Value | ||||||
| Corporate Bonds (Continued) |
||||||||
| Banks (Continued) |
||||||||
| $ | 908,000 | Macquarie Bank, Ltd. (Australia), (144A), 6.625%, due 04/07/21(1) |
$ | 1,036,027 | ||||
| 520,000 | Royal Bank of Scotland Group PLC (United Kingdom), 6.125%, due 12/15/22 |
552,495 | ||||||
|
|
|
|||||||
| Total Banks |
6,692,440 | |||||||
|
|
|
|||||||
| Commercial Services (0.1%) |
||||||||
| 275,000 | Autopistas Metropolitanas de Puerto Rico LLC, (144A), 6.75%, due 06/30/35(1) |
245,916 | ||||||
|
|
|
|||||||
| Diversified Financial Services (0.6%) |
||||||||
| 2,000,000 | General Electric Capital Corp., 0.714%, due 08/15/36(2) |
1,734,020 | ||||||
|
|
|
|||||||
| Electric (1.2%) |
||||||||
| 1,250,000 | Astoria Depositor Corp., (144A), 8.144%, due 05/01/21(1) |
1,340,625 | ||||||
| 1,000,000 | FirstEnergy Transmission LLC, (144A), 4.35%, due 01/15/25(1) |
1,011,188 | ||||||
| 2,250,000 | Gabs Dynegy Danskamm, Series B, 7.67%, due 08/11/16(7) |
— | ||||||
| 910,965 | Mirant Mid-Atlantic Pass-Through Certificates, Series C, 10.06%, due 12/30/28(EETC) |
1,011,171 | ||||||
|
|
|
|||||||
| Total Electric |
3,362,984 | |||||||
|
|
|
|||||||
| Engineering & Construction (0.6%) |
||||||||
| 700,000 | Heathrow Funding, Ltd. (United Kingdom), (144A), 4.875%, due 07/15/23(1) |
773,400 | ||||||
| 750,000 | Sydney Airport Finance Co. Pty, Ltd. (Australia), (144A), 5.125%, due 02/22/21(1) |
835,848 | ||||||
|
|
|
|||||||
| Total Engineering & Construction |
1,609,248 | |||||||
|
|
|
|||||||
| Gas (0.6%) |
||||||||
| 1,500,000 | Sabine Pass LNG, LP, (144A), 7.5%, due 11/30/16(1) |
1,597,500 | ||||||
|
|
|
|||||||
| Insurance (0.3%) |
||||||||
| 715,000 | ZFS Finance USA Trust II, (144A), 6.45%, due 12/15/65(1)(2) |
770,413 | ||||||
|
|
|
|||||||
| Oil & Gas (0.2%) |
||||||||
| 500,000 | Pacific Drilling V, Ltd., (144A), 7.25%, due 12/01/17(1) |
503,750 | ||||||
|
|
|
|||||||
| Real Estate (0.5%) |
||||||||
| 1,375,000 | Post Apartment Homes, LP, 4.75%, due 10/15/17 |
1,494,375 | ||||||
|
|
|
|||||||
| REIT (1.2%) |
||||||||
| 1,000,000 | HCP, Inc., 2.625%, due 02/01/20 |
987,734 | ||||||
| 700,000 | Healthcare Realty Trust, Inc., 5.75%, due 01/15/21 |
780,469 | ||||||
| 500,000 | Healthcare Realty Trust, Inc., 6.5%, due 01/17/17 |
553,241 | ||||||
| 950,000 | SL Green Realty Corp., 5%, due 08/15/18 |
1,024,446 | ||||||
|
|
|
|||||||
| Total REIT |
3,345,890 | |||||||
|
|
|
|||||||
| Total Corporate Bonds (Cost: $23,983,287) |
26,227,064 | |||||||
|
|
|
|||||||
| Municipal Bonds (2.4%) |
||||||||
| 800,000 | Arizona Health Facilities Authority, Revenue Bond, 0.967%, due 01/01/37(2) |
717,120 | ||||||
| 1,000,000 | California State, Build America Bonds, 7.95%, due 03/01/36 |
1,220,790 | ||||||
| 750,000 | City of Chicago, Illinois, General Obligation Unlimited, 6.05%, due 01/01/29 |
774,855 | ||||||
| 1,000,000 | City of New York, New York, Build America Bonds, 6.646%, due 12/01/31 |
1,192,490 | ||||||
| 1,200,000 | Illinois State, Build America Bonds, 6.63%, due 02/01/35 |
1,313,712 | ||||||
| 765,000 | Illinois State, General Obligation Bond, 4.35%, due 06/01/18 |
799,853 | ||||||
See accompanying Notes to Schedule of Investments.
TCW Strategic Income Fund, Inc.
SCHEDULE OF INVESTMENTS–SEPTEMBER 30, 2014 (UNAUDITED) (CONT’D)
| Principal |
Fixed Income Securities |
Value | ||||||
| Municipal Bonds (Continued) |
||||||||
| $ | 800,000 | New York City Water and Sewer System, Build America Bonds, 6.491%, due 06/15/42 |
$ | 923,968 | ||||
|
|
|
|||||||
| Total Municipal Bonds (Cost: $6,651,688) |
6,942,788 | |||||||
|
|
|
|||||||
| Total Fixed Income Securities (Cost: $ 230,251,989) (90.3%) |
255,970,394 | |||||||
|
|
|
|||||||
| Number of |
Convertible Preferred Stock |
|
||||||
| Electric (0.3%) |
||||||||
| 16,500 | AES Corp., $3.375 |
846,120 | ||||||
|
|
|
|||||||
| Total Convertible Preferred Stock (Cost: $772,200) |
846,120 | |||||||
|
|
|
|||||||
|
|
Common Stock |
|
||||||
| Electric (0.3%) |
||||||||
| 3,559 | Dynegy, Inc. (8) |
102,713 | ||||||
| 11,293 | Mach Gen, LLC (5)(8) |
636,168 | ||||||
|
|
|
|||||||
| Total Electric |
738,881 | |||||||
|
|
|
|||||||
| Total Common Stock (Cost: $ 1,320,396) (0.3%) |
738,881 | |||||||
|
|
|
|||||||
|
|
Closed-end Fund |
|
||||||
| 1,255 | BlackRock Build America Bond Trust, 7.33%(9) |
26,380 | ||||||
|
|
|
|||||||
| Total Closed-end Fund (Cost: $ 23,229) (0.0%) |
26,380 | |||||||
|
|
|
|||||||
| Principal |
Short Term Investment |
|
||||||
| Repurchase Agreement (Cost: $27,463,124) (9.7%) |
||||||||
| $ | 27,463,124 | State Street Bank & Trust Company, 0%, due 10/01/14, (collateralized by $260,000 Federal National Mortgage Association, 2.26%, due 10/17/22, valued at $249,999; $29,365,000 Federal Home Loan Mortgage Corp., 2.1%, due 10/17/22, valued at $27,764,842; Total Amount to be Received Upon Repurchase $27,463,124) |
27,463,124 | |||||
|
|
|
|||||||
| U.S. Treasury Security (Cost: $967,971) (0.3%) |
||||||||
| 968,000 | U.S. Treasury Bill, 0.03%, due 11/06/14(10) |
967,971 | ||||||
|
|
|
|||||||
| Total Short-Term Investments (Cost: $28,431,095) (10.0%) |
28,431,095 | |||||||
|
|
|
|||||||
| TOTAL INVESTMENTS (Cost $260,798,909) (100.9%) |
286,012,870 | |||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS (-0.9%) |
(2,631,532 | ) | ||||||
|
|
|
|||||||
| NET ASSETS (100.0%) |
$ | 283,381,338 | ||||||
|
|
|
|||||||
Futures Contracts—Exchange Traded
| Number of |
Type |
Expiration Date |
Notional Contract Value |
Net Unrealized Appreciation (Depreciation) |
||||||||||
| BUY |
||||||||||||||
| 145 | S&P 500 E-mini Index Futures |
12/19/14 | $ | 14,249,875 | $ | (170,284 | ) | |||||||
|
|
|
|
|
|||||||||||
| SELL |
||||||||||||||
| 10 | 10-Year U.S. Treasury Note Futures |
12/19/14 | $ | 1,246,406 | $ | 10,321 | ||||||||
|
|
|
|
|
|||||||||||
See accompanying Notes to Schedule of Investments.
TCW Strategic Income Fund, Inc.
SCHEDULE OF INVESTMENTS–SEPTEMBER 30, 2014 (UNAUDITED) (CONT’D)
Notes to Schedule of Investments:
| (1) |
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold, normally only to qualified institutional buyers. At September 30, 2014, the value of these securities amounted to $71,966,321 or 25.4% of net assets. These securities are determined to be liquid by the Advisor, unless otherwise noted, under procedures established by and under the general supervision of the Fund’s Board of Directors. | |||
| (2) |
Floating or variable rate security. The interest shown reflects the rate in effect at September 30, 2014. | |||
| (3) |
All or a portion of this security is segregated to cover open futures contracts. | |||
| (4) |
A portion of the principal balance has been written-off during the period due to defaults in the underlying loans. | |||
| (5) |
Illiquid security. | |||
| (6) |
Rate stated is the effective yield. | |||
| (7) |
Security is currently in default due to bankruptcy or failure to make payment of principal or interest by the issuer. Income is not being accrued. | |||
| (8) |
Non-income producing security. | |||
| (9) |
Rate disclosed, the distribution yield, is as of September 30, 2014. | |||
| (10) |
Rate shown represents yield-to-maturity. | |||
| ABS |
- |
Asset-Backed Securities | ||
| CLO |
- |
Collateralized Loan Obligation. | ||
| EETC |
- |
Enhanced Equipment Trust Certificate. | ||
| I/F |
- |
Inverse Floating rate security whose interest rate moves in the opposite direction of prevailing interest rates. | ||
| I/O |
- |
Interest Only Security. | ||
| PAC |
- |
Planned Amortization Class. | ||
| REIT |
- |
Real Estate Investment Trust. | ||
| TAC |
- |
Target Amortization Class. |
See accompanying Notes to Schedule of Investments.
TCW Strategic Income Fund, Inc.
| Investments by Industry (Unaudited) |
September 30, 2014 |
| Industry |
Percentage of Net Assets |
|||
| Residential Mortgage-Backed Securities—Non-Agency |
48.5 | % | ||
| Asset-Backed Securities |
26.3 | |||
| Residential Mortgage-Backed Securities—Agency |
2.5 | |||
| Municipal Bonds |
2.4 | |||
| Banks |
2.3 | |||
| Airlines |
1.7 | |||
| Electric |
1.2 | |||
| REIT |
1.2 | |||
| Commercial Mortgage-Backed Securities—Non-Agency |
0.8 | |||
| Diversified Financial Services |
0.6 | |||
| Electric |
0.6 | |||
| Engineering & Construction |
0.6 | |||
| Gas |
0.6 | |||
| Real Estate |
0.5 | |||
| Insurance |
0.3 | |||
| Telecommunications |
0.3 | |||
| Commercial Mortgage-Backed Securities—Agency |
0.2 | |||
| Oil & Gas |
0.2 | |||
| Commercial Services |
0.1 | |||
| Closed-end Fund |
0.0 | * | ||
| Short-Term Investments |
10.0 | |||
|
|
|
|||
| Total |
100.9 | % | ||
|
|
|
|||
| * | Value rounds to less than 0.1% of net assets. |
See accompanying Notes to Schedule of Investments.
| Notes to Schedule of Investments (Unaudited) | September 30, 2014 |
Note 1 — Security Valuation:
Securities and derivative contracts traded on national exchanges, except those traded on the NASDAQ Stock Market, Inc. (“NASDAQ”), are valued at the last reported sales price or the mean of the current bid and asked prices if there are no sales in the trading period. Securities traded on the NASDAQ are valued using the NASDAQ Official Closing Price, which may not be the last reported sales price. Other securities which are traded on the over-the-counter (“OTC”) market are valued at the mean of the current bid and asked prices as furnished by independent pricing services or by dealer quotations. Short-term debt securities with maturities of 60 days or less at the time of purchase are valued at amortized cost which approximates market value. Other short-term debt securities are valued on a marked-to market basis until such time as they reach a remaining maturity of 60 days, after which they are valued at amortized cost using their value as of the 61st day prior to maturity. S&P 500 Index futures contracts are valued at the first sale price after 4 p.m. ET on the Chicago Mercantile Exchange. Securities for which market quotations are not readily available, including circumstances under which market quotations are not reflective of a security’s market value, are fair valued by the Advisor as determined in good faith under procedures established by and under the general supervision of the Fund’s Board of Directors.
Fair value is defined as the price that a fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market for the investment. In accordance with the authoritative guidance on fair value measurements and disclosures under the accounting principles generally accepted in the United States of America (“GAAP”), the Fund discloses investments in a three-tier hierarchy. This hierarchy is utilized to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
Level 1 – quoted prices in active markets for identical investments
Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
Level 3 – significant unobservable inputs (including the 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 methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Fair Value Measurements: A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows:
Asset-backed securities and mortgage-backed securities. The fair value of asset-backed securities and mortgage-backed securities is estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, establish a benchmark yield, and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche including, but not limited to, the prepayment speed assumptions and attributes of the collateral. To the extent the inputs are observable and timely, the values would be categorized in Level 2 of the fair value hierarchy; otherwise they would be categorized in Level 3.
Bank loans. The fair value of bank loans is estimated using recently executed transactions, market price quotations, credit/market events, and cross-asset pricing. Inputs are generally observable and are obtained from independent sources. Bank loans are generally categorized in Level 2 of the fair value hierarchy.
Corporate bonds. The fair value of corporate bonds is estimated using recently executed transactions, market price quotations (where observable), bond spreads, or credit default swap spreads adjusted for any basis difference between cash and derivative instruments. Corporate bonds are generally categorized in Level 2 of the fair value hierarchy; in instances where prices, spreads, or any of the other aforementioned key inputs are unobservable, they are categorized in Level 3 of the hierarchy.
Equity securities and closed-end funds. 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 categorized in Level 1 of the fair value hierarchy. Restricted securities issued by publicly held companies are generally categorized in Level 2 of the fair value hierarchy; if the discount is applied and significant, they are categorized in Level 3. Restricted securities held in non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and therefore, the inputs are unobservable.
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. The value of the Fund’s futures contracts is marked daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. As such they are categorized in Level 1.
Municipal bonds. Municipal bonds are fair valued based on pricing models that take into account, among other factors, information received from market makers and broker-dealers, current trades, bid wants lists, offerings, market movements, the callability of the bond, state of issuance, benchmark yield curves, and bond insurance. To the extent that these inputs are observable and timely, the fair values of municipal bonds are categorized in Level 2; otherwise the fair values are categorized in Level 3.
Restricted securities. Restricted securities, including illiquid Rule 144A securities, issued by non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and, therefore, the inputs are unobservable. Any other restricted securities valued similar to publicly traded securities may be categorized in Level 2 or 3 of the fair value hierarchy depending on whether a discount is applied and significant to the fair value.
U.S. Government and agency securities. U.S. government and agency securities are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. Accordingly, U.S. government and agency securities are normally categorized in Level 1 or 2 of the fair value hierarchy depending on the liquidity and transparency of the market.
The following is a summary of the inputs used as of September 30, 2014 in valuing the Fund’s investments:
| Description |
Quoted Prices in Active Markets for Identical Assets (Level 1) |
Significant Other Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
Total | ||||||||||||
| Fixed Income Securities |
||||||||||||||||
| Asset-Backed Securities |
$ | — | $ | 71,557,440 | $ | 2,960,212 | $ | 74,517,652 | ||||||||
| Collateralized Mortgage Obligations |
||||||||||||||||
| Commercial Mortgage-Backed Securities—Agency |
— | 682,872 | — | 682,872 | ||||||||||||
| Commercial Mortgage-Backed Securities—Non-Agency |
— | 2,108,798 | — | 2,108,798 | ||||||||||||
| Residential Mortgage-Backed Securities—Agency |
— | 7,161,538 | — | 7,161,538 | ||||||||||||
| Residential Mortgage-Backed Securities—Non-Agency |
— | 132,913,303 | 4,482,816 | 137,396,119 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Collateralized Mortgage Obligations |
— | 142,866,511 | 4,482,816 | 147,349,327 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Bank Loans* |
— | 933,563 | — | 933,563 | ||||||||||||
| Corporate Bonds* |
— | 26,227,064 | — | 26,227,064 | ||||||||||||
| Municipal Bonds |
— | 6,942,788 | — | 6,942,788 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Fixed Income Securities |
— | 248,527,366 | 7,443,028 | 255,970,394 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Convertible Preferred Stock* |
846,120 | — | — | 846,120 | ||||||||||||
| Common Stock* |
738,881 | — | — | 738,881 | ||||||||||||
| Closed-end Fund |
26,380 | — | — | 26,380 | ||||||||||||
| Short-Term Investments* |
— | 28,431,095 | — | 28,431,095 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
$ | 1,611,381 | $ | 276,958,461 | $ | 7,443,028 | $ | 286,012,870 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Asset Derivatives |
||||||||||||||||
| Futures Contracts |
||||||||||||||||
| Interest Rate Risk |
10,321 | — | — | 10,321 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 1,621,702 | $ | 276,958,461 | $ | 7,443,028 | $ | 286,023,191 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Derivatives |
||||||||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
$ | (170,284 | ) | $ | — | $ | — | $ | (170,284 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (170,284 | ) | $ | — | $ | — | $ | (170,284 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| * | See Schedule of Investments for corresponding industries. |
The Fund did not have any transfers in and out of Level 1 and Level 2 of the fair value hierarchy during the period ended September 30, 2014.
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value:
| Asset- Backed Securities |
Residential Mortgage-Backed Securities — Non- Agency |
Total | ||||||||||
| Balance as of December 31, 2013 |
$ | 3,869,947 | $ | 4,973,477 | $ | 8,843,424 | ||||||
| Accrued Discounts (Premiums) |
— | (544,371 | ) | (544,371 | ) | |||||||
| Realized Gain (Loss) |
— | — | — | |||||||||
| Change in Unrealized Appreciation |
(95 | ) | 53,710 | 53,615 | ||||||||
| Purchases |
718,739 | — | 718,739 | |||||||||
| Sales |
(1,628,379 | ) | — | (1,628,379 | ) | |||||||
| Transfers in to Level 3(1) |
— | — | — | |||||||||
| Transfers out of Level 3(1) |
— | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
| Balance as of September 30, 2014 |
$ | 2,960,212 | $ | 4,482,816 | $ | 7,443,028 | ||||||
|
|
|
|
|
|
|
|||||||
| Change in Unrealized Appreciation from Investments Still Held at September 30, 2014 |
$ | (58 | ) | $ | 53,710 | 53,652 | ||||||
|
|
|
|
|
|
|
|||||||
| (1) | The Fund recognizes transfers in and out at the beginning of the period. |
Significant unobservable valuations inputs for Level 3 investments as of September 30, 2014, are as follows:
| Description |
Fair Value at 9/30/14 | Valuation Techniques* | Unobservable Input | Range | ||||||||
| Asset-Backed Securities |
$ | 2,960,212 | Third-party Broker | Broker Quotes | $ | 99.99 to 100 | ||||||
| Residential Mortgage-Backed Securities - |
$ | 3,564,627 | Third-party Vendor | Vendor Prices | $ | 1.014 to 3.349 | ||||||
| Residential Mortgage-Backed Securities - |
$ | 918,189 | Third-party Vendor | Vendor Prices | $ | 21.015 | ||||||
| * | The valuation technique employed on the Level 3 securities involves the use of third-party broker quotes and vendor prices. The Advisor monitors the third-party brokers and vendors using the valuation process described below. |
Level 3 Valuation Process: Investments classified within Level 3 of the fair value hierarchy may be fair valued by the Advisor with consent from the Pricing Committee in accordance with procedures established by the Board of Directors, and under the general oversight of the Board of Directors. The Pricing Committee employs various methods to determine fair valuations including a regular review of key inputs and assumptions and review of any related market activity. The Pricing Committee reports to the Board of Directors at their regularly scheduled meetings. It is possible that fair value prices will be used by the Fund to a significant extent. The value determined for an investment using the Fund’s fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon the sale of such investment. The Advisor, as part of the daily process, conducts back-testing of prices based on daily trade activities.
The Pricing Committee consists of the Fund’s President, Chief Compliance Officer and members of TCW Mutual Fund Administration, Legal and Compliance Departments as well as alternate members as may be designated from time to time. The Pricing Committee reviews and makes recommendations concerning the fair valuation of portfolio securities and the Fund’s pricing procedures in general.
Derivative Instruments: Derivatives are financial instruments whose values are based on the values of one or more indicators, such as a security, asset, currency, interest rate, or index. Derivative transactions can create investment leverage and may be highly volatile. 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.
At September 30, 2014, the Fund had the following derivatives and transactions in derivatives, grouped in the following risk categories:
| Equity Risk |
Interest Rate Risk |
Total | ||||||||||
| Statement of Assets and Liabilities: |
||||||||||||
| Asset Derivatives |
||||||||||||
| Futures Contracts |
$ | — | $ | 10,321 | $ | 10,321 | ||||||
|
|
|
|
|
|
|
|||||||
| Total Value |
$ | — | $ | 10,321 | $ | 10,321 | ||||||
|
|
|
|
|
|
|
|||||||
| Liability Derivatives |
||||||||||||
| Futures Contracts |
$ | (170,284 | ) | $ | — | $ | (170,284 | ) | ||||
|
|
|
|
|
|
|
|||||||
| Total Value |
$ | (170,284 | ) | $ | — | $ | (170,284 | ) | ||||
|
|
|
|
|
|
|
|||||||
| Notional Amounts(1) |
||||||||||||
| Futures Contracts |
145 | 10 | 155 | |||||||||
| (1) | Amount represents the number of contracts outstanding at the end of the period. |
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 when it holds uninvested cash or as an inexpensive substitute for cash investments directly in securities or other assets. 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. The Fund used the S&P 500 Index futures to gain exposure to the equity market. The Fund also
utilized Treasury futures during the year to help manage daily liquidity as well as interest rate duration and credit market exposure. Futures contracts outstanding at September 30, 2014 are listed in the Fund’s Schedule of Investments.
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, the 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).
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.
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 the 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 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 gain or loss by the Fund 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 September 30, 2014, the Fund did not enter into such agreements.
Mortgage-Backed Securities: The Fund may invest in mortgage pass-through securities 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 Ginnie Mae, Freddie Mac or Fannie Mae. The issuer of a series of CMOs may elect to be treated for tax purposes as a Real Estate Mortgage Investment Conduit (“REMIC”). 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 mortgage-backed securities. Stripped mortgage-backed securities 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 prepayments (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.
When-Issued, Delayed-Delivery, and Forward Commitment Transactions: The Fund may enter into when issued, delayed-delivery, or forward commitment transactions in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In when issued, delayed-delivery, 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, 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, reflecting interest rate changes. In addition, because the Fund is not required to pay for when-issued, delayed-delivery, or forward commitment securities until the delivery date, they may result in a form of leverage to the extent the Fund does not maintain liquid assets equal to the face amount of the contract. To guard against the deemed leverage, the Fund segregates cash or securities in the amount or value at least equal to the amount of these transactions.
Repurchase Agreements: The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreements (“MRA”). 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 a 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 to be received by the Fund upon the maturity of the repurchase transaction. 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. Repurchase agreements outstanding at the end of the period are listed in the Fund’s Schedule of Investments.
Security Lending: The Fund may lend its portfolio 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 securities any time during the period ended September 30, 2014.
Note 2 — Federal Income Taxes:
It is the policy of the Fund to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and distribute all of its net taxable income, including any net realized gains on investments, to its shareholders. Therefore, no federal income tax provision is required.
At September 30, 2014, net unrealized appreciation on investments for federal income tax purposes was as follows:
| Unrealized Appreciation |
$ | 28,430,478 | ||
| Unrealized (Depreciation) |
(3,287,546 | ) | ||
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| Net Unrealized Appreciation |
$ | 25,142,932 | ||
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| Cost of Investments for Federal Income Tax Purposes |
$ | 260,869,938 | ||
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Note 3 — Restricted Securities:
The Fund is permitted to invest in securities that are subject to legal or contractual restrictions on resale. Disposal of these securities may involve time consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. There were no restricted securities at September 30, 2014.
| Item 2. | Controls and Procedures. |
(a) The Registrant’s Chief Executive Officer and Chief Financial Officer concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) are effective as of a date within 90 days prior to the filing date of this report (the “Evaluation Date”), based on their evaluation of the effectiveness of the Registrant’s disclosure controls and procedures as of the Evaluation Date.
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the Registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
| Item 3. | Exhibits. |
(a) Certification of Chief Executive Officer and Chief Financial Officer of the Registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is attached hereto as Exhibit 99CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| (Registrant) | TCW Strategic Income Fund, Inc. | |||
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| By (Signature and Title) | /s/ David S. DeVito | |||
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| David S. DeVito President and Chief Executive Officer | ||||
| Date | November 7, 2014 | |||
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By (Signature and Title) | /s/ David S. DeVito | |||
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| David S. DeVito President and Chief Executive Officer | ||||
| Date | November 7, 2014 | |||
| By (Signature and Title) | /s/ Richard M. Villa | |||
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| Richard M. Villa Treasurer and Chief Financial Officer | ||||
| Date | November 7, 2014 | |||