SEC Form N-CSR filed by TCW Strategic Income Fund Inc.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

TCW is pleased to present the 2023 annual report for the TCW Strategic Income Fund (“TSI” or the “Fund”). TSI is a multi-asset class fund managed by TCW Investment Management Company LLC and is listed on the New York Stock Exchange under the ticker TSI. For the year, shares of TSI rose by 7.15% while the Fund’s net asset value (i.e., value of the underlying assets) increased by 12.57%. The Fund’s twelve-month price-based return was below the return, as the discount between NAV and share price grew from at the beginning of the period to by December 31, 2023.

Over the past four quarters, the Fund paid dividends of six cents per share each quarter, as well as a special cash payment of 11.5 cents per share. This represents an annualized rate of approximately 36 cents per share, contributing to a realized trailing yield of approximately 7.7%, as of 12/31/2023. As yield is a function of a number of parameters, the yield of TSI will likely differ from the trailing figure.

 

 

 

1

 

En route to a third consecutive down year for U.S. fixed income, things were looking grim in as the second quarter’s runup in rates persisted until late in the month. Reflecting the market’s adoption and pricing of a view on the Fed, the to span of the Treasury yield curve saw an basis point (bps) rise from the early-year lows accompanying the regional banking turmoil. However, almost immediately following the moment on October 19th that the entire U.S. Treasury curve breached 5% for the first time since the Global Financial Crisis (GFC), a very sharp rally ensued and lasted through Yields fell anywhere from 90 to 115 bps in the last two and a half months of the year, and in doing so, delivered a 9.3% gain to the Bloomberg U.S. Aggregate Bond Index over the same period, turning 2023 performance decidedly positive. Ironically, it was late July when the Fed last raised rates, bringing the cumulative cycle hike to 525 bps, but the market continued to sell off. Credit this Fed regime for the work it’s done on the credibility front through a difficult 2022 to make the market heed them, seemingly the antithesis of the past years. The higher yield curve and its prospective impact, along with continued moderation in inflation, finally provided some opportunity for a dovish pivot. This was most prominently highlighted by the December FOMC (Federal Open Market Committee) meeting, which came with a new “dot plot” that showed no additional hikes for the first time since March 2021, leaving little doubt that the Fed’s tightening cycle was over.

The S&P 500 Index also soared in the final months of the year, bringing the 2023 gain to over 26%, though notably dispersion was markedly low as the “Magnificent 7” – a group of large, high-profile tech stocks in the Index – alone gained nearly 110%. As prefaced above, fixed income returns were weighed down by higher yields through October, before reversing course on a rate rally. The Bloomberg U.S. Aggregate Bond Index clawed back what was until that point a 3.4% loss to finish 2023 decidedly in the green. The fourth quarter produced a 6.8% total return for fixed income assets broadly, while the annual period netted a 5.5% gain that was 140 bps ahead of duration-matched Treasuries. U.S. investment grade credit, which gained 8.2% for the year (and for the fourth quarter), saw yield premiums decline to a low level of 93 bps over Treasuries. Meanwhile, high yield corporates delivered a resounding 13.4% return for the year with nearly 890 bps of positive excess returns. Among securitized products, agency MBS (mortgage-backed securities) staged an impressive comeback in the final two months of 2023 as rates fell, with performance for the year coming in at 5.1% with 68 bps of excess returns. However, the unusual volatility of last year is masked by those figures, as the current coupon mortgage spread round-tripped across a 75 bps range (from a low of 119 bps in February, to twin peaks of 194 bps in May and 189 bps in October). MBS also fared well, with home prices much more resilient than the market

 

2

 

expected over the past two years, despite a nearly 500 bps rise in mortgage rates over this period. In CMBS (commercial mortgage-backed securities), headline concerns surrounding office collateral property values pushed yield premiums higher for the year, particularly private label issues, though the sector returned nearly 5.5% for the annual period (driven largely by the fourth quarter rally). Finally, asset-backed securities gained 5.5% and benefitted from their largely floating rate structure and shorter durations for most of the year, though cracks began to appear in consumer debt where performance is expected to deteriorate.

While the headline narrative is one of a still-resilient economy, there are nascent signs of weakness in the U.S., which we believe could be the first stage of an economic hard landing. The cumulative effect of 525 bps of Fed hikes, which went on well past the initial point of yield curve inversion, should have meaningful consequences for the U.S. economy and lead to a recession within the first half of 2024. Signs of stress are already apparent in lower-income cohorts, where indicators such as credit card usage, loss rates on unsecured consumer loans, GNMA (Government National Mortgage Association) delinquencies, and subprime auto loan delinquencies signal caution, and expectations are for financial stress to move up the income spectrum as the economy continues to slow, with a weakening labor market adding additional challenges to consumers. In fact, the labor market remains the key to wage deceleration and a potential hard landing going forward. The Fed clearly wants to keep rates as high as they can for as long as they can to ensure that the inflation beast has been well and truly tamed, which implies a later start to the easing cycle. However, once the easing cycle starts, it is likely to go faster than both the Fed and markets currently project, as the Fed will likely have to ease aggressively to help mitigate the impact of a recession. Regardless of the type of landing, rates are set to come down, particularly in the leading to a steeper curve.

 

3

 

 

 

Modest leverage can be utilized by the Fund through a Line of Credit facility. A very small amount of the $70 million commitment was tapped during the first half of 2023 as opportunities arose through the second quarter, but was entirely paid back by

We greatly appreciate your investment in the Fund and your continuing support of TCW. If you have any additional questions or comments, we invite you to visit our website at www.tcw.com or contact our shareholder services department at or [email protected].

Sincerely,

 

Megan McClellan

President and Principal Executive Officer

 

4

TCW Strategic Income Fund, Inc.

Management Discussion

 

Notwithstanding a particularly challenging October, the TCW Strategic Income Fund (TSI) posted strong performance in the fourth quarter to bring returns for the period to 9.8% return), approximately 50 basis points (bps) ahead of the Bloomberg U.S. Treasury Bellwethers Index + 400 bps. Relative performance benefitted from the positive duration position, which contributed significantly in the fourth quarter as rates fell, boosting the full-year impact. Meanwhile, the allocation to fixed income spread sectors boosted full-year performance as growing investor optimism for the potential of a soft landing and resilient macro data prints drove yield premiums lower across fixed income sectors throughout the year. Corporate credit, in particular, saw outperformance relative to duration-adjusted Treasuries in both the investment grade and high yield cohorts, rewarding the Fund’s broader corporate market beta exposure. More specifically, notable contributions came from senior issues of large banks and high-quality communications names. Consistent with disciplined value investing, the outsized compression of corporate yield spreads over the latter half of the year led to a trimming of the Fund’s corporate exposure, crystalizing gains and affording the Fund buy liquidity to redeploy upon future pricing and spread dislocations. Turning to securitized products, residential MBS constituted the largest position throughout the year, weighing on performance for most of the period given the sizeable allocation to agency MBS and historical cheapness with which the sector traded for the first ten months of the year. However, the fall in rates and decline in volatility at significantly benefitted agency-backed mortgages and turned what had been a headwind to Fund returns into a tailwind. Meanwhile, MBS issues, owing largely to their floating rate structures and minimal interest rate durations, had a stable positive performance impact despite the year’s elevated rate volatility as yield spreads tightened across collateral types and deal structures. Similarly, CLO (collateralized loan obligations) holdings contributed for the year as their floating rate nature mitigated the impact of rising rates while falling yield premiums helped propel the sector to strong returns. Finally, equity holdings in the Fund contributed overall due to energy, banking, and REIT (real estate investment trust) names, while equity exposure in the space were a small drag.

Duration positioning increased steadily throughout 2023 as yields moved higher, reaching a high of 3.5 years in October as rates peaked before passively shortening in the final two months of the year from agency MBS exposure to finish at approximately 3.0 years. Sector positioning is focused on high-quality securitized products, particularly residential MBS. Agency MBS represents attractive relative value and offers considerable total return potential even after a sizable rally, informing continued conviction in the space and a considerable overweight. MBS also exhibits good yields and solid fundamentals as years of amortization and housing price appreciation have built up substantial equity in the underlying properties, while an overall lag in housing supply in the decade-plus since the GFC has been supportive as well. Commercial MBS is a sector with both prospective volatility and opportunity; market liquidity and demand remain plentiful for senior issues backed by trophy properties, while deals backed by weaker collateral are likely to see challenges, including principal losses and falling prices on continued materialization of commercial market stress, especially in more subordinated tranches. Thus, Fund holdings reflect more targeted positions, to provide greater comfort with the risk profile of underlying collateral. Among ABS, we expect consumer stress to migrate up the quality spectrum to those in the middle-income cohorts as the economy slows in 2024, making us wary of weaker structures and collateral types, though there are pockets of value in select subsectors such as CLOs and single-family rentals. While securitized products offer more compensation for the potential risks associated with a recessionary environment, the corporate market does not, with yield premiums at historically low levels. It is our view

 

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TCW Strategic Income Fund, Inc.

Management Discussion (Continued)

 

that the risk of spreads tightening meaningfully from current levels is small, but the risk of significant widening is substantial. Thus, positioning remains cautious in both the investment grade and high yield space, focused on defensive sectors and select financials, including large money center banks, though we expect there to be ample opportunities to add to the corporate basis in 2024 when valuations are more compelling.

The goal of the Fund’s distribution policy is to maintain a stable payout without having to return capital to investors. A stable dividend policy will inevitably result in income surplus or deficit at the end of the year given variations in the sources of the Fund’s distributable income. The Fund maintains a modest reserve balance such that an income surplus remains at the end of the year as opposed to a shortfall.

TCW will continue to monitor the Fund’s income reserve for increases in surplus or shortfall and make adjustments to the quarterly dividend as warranted, with the goal of minimizing the dispersion of the quarterly dividend amounts and maintaining the dividend’s stability.

The Fund may from time to time, (1) write (sell) covered call options on common stocks that it owns or has an immediate right to acquire through conversion or exchange of other securities on an amount up to 5% of its total assets; or (2) purchase put options on such common stocks on an amount up to 5% of its total assets.

 

6

 

TCW Strategic Income Fund, Inc.

 

 

Issues		Maturity Date				Principal Amount				Value
FIXED INCOME SECURITIES — 105.5% of Net Assets
ASSET-BACKED SECURITIES — 15.5%
Academic Loan Funding Trust Series 2012-1A, Class R
0.00%  (1),(2),(3),(4)			12/27/44			$	3,368			$	639,753
Allegro CLO XII Ltd. Series 2020-1A, Class B
7.37% (3 mo. USD Term SOFR + 1.962%)  (1),(5)			01/21/32				475,000				474,663
Allegro CLO XIII Ltd. Series 2021-1A, Class B
7.38% (3 mo. USD Term SOFR + 1.962%)  (1),(5)			07/20/34				650,000				649,671
AMSR Trust Series 2020-SFR1, Class I
8.19%  (1)			04/17/37				850,000				836,201
AMSR Trust Series 2020-SFR2, Class F
5.25%  (1)			07/17/37				1,375,000				1,321,898
AMSR Trust Series 2020-SFR3, Class E1
2.56%  (1)			09/17/37				1,000,000				933,360
Apidos CLO XXXVII Ltd. Series 2021-37A, Class B
7.27% (3 mo. USD Term SOFR + 1.862%)  (1),(5)			10/22/34				725,000				722,755
Barings CLO Ltd. Series 2022-2A, Class A
7.19% (3 mo. USD Term SOFR + 1.800%)  (1),(5)			07/15/35				550,000				550,550
Bayview Commercial Asset Trust Series 2003-2, Class A
6.34% (1 mo. USD Term SOFR + 0.984%)  (1),(5)			12/25/33				79,440				77,820
BCRED CLO LLC Series 2023-1A, Class A
1.00% (-3 mo. USD Term SOFR + 2.300%)  (1),(5)			01/20/36				850,000				853,066
BlackRock Rainier CLO VI Ltd. Series 2021-6A, Class A
7.38% (3 mo. USD Term SOFR + 1.962%)  (1),(5)			04/20/33				700,000				697,935
BMO SBA COOF Trust Series 2019-1, Class A (I/O)
1.48%  (1),(6)			10/25/45				4,467,290				148,993
Carvana Auto Receivables Trust Series 2020-P1, Class R
0.00%  (1),(3)			09/08/27				2,000				188,871
Carvana Auto Receivables Trust Series 2021-N3, Class R
0.00%  (1),(3)			06/12/28				2,200				260,166
Carvana Auto Receivables Trust Series 2022-N1, Class R
0.00%  (1),(3)			12/11/28				4,700				374,836
Carvana Auto Receivables Trust Series 2022-P3, Class R
0.00%  (1),(3)			09/10/29				2,900				408,431
Carvana Auto Receivables Trust Series 2023-P1, Class R
0.00%  (1),(3)			03/11/30				4,400				754,725

Issues		Maturity Date				Principal Amount				Value
ASSET-BACKED SECURITIES (Continued)
Carvana Auto Receivables Trust Series 2023-P2, Class R
0.00%  (1),(3)			06/10/30			$	2,000			$	489,077
Cedar Funding II CLO Ltd. Series 2013-1A, Class BRR
7.03% (3 mo. USD Term SOFR + 1.612%)  (1),(5)			04/20/34				700,000				687,107
CIFC Funding Ltd. Series 2018-1A, Class SUB
0.00%  (1),(6),(7)			04/18/31				650,000				266,253
CIFC Funding Ltd. Series 2022-2A, Class INCB
0.00%  (1),(6),(7)			04/19/35				685,000				541,690
CIT Education Loan Trust Series 2007-1, Class A
5.70% (90 day USD SOFR Average + 0.352%)  (1),(5)			03/25/42				335,875				318,639
COOF Securitization Trust II Series 2015-2, Class A1 (I/O)
2.42%  (1),(6)			08/25/41				2,118,777				139,691
FirstKey Homes Trust Series 2020-SFR1, Class G
4.78%  (1)			08/17/37				1,735,000				1,635,258
FirstKey Homes Trust Series 2021-SFR3, Class E1
2.99%  (1)			12/17/38				1,173,000				1,055,508
FRTKL Group, Inc. Series 2021-SFR1, Class G
4.11%  (1)			09/17/38				1,015,000				885,990
Global SC Finance II SRL Series 2014-1A, Class A2
3.09%  (1)			07/17/29				25,317				24,910
Goal Capital Funding Trust Series 2006-1, Class B
6.09% (3 mo. USD LIBOR + 0.450%)  (5)			08/25/42				118,588				108,676
GoldenTree Loan Management U.S. CLO Ltd. Series 2023-17A, Class D
10.25% (3 mo. USD Term SOFR + 5.000%)  (1),(5)			07/20/36				650,000				657,707
Golub Capital Partners CLO 42M-R Series 2019-42RA, Class A2R
0.00% (-3 mo. USD Term SOFR + 2.750%)  (1),(5),(8)			01/20/36				600,000				600,555
Golub Capital Partners CLO 69M Series 2023-69A, Class B1
8.66% (3 mo. USD Term SOFR + 3.250%)  (1),(5)			11/09/36				870,000				874,907
Harvest Commercial Capital Loan Trust Series 2019-1, Class A
3.29%  (1),(6)			09/25/46				135,574				131,609
HOA Funding LLC Series 2021-1A, Class A2
4.72%  (1)			08/20/51				586,500				455,141
HPS Loan Management Ltd. Series 2023-18A, Class D
11.08% (3 mo. USD Term SOFR + 5.750%)  (1),(5)			07/20/36				600,000				614,982

 

 

7

TCW Strategic Income Fund, Inc.

 

Schedule of Investments (Continued)

 

Issues		Maturity Date				Principal Amount				Value
ASSET-BACKED SECURITIES (Continued)
ITE Rail Fund Levered LP Series 2021-1A, Class A
2.25%  (1)			02/28/51			$	366,684			$	320,663
J.G. Wentworth XXXVIII LLC Series 2017-1A, Class A
3.99%  (1)			08/16/60				179,071				157,409
MetroNet Infrastructure Issuer LLC
7.95%			04/20/53				850,000				866,203
Mosaic Solar Loan Trust Series 2021-1A, Class R
0.00%  (1),(7)			12/20/46				766,951				83,164
Mosaic Solar Loan Trust Series 2021-2A, Class R
0.00%  (1),(7)			04/22/47				1,150,000				44,198
Mosaic Solar Loan Trust Series 2021-3A, Class R
0.00%  (1),(7)			06/20/52				1,594,601				85,010
OCP CLO Ltd. Series 2021-21A, Class B
7.38% (3 mo. USD Term SOFR + 1.962%)  (1),(5)			07/20/34				400,000				400,610
OCP CLO Ltd. Series 2023-28A, Class D
10.77% (3 mo. USD Term SOFR + 5.350%)  (1),(5)			07/16/36				700,000				713,094
Park Avenue Institutional Advisers CLO Ltd. Series 2021-1A, Class A2
7.43% (3 mo. USD Term SOFR + 2.012%)  (1),(5)			01/20/34				420,000				419,873
Progress Residential Trust Series 2021-SFR7, Class E2
2.64%  (1)			08/17/40				1,451,000				1,178,514
Progress Residential Trust Series 2021-SFR8, Class G
4.01%  (1)			10/17/38				1,450,000				1,266,509
Progress Residential Trust Series 2021-SFR9, Class E1
2.81%  (1)			11/17/40				1,707,000				1,405,025
Rad CLO Ltd. Series 2023-22A, Class D
10.37% (3 mo. USD Term SOFR + 5.000%)  (1),(5)			01/20/37				350,000				356,457
Regatta XII Funding Ltd. Series 2019-1A, Class BR
7.26% (3 mo. USD Term SOFR + 1.862%)  (1),(5)			10/15/32				725,000				721,358
Rockford Tower CLO Ltd. Series 2017-2A, Class BR
7.16% (3 mo. USD Term SOFR + 1.762%)  (1),(5)			10/15/29				800,000				795,936
Rockford Tower CLO Ltd. Series 2020-1A, Class D
9.43% (3 mo. USD Term SOFR + 4.012%)  (1),(5)			01/20/32				600,000				598,980
Santander Consumer Auto Receivables Trust Series 2021-BA, Class R
0.00%  (1),(3)			03/15/29				5,000				767,843
Santander Consumer Auto Receivables Trust Series 2021-CA, Class R
0.00%  (1),(3)			06/15/28				5,500				507,121

Issues		Maturity Date				Principal Amount				Value
ASSET-BACKED SECURITIES (Continued)
SLC Student Loan Trust Series 2004-1, Class B
5.89% (90 day USD SOFR Average + 0.552%)  (5)			08/15/31			$	154,462			$	130,949
SLC Student Loan Trust Series 2006-1, Class B
5.82% (90 day USD SOFR Average + 0.472%)  (5)			03/15/55				219,395				181,689
SLM Student Loan EDC Repackaging Trust Series 2013-M1, Class M1R
0.00%  (1),(3)			10/28/29				1,000				423,449
SLM Student Loan Trust Series 2004-2, Class B
6.07% (90 day USD SOFR Average + 0.732%)  (5)			07/25/39				192,224				177,759
SLM Student Loan Trust Series 2005-9, Class B
5.90% (90 day USD SOFR Average + 0.562%)  (5)			01/25/41				286,988				260,364
SLM Student Loan Trust Series 2007-6, Class B
6.45% (90 day USD SOFR Average + 1.112%)  (5)			04/27/43				96,672				90,276
SLM Student Loan Trust Series 2007-7, Class B
6.35% (90 day USD SOFR Average + 1.012%)  (5)			10/27/70				150,000				135,401
SLM Student Loan Trust Series 2008-2, Class B
6.80% (90 day USD SOFR Average + 1.462%)  (5)			01/25/83				225,000				209,388
SLM Student Loan Trust Series 2008-3, Class B
6.80% (90 day USD SOFR Average + 1.462%)  (5)			04/26/83				225,000				212,527
SLM Student Loan Trust Series 2008-4, Class B
7.45% (90 day USD SOFR Average + 2.112%)  (5)			04/25/73				515,000				505,734
SLM Student Loan Trust Series 2008-5, Class B
7.45% (90 day USD SOFR Average + 2.112%)  (5)			07/25/73				260,000				256,175
SLM Student Loan Trust Series 2008-6, Class B
7.45% (90 day USD SOFR Average + 2.112%)  (5)			07/26/83				225,000				208,959
SLM Student Loan Trust Series 2008-7, Class B
7.45% (90 day USD SOFR Average + 2.112%)  (5)			07/26/83				305,000				285,145
Stratus CLO Ltd. Series 2021-3A, Class SUB
0.00%  (1),(6)			12/29/29				750,000				447,697

 

 

8

TCW Strategic Income Fund, Inc.

 

December 31, 2023

 

Issues		Maturity Date				Principal Amount				Value
ASSET-BACKED SECURITIES (Continued)
Structured Receivables Finance LLC Series 2010-A, Class B
7.61%  (1)			01/16/46			$	452,711			$	452,711
Structured Receivables Finance LLC Series 2010-B, Class B
7.97%  (1)			08/15/36				300,000				307,413
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				970,315
Textainer Marine Containers VII Ltd. Series 2021-2A, Class A
2.23%  (1)			04/20/46				1,235,067				1,104,150
TIF Funding II LLC Series 2021-1A, Class A
1.65%  (1)			02/20/46				1,165,603				993,788
Total Asset-backed Securities
(Cost: $40,535,184)											37,423,250
MORTGAGE-BACKED SECURITIES — 56.3%
Commercial Mortgage-backed Securities — Agency — 1.0%
Federal Home Loan Mortgage Corp. Multifamily PC REMICS Trust Series 2019-P002, Class X (I/O)
1.01%  (6)			07/25/33				1,295,000				100,087
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series K039, Class X3 (I/O)
2.10%  (6)			08/25/42				3,110,000				59,406
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				65,698
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				51,629
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				121,875
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series K726, Class X1 (I/O)
0.90%  (6)			04/25/24				7,473,270				5,427
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series K728, Class X3 (I/O)
1.99%  (6)			11/25/45				3,455,000				51,354
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				72,790
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				176,031

Issues		Maturity Date				Principal Amount				Value
Commercial Mortgage-backed Securities — Agency (Continued)
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series KC05, Class X1 (I/O)
1.22%  (6)			06/25/27			$	7,312,561			$	166,938
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series KIR1, Class X (I/O)
1.03%  (6)			03/25/26				8,017,993				150,760
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series KW01, Class X3 (I/O)
4.10%  (6)			03/25/29				690,000				52,452
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series Q010, Class XPT2 (I/O)
0.36%			08/25/24				878,584				1,644
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series Q013, Class XPT2 (I/O)
1.81%  (6)			05/25/27				2,823,418				81,917
Federal National Mortgage Association, Pool #AN3542
3.41%			11/01/46				1,060,987				898,454
Federal National Mortgage Association-Aces Series 2016-M11, Class X2 (ACES) (I/O)
3.05%  (6)			07/25/39				732,290				10,953
Federal National Mortgage Association-Aces Series 2019-M29, Class X4 (ACES) (I/O)
0.70%  (6)			03/25/29				7,900,000				217,937
Government National Mortgage Association Series 2009-114, Class IO (I/O)
0.01%  (6)			10/16/49				4,655,949				75
Government National Mortgage Association Series 2010-148, Class IO (I/O)
0.30%  (6)			09/16/50				4,855,897				48,765
Government National Mortgage Association Series 2011-105, Class IO (I/O)
0.00%  (6),(7)			09/16/51				3,405,072				4
Government National Mortgage Association Series 2011-152, Class IO (I/O)
0.00%  (6),(7)			08/16/51				1,192,233				19
Government National Mortgage Association Series 2012-139, Class IO (I/O)
0.56%  (6)			02/16/53				1,101,359				17,202
Government National Mortgage Association Series 2012-4, Class IO (I/O)
0.00%  (6),(7)			05/16/52				2,862,795				29
Government National Mortgage Association Series 2013-52, Class IO (I/O)
0.05%  (6)			02/16/55				6,213,893				3,418
Government National Mortgage Association Series 2014-103, Class IO (I/O)
0.19%  (6)			05/16/55				2,113,208				14,060

 

 

9

TCW Strategic Income Fund, Inc.

 

Schedule of Investments (Continued)

 

Issues		Maturity Date				Principal Amount				Value
Commercial Mortgage-backed Securities — Agency (Continued)
Government National Mortgage Association Series 2014-125, Class IO (I/O)
0.90%  (6)			11/16/54			$	1,339,370			$	29,591
Total Commercial Mortgage-backed Securities — Agency
(Cost: $5,965,663)											2,398,515
Commercial Mortgage-backed Securities — Non-Agency — 6.3%
BBCMS Mortgage Trust Series 2020-BID, Class D
10.11% (1 mo. USD Term SOFR + 4.744%)  (1),(5)			10/15/37				705,000				656,063
Benchmark Mortgage Trust Series 2019-B14, Class 225D
3.29%  (1),(6)			12/15/62				535,000				28,790
Benchmark Mortgage Trust Series 2020-IG3, Class BXC
3.54%  (1),(6)			09/15/48				555,000				440,225
BXHPP Trust Series 2021-FILM, Class C
6.58% (1 mo. USD Term SOFR + 1.214%)  (1),(5)			08/15/36				430,000				386,656
BXHPP Trust Series 2021-FILM, Class D
6.98% (1 mo. USD Term SOFR + 1.614%)  (1),(5)			08/15/36				515,000				448,463
BXP Trust Series 2017-GM, Class D
3.42%  (1),(6)			06/13/39				375,000				321,592
Citigroup Commercial Mortgage Trust Series 2014-GC21, Class XD (I/O)
1.35%  (1),(6)			05/10/47				4,710,600				13,784
Citigroup Commercial Mortgage Trust Series 2015-GC35, Class XA (I/O)
0.71%  (6)			11/10/48				6,189,975				62,578
COMM Mortgage Trust Series 2012-LC4, Class XB (I/O)
0.36%  (1),(6)			12/10/44				14,633,291				340
COMM Mortgage Trust Series 2013-CR12, Class XA (I/O)
0.72%  (6)			10/10/46				1,993,552				105
COMM Mortgage Trust Series 2014-CR18, Class XA (I/O)
0.91%  (6)			07/15/47				4,752,807				9,583
COMM Mortgage Trust Series 2014-CR21, Class XA (I/O)
0.83%  (6)			12/10/47				14,818,652				83,372
COMM Mortgage Trust Series 2020-CBM, Class XCP (I/O)
0.60%  (1),(6)			02/10/37				5,644,863				26,745
COMM Mortgage Trust Series 2020-CX, Class E
2.68%  (1),(6)			11/10/46				370,000				228,432
CSMC Trust Series 2020-FACT, Class F
11.88% (1 mo. USD Term SOFR + 6.521%)  (1),(5)			10/15/37				1,017,000				655,385

Issues		Maturity Date				Principal Amount				Value
Commercial Mortgage-backed Securities — Non-Agency (Continued)
Extended Stay America Trust Series 2021-ESH, Class F
9.18% (1 mo. USD Term SOFR + 3.814%)  (1),(5)			07/15/38			$	606,736			$	591,836
Frost CMBS DAC Series 2021-1A, Class EUE
7.99% (3 mo. EUR EURIBOR + 3.990%)  (1),(5)			11/20/33				741,028				713,308
Grace Trust Series 2020-GRCE, Class D
2.68%  (1),(6)			12/10/40				700,000				523,238
Grace Trust Series 2020-GRCE, Class F
2.68%  (1),(6)			12/10/40				376,000				243,315
Grace Trust Series 2020-GRCE, Class X (I/O)
0.30%  (1),(6)			12/10/40				10,620,000				184,909
GS Mortgage Securities Corp. Trust Series 2020-UPTN, Class XA (I/O)
0.35%  (1),(6)			02/10/37				3,150,000				8,944
GS Mortgage Securities Trust Series 2014-GC18, Class XB (I/O)
0.17%  (6)			01/10/47				66,563,000				61,631
GS Mortgage Securities Trust Series 2016-GS2, Class XA (I/O)
1.73%  (6)			05/10/49				4,036,432				118,204
Hudson Yards Mortgage Trust Series 2019-55HY, Class F
2.94%  (1),(6)			12/10/41				150,000				106,741
ILPT Trust Series 2019-SURF, Class A
4.15%  (1)			02/11/41				240,000				223,027
JPMBB Commercial Mortgage Securities Trust Series 2014-C24, Class XA (I/O)
0.82%  (6)			11/15/47				6,776,942				19,548
JPMBB Commercial Mortgage Securities Trust Series 2014-C21, Class XA (I/O)
0.89%  (6)			08/15/47				1,329,498				1,647
JPMBB Commercial Mortgage Securities Trust Series 2014-C23, Class XA (I/O)
0.58%  (6)			09/15/47				8,423,931				19,679
JPMBB Commercial Mortgage Securities Trust Series 2015-C29, Class XD (I/O)
0.50%  (1),(6)			05/15/48				26,458,000				161,355
JPMCC Commercial Mortgage Securities Trust Series 2017-JP5, Class XA (I/O)
0.81%  (6)			03/15/50				10,089,961				190,910
JPMorgan Chase Commercial Mortgage Securities Trust Series 2011-C3, Class XB (I/O)
0.39%  (1),(6)			02/15/46				49,379,247				122,009
JPMorgan Chase Commercial Mortgage Securities Trust Series 2013-LC11, Class XA (I/O)
0.94%  (6)			04/15/46				1,116,872				5,139
JPMorgan Chase Commercial Mortgage Securities Trust Series 2019-OSB, Class A
3.40%  (1)			06/05/39				585,000				527,251

 

 

10

TCW Strategic Income Fund, Inc.

 

December 31, 2023

 

Issues		Maturity Date				Principal Amount				Value
Commercial Mortgage-backed Securities — Non-Agency (Continued)
Manhattan West Mortgage Trust Series 2020-1MW, Class A
2.13%  (1)			09/10/39			$	695,000			$	614,190
Med Trust Series 2021-MDLN, Class G
10.73% (1 mo. USD Term SOFR + 5.364%)  (1),(5)			11/15/38				666,800				637,409
MFT Mortgage Trust Series 2020-B6, Class C
3.28%  (1),(6)			08/10/40				220,000				126,031
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C22, Class XA (I/O)
1.00%  (6)			04/15/48				8,044,165				56,943
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C24, Class XA (I/O)
0.68%  (6)			05/15/48				8,772,659				67,940
Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C31, Class XA (I/O)
1.26%  (6)			11/15/49				6,219,063				158,394
Natixis Commercial Mortgage Securities Trust Series 2019-FAME, Class D
4.40%  (1),(6)			08/15/36				835,000				499,628
Roseville Ltd.
8.61%  (4)			03/29/25				605,000				603,790
SFAVE Commercial Mortgage Securities Trust Series 2015-5AVE, Class A2A
3.66%  (1),(6)			01/05/43				805,000				596,001
SFAVE Commercial Mortgage Securities Trust Series 2015-5AVE, Class D
4.39%  (1),(6)			01/05/43				880,000				414,346
SMRT Commercial Mortgage Trust Series 2022-MINI, Class E
8.06% (1 mo. USD Term SOFR + 2.700%)  (1),(5)			01/15/39				1,005,000				947,472
Taurus U.K. DAC Series 2021-UK1X, Class E
8.87% (Sterling Overnight Index Average + 3.650%)  (5),(9)			05/17/31				665,115				808,727
UBS Commercial Mortgage Trust Series 2017-C5, Class XA (I/O)
1.07%  (6)			11/15/50				5,642,426				163,285
VASA Trust Series 2021-VASA, Class B
6.73% (1 mo. USD Term SOFR + 1.364%)  (1),(5)			07/15/39				1,000,000				799,456
Vita Scientia DAC Series 2022-1X, Class D
6.45% (3 mo. EUR EURIBOR + 2.490%)  (5),(9)			02/27/33				1,500,000				1,439,322
WFRBS Commercial Mortgage Trust Series 2013-C14, Class XA (I/O)
0.35%  (6)			06/15/46				253,305				477

Issues

Maturity Date

Principal Amount

Value

Commercial Mortgage-backed Securities — Non-Agency (Continued)

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

0.83%  (6)

11/15/47

$

5,038,142

$

16,101

Total Commercial Mortgage-backed Securities — Non-Agency

(Cost: $21,910,848)

15,134,316

Residential Mortgage-backed Securities — Agency — 20.8%

Federal Home Loan Mortgage Corp. REMICS Series 1673, Class SD (I/F) (PAC)

9.70% (-10 yr. CMT + 19.391%)  (5)

02/15/24

118

118

Federal Home Loan Mortgage Corp. REMICS Series 1760, Class ZD

4.00% (10 yr. CMT - 0.500%)  (5)

02/15/24

255

255

Federal Home Loan Mortgage Corp. REMICS Series 3122, Class SG (I/O) (I/F) (TAC) (P

0.18% (-30 day USD SOFR Average + 5.516%)  (5)

03/15/36

1,174,426

76,771

Federal Home Loan Mortgage Corp. REMICS Series 3239, Class SI (I/O) (I/F) (PAC)

1.20% (-30 day USD SOFR Average + 6.536%)  (5)

11/15/36

263,339

31,570

Federal Home Loan Mortgage Corp. REMICS Series 3323, Class SA (I/O) (I/F)

0.66% (-30 day USD SOFR Average + 5.996%)  (5)

05/15/37

47,753

2,670

Federal Home Loan Mortgage Corp. REMICS Series 3459, Class JS (I/O) (I/F)

0.80% (-30 day USD SOFR Average + 6.136%)  (5)

06/15/38

80,511

7,604

Federal Home Loan Mortgage Corp. REMICS Series 4030, Class HS (I/O) (I/F)

1.16% (-30 day USD SOFR Average + 6.496%)  (5)

04/15/42

469,284

50,668

Federal National Mortgage Association REMICS Series 2007-42, Class SE (I/O) (I/F)

0.66% (-30 day USD SOFR Average + 5.996%)  (5)

05/25/37

39,067

2,975

Federal National Mortgage Association REMICS Series 2007-48, Class SD (I/O) (I/F)

0.65% (-30 day USD SOFR Average + 5.986%)  (5)

05/25/37

677,023

54,139

Federal National Mortgage Association REMICS Series 2009-69, Class CS (I/O) (I/F)

1.30% (-30 day USD SOFR Average + 6.636%)  (5)

09/25/39

118,276

12,221

 

 

11

TCW Strategic Income Fund, Inc.

 

Schedule of Investments (Continued)

 

Issues		Maturity Date				Principal Amount				Value
Residential Mortgage-backed Securities — Agency (Continued)
Government National Mortgage Association REMICS Series 2006-35, Class SA (I/O) (I/F)
1.13% (-1 mo. USD Term SOFR + 6.486%)  (5)			07/20/36			$	773,125			$	69,534
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				1,032,592				26,731
Government National Mortgage Association REMICS Series 2008-58, Class TS (I/O) (I/F) (TAC)
0.93% (-1 mo. USD Term SOFR + 6.286%)  (5)			05/20/38				395,233				8,919
Government National Mortgage Association REMICS Series 2014-118, Class ST
0.13% (-1 mo. USD Term SOFR + 5.486%)  (5)			08/20/44				4,085,351				318,256
Government National Mortgage Association REMICS Series 2016-153, Class IO (I/O)
3.50%			11/20/46				1,304,554				228,303
Government National Mortgage Association, TBA
5.00%  (10)			05/01/53				3,025,000				3,007,577
4.50%  (10)			05/01/53				1,275,000				1,244,523
5.50%  (10)			06/01/53				1,850,000				1,862,136
Uniform Mortgage-Backed Security, TBA
2.00%  (10)			12/01/51				9,475,000				7,745,812
2.50%  (10)			12/01/51				10,300,000				8,775,922
3.00%  (10)			02/01/52				2,750,000				2,432,998
3.50%  (10)			03/01/52				2,575,000				2,360,901
4.00%  (10)			05/01/52				10,050,000				9,506,695
5.00%  (10)			03/01/53				5,875,000				5,813,037
5.50%  (10)			04/01/53				1,500,000				1,506,563
4.50%  (10)			04/01/53				5,100,000				4,949,388
Total Residential Mortgage-backed Securities — Agency
(Cost: $55,073,446)											50,096,286
Residential Mortgage-backed Securities — Non-Agency — 28.2%
ABFC Trust Series 2007-NC1, Class A2
5.77% (1 mo. USD Term SOFR + 0.414%)  (1),(5)			05/25/37				750,398				698,909
ACE Securities Corp. Home Equity Loan Trust Series 2004-IN1, Class A1
6.11% (1 mo. USD Term SOFR + 0.754%)  (5)			05/25/34				314,912				292,097
ACE Securities Corp. Home Equity Loan Trust Series 2007-ASP1, Class A2C
5.99% (1 mo. USD Term SOFR + 0.634%)  (5)			03/25/37				1,163,602				475,618

Issues		Maturity Date				Principal Amount				Value
Residential Mortgage-backed Securities — Non-Agency (Continued)
Adjustable Rate Mortgage Trust Series 2005-4, Class 6A22
4.79%  (6),(11)			08/25/35			$	326,214			$	280,276
Ajax Mortgage Loan Trust Series 2019-F, Class A2
3.50%  (1)			07/25/59				1,300,000				1,213,384
Asset-Backed Securities Corp. Home Equity Loan Trust Series 2006-HE3, Class A5
2.92% (1 mo. USD Term SOFR + 0.654%)  (5)			03/25/36				812,299				782,646
Asset-Backed Securities Corp. Home Equity Loan Trust Series 2007-HE1, Class A1B
3.92% (1 mo. USD Term SOFR + 0.414%)  (5)			12/25/36				265,576				250,564
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				289,087				234,295
Banc of America Funding Trust Series 2006-3, Class 4A14
6.00%  (11)			03/25/36				134,724				108,900
Banc of America Funding Trust Series 2006-3, Class 5A3
5.50%  (11)			03/25/36				88,702				77,904
Banc of America Funding Trust Series 2015-R4, Class 2A1
5.66% (1 mo. USD Term SOFR + 0.319%)  (1),(5)			02/25/37				243,484				239,208
BCMSC Trust Series 2000-A, Class A4
8.29%  (6)			06/15/30				3,316,690				423,118
Bear Stearns ALT-A Trust Series 2005-3, Class 4A3
4.20%  (6)			04/25/35				174,669				170,564
Bear Stearns ARM Trust Series 2003-7, Class 9A
5.68%  (6)			10/25/33				186,065				169,357
Bear Stearns ARM Trust Series 2005-9, Class A1
7.67% (1 yr. CMT + 2.300%)  (5)			10/25/35				97,386				91,509
Bear Stearns ARM Trust Series 2007-4, Class 22A1
4.07%  (6),(11)			06/25/47				517,493				465,175
Bear Stearns Asset-Backed Securities I Trust Series 2005-AC6, Class 1A3
5.50%  (6)			09/25/35				263,284				252,301
Bear Stearns Asset-Backed Securities I Trust Series 2006-IM1, Class A1
5.93% (1 mo. USD Term SOFR + 0.574%)  (5),(11)			04/25/36				69,910				67,772