ANNUAL REPORT€¦ · TCW Strategic Income Fund, Inc. Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of

DECEMBER 31

A N N U A LR E P O R T

TCW Strategic Income Fund, Inc.

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of theFund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of thereports. Instead, the reports will be made available on the Fund’s website (www.tcw.com), and you will be notified by mail each time areport is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take anyaction. You may elect to receive shareholder reports and other communications from the Fund or your financial intermediaryelectronically by contacting your financial intermediary (such as a broker-dealer or bank) if you invest through a financial intermediary, orby calling 1-800-FUND-TCW (1-800-386-3829) if you invest directly with the Fund.

Beginning on January 1, 2019, you may elect to receive all future reports in paper free of charge. You can call 1-800-FUND-TCW(1-800-386-3829), if you invest directly with the Fund, or contact your financial intermediary, if you invest though a financial intermediary,to inform the Fund or the financial intermediary that you wish to continue receiving paper copies of your shareholder reports. Yourelection to receive reports in paper will apply to all funds held directly with TCW or through your financial intermediary.

To Our Valued Shareholders

David S. DeVitoPresident, Chief Executive Officer and Director

Dear Valued Shareholder:

TCW is pleased to present the 2019 annual report for the TCW Strategic Income Fund (“TSI” or the “Fund”). TSI is a multi-asset classclosed-end fund managed by TCW Investment Management Company and is listed on the New York Stock Exchange under the tickerTSI. For 2019, shares of TSI experienced a positive 17.14% return while the Fund’s net asset value (i.e., returns of the underlyingassets) increased by 8.37%. For reference, TSI’s customized benchmark, a construct that is 25% high yield, 15% equities,15% convertible bonds, and 45% U.S. Aggregate Bond Index, gained 15.54% in 2019. While the underlying assets trailed thebenchmark, the Fund’s one-year price based return was higher than the NAV based return as the share price moved from a discount toNAV of 6.7% at the start of the year to a premium of 0.7%. Annualized price based performance over longer periods remained aheadof the Fund’s benchmark.

In 2019, the TSI Fund paid quarterly dividends of 7.68 cents per share in the first quarter, 8.25 cents per share in the second quarter,8.37 cents per share in the third quarter, and 10.32 cents per share in the fourth quarter, as well as a short and a long term capital gainsdistribution of 2.46 cents per share and 1.55 cents per share, respectively. This represents an annualized rate of approximately 39 centsper share, contributing to a realized 12-month trailing yield of 6.70%, as of 12/31/2019. Of course, since yield is a function of a numberof parameters, the go-forward yield of TSI will differ from the trailing figure.

Fund Performance

Annualized Total Return as of December 31, 2019

YTD 1 Year 3 Year 5 Year 10 YearSince

3/1/06(2)Since

3/5/87(3)

Price Based Return +17.14% +17.14% +9.41% +7.28% +11.30% +10.38% +8.32%NAV Based Return +8.37% +8.37% +5.80% +4.69% +9.80% +8.86% +8.42%Custom Benchmark(1) +15.54% +15.54% +7.47% +5.95% +7.14% +6.46% n/a

(1) Custom Benchmark Index: 15% S&P 500 Total Return Index, 15% ICE BofAML U.S. Convertibles Index, 45% Bloomberg Barclays U.S. Aggregate Bond Index, 25% FTSE High Yield CashPay Index.

(2) The date on which the Fund’s investment objective changed to a multi-asset class fund. Prior to this date, the Fund primarily invested in convertible securities.(3) Inception date of the Fund.

Past performance is no guarantee of future results. Current performance may be lower or higher than that quoted. The market value and net asset value of the Fund’s shares will fluctuate with marketconditions. Returns shown do not reflect the deduction of taxes that a shareholder would pay on the Fund’s distributions. You should not draw any conclusions about the Fund’s performance from theamount of the quarterly distribution or from the terms of the Fund’s distribution policy.

Management Commentary

TCW manages the Fund according to a full cycle discipline. Effectively, this means that our management style opportunisticallyincreases the level of risk taking in the early years of an asset price/credit cycle. In the latter stages of the cycle, our proclivity is toreduce risk, which naturally also has the tendency to pull down the overall yield of the portfolio. TCW does judge the cycle to be in itslater stages currently and hence, the portfolio has been actively de-risked across a number of different dimensions, resulting in adefensive posture to (1) protect the capital position and (2) provide liquidity for opportunistic deployment.

This value-oriented approach allowed the Fund to take advantage of sudden spread widening in December 2018 that was aconsequence of tight liquidity conditions and fears of slowing growth. As markets remediated in the first part of 2019 in the wake of adovish turn in central bank rhetoric, there were opportunities to trim selectively. Over the remainder of the year, high conviction namesin the food and beverage and healthcare space were added, while financials were trimmed, particularly banking as yield premiumsdeclined. Outside of the corporate space, a small adjustment was made to securitized products holdings with an incremental additionof non-Agency CMBS IO bonds.

Late cycle concerns remain the dominant theme informing Fund strategy, as risk markets pin hopes on continued support from dovishcentral banks to buoy asset prices, even though underlying fundamentals continue to weaken. Consistent trends that indicate growingrisks include:

1. High and rising leverage within the corporate debt sector

2. Deteriorating underwriting standards

3. Credit spreads at the tight end of the historical range provide scant compensation for rising risks

4. Challenged global growth, with numerous sources of downside volatility such as ongoing trade uncertainty, U.S. elections,Brexit, a slowdown and bank bailouts in China, and geopolitical tensions in the Middle East

1

With the easing profile following late 2018’s significant volatility, the Fed appears, in action if not necessarily by mission statement, verywilling to support markets. However, even monetary policy has limits, particularly in the face of late-cycle challenges. Furthermore, theFed’s 2019 dovish policy stance does not alter the underlying fundamental picture and thus is unlikely to serve as a catalyst for a broader,sustained rebound in economic activity. As such, Fund positioning remains defensive, with minimal exposure to the more vulnerable(i.e., “breakable”) issuers and industries. Holdings emphasize communications and consumer non-cyclicals such as pharmaceuticals,healthcare, or food and beverage, and have moved towards higher conviction names given idiosyncratic opportunities that arosethroughout the year. Exposure to banking was reduced over the course of 2019 as yield premiums came down, consistent with our valuediscipline, and the Fund is positioned to add opportunistically during bouts of volatility when prices look relatively more attractive.Outside of credit, senior parts of the securitized markets still offer opportunities for attractive risk-adjusted returns, though we remainvigilant to pockets of looser underwriting standards, particularly in current vintage CMBS, with a focus instead on agency-backed issues.Residential MBS also remains an area to pick up relatively reliable yield, particularly in the legacy non-Agency MBS space, which continuesto present attractive risk-adjusted return potential despite a shrinking market. Agency MBS offers better liquidity characteristics, but thereis risk as the Fed continues to shrink its position, therefore exposure is minimal. Finally, the Fund’s ABS position is focused on super-senior issues backed by government-guaranteed student loan collateral and high quality CLOs. Finally, as Treasuries rallied over the pastyear, duration was trimmed from 2.2 years to approximately 1.8 years.

Portfolio Positioning

SECTOR ALLOCATION

MBS 51.42%

CB 26.16%

MUNI 1.75%FGB 1.29%

MM 7.55% ST 0.26%

ABS 11.57%

Asset-backed Securities (ABS)Mortgage-backed Securities (MBS)Corporate Bonds (CB)Municipal Bonds (MUNI)U.S. Treasury Securities (UST)Foreign Government Bonds (FGB)Money Market Investments (MM)Short Term Investments (ST)

MBS ALLOCATION

CMBS NON-AGENCY 9.65%

RMBS NON-AGENCY 75.25%

RMBS AGENCY 1.96%

CMBS AGENCY 13.14%

Commercial Mortgage-Backed Securities (CMBS)Residential Mortgage-Backed Securities (RMBS)

Modest leverage can be utilized by the TSI Fund through a Line of Credit facility, though the Fund does not currently use any of theavailable $70 million commitment. Leverage may return to the Fund when market opportunity is more abundant and managementdeems the use of leverage is accretive to returns.We greatly appreciate your investment in the Fund and your continuing support of TCW. If you have any additional questions orcomments, we invite you to visit our web site at www.tcw.com or contact our shareholder services department at 1-866-227-8179, [email protected],

David S. DeVitoPresident, Chief Executive Officer and DirectorThe views expressed in this report reflect those of the Fund’s Advisor as of the date this is written and may not reflect its views on the date this report is firstpublished or anytime thereafter. These views are intended to assist shareholders in understanding the Fund’s investment methodology and do not constituteinvestment advice. This report may contain discussions about investments that may or may not be held by the Fund as of the date of this report. All currentand future holdings are subject to risk and to change. To the extent this report contains forward looking statements, unforeseen circumstances may causeactual results to differ materially from the views expressed as of the date this is written.

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TCW Strategic Income Fund, Inc.Schedule of Investments December 31, 2019

IssuesMaturity

DatePrincipalAmount Value

FIXED INCOME SECURITIES — 93.9% of Net AssetsASSET-BACKED SECURITIES — 11.8%321 Henderson Receivables LLC (17-1A-A)

3.99% (1) 08/16/60 $ 231,130 $ 247,099AMUR Finance I LLC (13-1)

10.00% (2),(3) 01/25/22 776,156 170,754AMUR Finance I LLC (13-2)

10.00% (2),(3) 03/20/24 370,297 78,503Babson CLO, Ltd. (13-IA-AR)

2.77% (3 mo. USDLIBOR + 0.800%) (1),(4) 01/20/28 640,000 639,683

Babson CLO, Ltd. (16-2A-AR)3.05% (3 mo. USD

LIBOR + 1.080%) (1),(4) 07/20/28 650,000 650,318Barings CLO, Ltd. (18-3A-A1)

2.92% (3 mo. USDLIBOR + 0.950%) (1),(4) 07/20/29 675,000 674,081

Bayview Commercial Asset Trust (03-2-A)2.66% (1 mo. USD

LIBOR + 0.870%) (1),(4) 12/25/33 369,051 359,161Bayview Commercial Asset Trust (04-1-A)

2.33% (1 mo. USDLIBOR + 0.540%) (1),(4) 04/25/34 329,616 328,154

Bayview Commercial Asset Trust (04-2-A)2.22% (1 mo. USD

LIBOR + 0.430%) (1),(4) 08/25/34 320,901 316,376Bayview Commercial Asset Trust (04-3-A1)

2.35% (1 mo. USDLIBOR + 0.555%) (1),(4) 01/25/35 162,555 161,842

BlueMountain CLO, Ltd. (13-1A-A1R2)3.20% (3 mo. USD

LIBOR + 1.230%) (1),(4) 01/20/29 1,400,000 1,400,350Brazos Higher Education Authority, Inc. (10-1-A2)

3.11% (3 mo. USDLIBOR + 1.200%) (4) 02/25/35 2,200,000 2,196,714

CIT Education Loan Trust (07-1-A)2.04% (3 mo. USD

LIBOR + 0.090%) (1),(4) 03/25/42 663,473 636,404Corevest American Finance Trust (19-1-XA) (I/O)

2.16% (1),(5) 03/15/52 1,902,425 172,823Education Loan Asset-Backed Trust I (13-1-A2)

2.59% (1 mo. USDLIBOR + 0.800%) (1),(4) 04/26/32 1,260,000 1,251,338

EFS Volunteer No 2 LLC (12-1-A2)3.14% (1 mo. USD

LIBOR + 1.350%) (1),(4) 03/25/36 1,433,218 1,445,927GCO Education Loan Funding Master Trust II

(06-2AR-A1RN)2.36% (1 mo. USD

LIBOR + 0.650%) (1),(4) 08/27/46 2,024,394 1,931,143Global SC Finance SRL (14-1A-A2)

3.09% (1) 07/17/29 199,375 199,270

IssuesMaturity


ASSET-BACKED SECURITIES (Continued)Goal Capital Funding Trust (06-1-B)

2.36% (3 mo. USDLIBOR + 0.450%) (4) 08/25/42 $ 232,826 $ 214,643

GoldenTree Loan Opportunities IX, Ltd. (14-9A-AR2)3.04% (3 mo. USD

LIBOR + 1.110%) (1),(4) 10/29/29 1,400,000 1,400,490Higher Education Funding I (14-1-A)

2.96% (3 mo. USDLIBOR + 1.050%) (1),(4) 05/25/34 510,530 510,755

LCM XXI LP (21A-AR)2.85% (3 mo. USD

LIBOR + 0.880%) (1),(4) 04/20/28 1,100,000 1,099,065Madison Park Funding, Ltd. (18-30A-A)

2.75% (3 mo. USDLIBOR + 0.750%) (1),(4) 04/15/29 1,400,000 1,391,530

Magnetite VII, Ltd. (12-7A-A1R2)2.80% (3 mo. USD

LIBOR + 0.800%)(1),(4) 01/15/28 410,000 409,144Nelnet Student Loan Trust (14-4A-A2)

2.74% (1 mo. USDLIBOR + 0.950%) (1),(4) 11/25/48 575,000 564,532

Neuberger Berman CLO XVI-S, Ltd. (17-16SA-A)2.85% (3 mo. USD

LIBOR + 0.850%) (1),(4) 01/15/28 1,400,000 1,399,363North Carolina State Education Assistance Authority

(11-1-A3)2.84% (3 mo. USD

LIBOR + 0.900%) (4) 10/25/41 1,720,219 1,706,143Riserva Clo, Ltd. (16-3A-AR)

3.14% (3 mo. USDLIBOR + 1.140%) (1),(4) 10/18/28 1,400,000 1,400,490

Scholar Funding Trust (12-B-A2)2.90% (1 mo. USD

LIBOR + 1.100%) (1),(4) 03/28/46 714,354 710,416SLC Student Loan Trust (04-1-B)

2.20% (3 mo. USDLIBOR + 0.290%) (4) 08/15/31 318,784 285,860

SLC Student Loan Trust (06-1-B)2.10% (3 mo. USD

LIBOR + 0.210%) (4) 03/15/55 417,047 381,452SLM Student Loan Trust (04-2-B)

2.41% (3 mo. USDLIBOR + 0.470%) (4) 07/25/39 355,039 328,598

SLM Student Loan Trust (05-9-B)2.24% (3 mo. USD

LIBOR + 0.300%) (4) 01/25/41 426,759 397,253SLM Student Loan Trust (06-8-A6)

2.10% (3 mo. USDLIBOR + 0.160%) (4) 01/25/41 1,400,000 1,328,622


LIBOR + 0.850%) (4) 04/27/43 136,329 127,981

See accompanying Notes to Financial Statements.3

TCW Strategic Income Fund, Inc.Schedule of Investments (Continued)

IssuesMaturity


ASSET-BACKED SECURITIES (Continued)SLM Student Loan Trust (07-7-B)

2.69% (3 mo. USDLIBOR + 0.750%) (4) 10/27/70 $ 150,000 $ 140,873



3.14% (3 mo. USDLIBOR + 1.200%) (4) 04/26/83 225,000 214,401



3.79% (3 mo. USDLIBOR + 1.850%) (4) 07/25/73 260,000 255,942



3.79% (3 mo. USDLIBOR + 1.850%) (4) 07/26/83 305,000 295,921



4.19% (3 mo. USDLIBOR + 2.250%) (4) 10/25/83 260,000 262,255

Store Master Funding I-VII (19-1-A2)3.65% (1) 11/20/49 838,559 839,438

Structured Receivables Finance LLC (10-A-B)7.61% (1) 01/16/46 595,581 689,946

Structured Receivables Finance LLC (10-B-B)7.97% (1) 08/15/36 356,783 419,092

Student Loan Consolidation Center (02-2-B2)0.00% (28 day Auction

Rate) (1),(2),(4) 07/01/42 1,250,000 1,170,995Vermont Student Assistance Corp. (12-1-A)

2.51% (1 mo. USDLIBOR + 0.700%) (4) 07/28/34 221,853 219,113

Total Asset-backed Securities(Cost: $32,340,741) 32,223,097

MORTGAGE-BACKED SECURITIES — 52.4%Commercial Mortgage-backed Securities — Agency — 6.9%Fannie Mae, Pool #AN9619

3.77% 06/01/33 830,000 916,560Fannie Mae, Pool #AN9420

3.77% 07/01/43 629,238 697,858Fannie Mae (11-M5-A2) (ACES)(I/O)

1.09% (5) 07/25/21 4,434,987 63,240Fannie Mae (16-M11-AL)

2.94% 07/25/39 740,874 745,902

IssuesMaturity


Commercial Mortgage-backed Securities — Agency (Continued)Fannie Mae (16-M11-X2) (I/O)

2.72% (5) 07/25/39 $ 4,306,333 $ 135,807Fannie Mae (19-M24-A1)

2.38% 03/25/29 1,349,486 1,350,070Fannie Mae, Pool #AN3542

3.41% 11/01/46 1,156,201 1,156,343Freddie Mac, Pool #WA3303

3.83% 05/01/35 1,383,852 1,512,055Freddie Mac Multifamily Structured Pass-Through

Certificates (K093-XAM) (I/O)1.19% (5) 05/25/29 3,205,000 322,734

Freddie Mac Multifamily Structured Pass-ThroughCertificates (Q010-APT1)2.80% (5) 04/25/46 1,227,766 1,237,680

Freddie Mac Multifamily Structured Pass-ThroughCertificates (Q010-APT2)2.84% (5) 12/25/47 639,760 646,496

Freddie Mac Multifamily Structured Pass-ThroughCertificates (K015-X3) (I/O)2.81% (5) 08/25/39 4,000,000 169,827













TCW Strategic Income Fund, Inc.Schedule of Investments (Continued) December 31, 2019

IssuesMaturity


Commercial Mortgage-backed Securities — Agency (Continued)Freddie Mac Multifamily Structured Pass-Through

Certificates (K736-X1) (I/O)1.31% (5) 07/25/26 $ 4,449,651 $ 319,378

Freddie Mac Multifamily Structured Pass-ThroughCertificates (K736-XAM) (I/O)1.71% (5) 07/25/26 3,900,000 395,672

Freddie Mac Multifamily Structured Pass-ThroughCertificates (KC07-X1) (I/O)0.85% (5) 09/25/26 7,000,000 276,742

Freddie Mac Multifamily Structured Pass-ThroughCertificates (KIR1-X) (I/O)1.07% (5) 03/25/26 4,551,927 255,670

Freddie Mac Multifamily Structured Pass-ThroughCertificates (KJ26-A1)2.14% 07/25/25 1,719,898 1,714,240

Freddie Mac Multifamily Structured Pass-ThroughCertificates (KLU2-X1) (I/O)1.16% (5) 08/25/29 5,000,000 377,895

Freddie Mac Multifamily Structured Pass-ThroughCertificates (KS11-XFX) (I/O)1.60% (5) 06/25/29 2,290,000 275,450

Freddie Mac Multifamily Structured Pass-ThroughCertificates (Q004-A2H)2.98% (5) 01/25/46 674,622 678,685

Freddie Mac Multifamily Structured Pass-ThroughCertificates (Q006-APT1)2.63% (5) 07/25/26 1,185,305 1,181,839

Freddie Mac Multifamily Structured Pass-ThroughCertificates (Q010-XPT2) (I/O)0.36% 08/25/24 8,576,491 98,468

Ginnie Mae (08-92-E)5.56% (5) 03/16/44 443,469 454,566

Ginnie Mae (09-114-IO) (I/O)0.00% (5) 10/16/49 8,417,344 101

Ginnie Mae (10-148-IO) (I/O)1.18% (5) 09/16/50 16,416,686 353,840

Ginnie Mae (11-10-IO) (I/O)0.07% (5) 12/16/45 9,656,297 20,590

Ginnie Mae (11-105-IO) (I/O)0.00% (5),(2) 09/16/51 8,526,732 31,379

Ginnie Mae (11-152-IO) (I/O)0.30% (5) 08/16/51 3,758,485 26,765

Ginnie Mae (11-42-IO) (I/O)0.00% (5),(2) 08/16/50 15,560,372 43,432

Ginnie Mae (12-4-IO) (I/O)0.12% (5) 05/16/52 10,406,793 56,256

Ginnie Mae (14-103-IO) (I/O)0.55% (5) 05/16/55 5,651,992 147,546

Ginnie Mae (14-125-IO) (I/O)0.96% (5) 11/16/54 6,359,780 361,079

Ginnie Mae (16-22-IX) (I/O)1.29% (5) 06/16/38 453,647 75,914

Total Commercial Mortgage-backed Securities —Agency

(Cost: $20,867,554) 18,815,393

IssuesMaturity


Commercial Mortgage-backed Securities — Non-Agency — 5.1%1345 Avenue of the Americas & Park Avenue Plaza Trust

(05-1-A3)5.28% (1) 08/10/35 $ 600,000 $ 658,272

BAMLL Commercial Mortgage Securities Trust(11-FSHN-A)4.42% (1) 07/11/33 300,000 309,904

BAMLL Commercial Mortgage Securities Trust(16-ISQ-A)2.85% (1) 08/14/34 195,000 196,949

BAMLL Commercial Mortgage Securities Trust(18-PARK-A)4.09% (1),(5) 08/10/38 590,000 649,748

Benchmark Mortgage Trust (19-B15-XA) (I/O)0.95% (5) 12/15/72 4,350,000 277,768

BX Trust (19-OC11-A)3.20% (1) 12/09/41 135,000 138,857

CALI Mortgage Trust (19-101C-A)3.96% (1) 03/10/39 680,000 743,144

Citigroup Commercial Mortgage Trust (12-GC8-XA) (I/O)1.77% (1),(5),(6) 09/10/45 3,178,026 121,880

COMM Mortgage Trust (12-LC4-XB) (I/O)0.54% (1),(5) 12/10/44 18,671,016 213,012

COMM Mortgage Trust (13-CR13-XA) (I/O)0.77% (5) 11/10/46 5,230,532 137,256


COMM Mortgage Trust (13-LC13-XA) (I/O)1.13% (5) 08/10/46 8,386,404 285,890



CPT Mortgage Trust (19-CPT-A)2.87% (1) 11/13/39 525,000 528,637

Credit Suisse Commercial Mortgage Trust (07-C2-AJ)5.64% (5) 01/15/49 17,822 17,949

DC Office Trust (19-MTC-A)2.97% (1) 09/15/45 550,000 558,232

Four Times Square Trust Commercial Mortgage Pass-Through Certificates (06-4TS-X) (I/O)0.18% (1),(5),(6) 12/13/28 51,369,419 96,236

GS Mortgage Securities Trust (11-GC3-X) (I/O)0.66% (1),(5) 03/10/44 16,214,304 73,722

GS Mortgage Securities Trust (12-GC6-XB) (I/O)0.20% (1),(5),(6) 01/10/45 17,397,372 74,602

GS Mortgage Securities Trust (14-GC18-A3)3.80% 01/10/47 912,859 949,394

GS Mortgage Securities Trust (14-GC18-XB) (I/O)0.11% (5) 01/10/47 66,563,000 414,937

Hudson Yards Mortgage Trust (19-30HY-A)3.23% (1) 07/10/39 560,000 584,491

Hudson Yards Mortgage Trust (19-55HY-A)3.04% (1) 12/10/41 550,000 559,926



IssuesMaturity


Commercial Mortgage-backed Securities — Non-Agency (Continued)Hudson Yards Mortgage Trust (19-55HY-F)

3.04% (1),(5) 12/10/41 $ 150,000 $ 132,841JPMBB Commercial Mortgage Securities Trust

(14-C24-XA) (I/O)0.93% (5) 11/15/47 8,164,888 247,775

JPMBB Commercial Mortgage Securities Trust(14-C21-XA) (I/O)1.00% (5) 08/15/47 1,915,692 68,763

JPMorgan Chase Commercial Mortgage Securities Trust(11-C3-XB) (I/O)0.49% (1),(5) 02/15/46 53,641,794 310,404

JPMorgan Chase Commercial Mortgage Securities Trust(12-HSBC-XA) (I/O)1.43% (1),(5),(6) 07/05/32 4,477,894 141,361

JPMorgan Chase Commercial Mortgage Securities Trust (12-LC9-XA)(I/O)1.51% (5) 12/15/47 7,042,770 245,257

JPMorgan Chase Commercial Mortgage Securities Trust(13-LC11-XA) (I/O)1.26% (5) 04/15/46 3,012,118 105,328

JPMorgan Chase Commercial Mortgage Securities Trust(19-OSB-A)3.40% (1) 06/05/39 275,000 288,320

Morgan Stanley Capital I Trust (12-C4-XA) (I/O)2.07% (1),(5),(6) 03/15/45 5,452,297 187,387

Natixis Commercial Mortgage Securities Trust (17-75B-A)3.86% (1) 04/10/37 350,000 370,890

SFAVE Commercial Mortgage Securities Trust(15-5AVE-A2A)3.66% (1),(5) 01/05/43 390,000 412,754

SFAVE Commercial Mortgage Securities Trust(15-5AVE-A2B)4.14% (1),(5) 01/05/43 155,000 161,172

UBS Commercial Mortgage Trust (12-C1-XA) (I/O)2.08% (1),(5),(6) 05/10/45 5,291,178 200,365

UBS-Barclays Commercial Mortgage Trust (12-C3-XA) (I/O)1.82% (1),(5) 08/10/49 13,716,201 566,083

VNDO Mortgage Trust (12-6AVE-A)3.00% (1) 11/15/30 280,000 285,167

Wells Fargo Commercial Mortgage Trust (12-LC5-XA) (I/O)1.76% (1),(5) 10/15/45 5,563,030 215,838

WFRBS Commercial Mortgage Trust (12-C8-XA) (I/O)1.81% (1),(5),(6) 08/15/45 4,387,845 158,618

WFRBS Commercial Mortgage Trust (12-C9-XA) (I/O)1.90% (1),(5) 11/15/45 2,586,707 112,535

WFRBS Commercial Mortgage Trust (13-C14-XA) (I/O)0.73% (5) 06/15/46 8,767,231 172,665

IssuesMaturity


Commercial Mortgage-backed Securities — Non-Agency (Continued)WFRBS Commercial Mortgage Trust (14-C24-XA) (I/O)

0.84% (5) 11/15/47 $ 5,553,233 $ 175,854WFRBS Commercial Mortgage Trust (14-LC14-XA) (I/O)

1.22% (5) 03/15/47 10,905,988 419,636

Total Commercial Mortgage-backed Securities —Non-Agency

(Cost: $16,652,263) 13,813,438

Residential Mortgage-backed Securities — Agency — 1.0%Fannie Mae (04-53-QV) (I/O) (I/F)

1.59% (1 mo. USDLIBOR + 7.590%) (4) 02/25/34 871,472 13,008

Fannie Mae (07-42-SE) (I/O) (I/F)4.32% (-1.00 x 1 mo. USD

LIBOR + 6.110%) (4) 05/25/37 132,920 17,626Fannie Mae (07-48-SD) (I/O) (I/F)

4.31% (-1.00 x 1 mo. USDLIBOR + 6.100%) (4) 05/25/37 1,506,777 241,470

Fannie Mae (09-69-CS) (I/O) (I/F)4.96% (-1.00 x 1 mo. USD

LIBOR + 6.750%) (4) 09/25/39 273,639 43,066Freddie Mac (1673-SD) (I/F) (PAC)

15.58% (-2.15 x T10Y +19.391%) (4) 02/15/24 63,508 73,861

Freddie Mac (1760-ZD)1.27% (1 x T10Y—

0.500%) (4) 02/15/24 137,133 136,015Freddie Mac (2990-JK) (I/F)

15.04% (-4.00079 x 1 mo.USD LIBOR +22.004%) (4) 03/15/35 125,216 149,672

Freddie Mac (3122-SG) (I/O) (I/F) (TAC) (PAC)3.89% (-1.00 x 1 mo. USD

LIBOR + 5.630%) (4) 03/15/36 2,341,828 391,222Freddie Mac (3239-SI) (I/O) (I/F) (PAC)

4.91% (-1.00 x 1 mo. USDLIBOR + 6.650%) (4) 11/15/36 572,727 119,729

Freddie Mac (3323-SA) (I/O) (I/F)4.37% (-1.00 x 1 mo. USD

LIBOR + 6.110%) (4) 05/15/37 219,734 29,860Freddie Mac (3459-JS) (I/O) (I/F)

4.51% (-1.00 x 1 mo. USDLIBOR + 6.250%) (4) 06/15/38 211,077 38,786

Freddie Mac (4030-HS) (I/O) (I/F)4.87% (-1.00 x 1 mo. USD

LIBOR + 6.610%) (4) 04/15/42 1,167,002 217,126Ginnie Mae (06-35-SA) (I/O) (I/F)

4.84% (-1.00 x 1 mo. USDLIBOR + 6.600%) (4) 07/20/36 1,736,822 343,865

Ginnie Mae (06-61-SA) (I/O) (I/F) (TAC)2.99% (-1.00 x 1 mo. USD

LIBOR + 4.750%) (4) 11/20/36 2,858,065 303,060



IssuesMaturity


Residential Mortgage-backed Securities — Agency (Continued)Ginnie Mae (08-58-TS) (I/O) (I/F) (TAC)

4.64% (-1.00 x 1 mo. USDLIBOR + 6.400%) (4) 05/20/38 $ 1,448,533 $ 133,787

Ginnie Mae (16-153-IO) (I/O)3.50% 11/20/46 3,524,522 555,389

Total Residential Mortgage-backedSecurities — Agency

(Cost: $1,802,828) 2,807,542

Residential Mortgage-backed Securities — Non-Agency — 39.4%ACE Securities Corp. (04-IN1-A1)

2.43% (1 mo. USDLIBOR + 0.640%) (4) 05/25/34 488,258 471,999

ACE Securities Corp. (07-ASP1-A2C)2.05% (1 mo. USD

LIBOR + 0.260%) (4) 03/25/37 1,485,414 941,030Adjustable Rate Mortgage Trust (05-4-6A22)

4.07% (5) 08/25/35 599,014 455,275Adjustable Rate Mortgage Trust (06-1-2A1)

4.31% (5),(7) 03/25/36 482,019 371,529Ajax Mortgage Loan Trust (19-F-A2)

3.50% (1) 07/25/59 1,300,000 1,291,728Asset-Backed Funding Certificates (07-NC1-A2)

2.09% (1 mo. USDLIBOR + 0.300%) (1),(4) 05/25/37 1,354,273 1,332,468

Asset-Backed Securities Corp. Home Equity (06-HE3-A5)2.06% (1 mo. USD

LIBOR + 0.270%) (4) 03/25/36 3,000,000 2,947,401Asset-Backed Securities Corp. Home Equity (07-HE1-A1B)

1.94% (1 mo. USDLIBOR + 0.150%)(4) 12/25/36 623,894 613,282

Banc of America Alternative Loan Trust (05-10-1CB1)2.19% (1 mo. USD

LIBOR + 0.400%)(4),(7) 11/25/35 705,954 635,936Banc of America Funding Corp. (15-R3-6A2)

1.88% (1),(5) 05/27/36 1,942,983 1,851,432Banc of America Funding Trust (06-3-4A14)

6.00% 03/25/36 443,400 439,697Banc of America Funding Trust (06-3-5A3)

5.50% (7) 03/25/36 249,387 238,564Banc of America Funding Trust (14-R5-1A1)

3.39% (6 mo. USDLIBOR + 1.500%) (1),(4) 09/26/45 1,022,667 1,048,721

Banc of America Funding Trust (15-R4-2A1)1.91% (1 mo. USD

LIBOR + 0.205%) (1),(4) 02/25/37 977,711 963,496BCAP LLC Trust (11-RR3-5A3)

3.58% (1),(5) 11/27/37 24,645 24,716BCMSC Trust (00-A-A4)

8.29% (5) 06/15/30 3,316,690 1,192,974Bear Stearns Adjustable Rate Mortgage Trust (03-7-9A)

4.23% (5) 10/25/33 385,459 395,025

IssuesMaturity


Residential Mortgage-backed Securities — Non-Agency (Continued)Bear Stearns Adjustable Rate Mortgage Trust (05-9-A1)

4.27% (1 year TreasuryConstant Maturity Rate +2.300%) (4) 10/25/35 $ 278,449 $ 286,715

Bear Stearns Adjustable Rate Mortgage Trust (07-4-22A1)4.03% (5),(7) 06/25/47 1,208,718 1,169,331

Bear Stearns ALT-A Trust (05-3-4A3)4.01% (5) 04/25/35 730,536 744,361

Bear Stearns Asset-Backed Securities Trust (05-AC6-1A3)5.50% (5) 09/25/35 550,402 563,088

Bear Stearns Asset-Backed Securities Trust (06-IM1-A1)2.02% (1 mo. USD

LIBOR + 0.230%) (4),(7) 04/25/36 321,734 439,123Bear Stearns Mortgage Funding Trust (07-AR3-1X) (I/O)

0.50% (3) 03/25/37 37,894,896 1,026,071Centex Home Equity Loan Trust (05-A-AF5)

5.78% 01/25/35 424,860 426,637CIM Trust (17-7-A)

3.00% (1),(5) 12/25/65 876,293 877,439CIM Trust (18-R2-A1)

3.69% (1),(5) 08/25/57 976,946 979,099CIM Trust (18-R4-A1)

4.07% (1),(5) 12/26/57 1,020,355 1,032,491CIM Trust (19-R1-A)

3.25% (1),(5) 10/25/58 1,243,040 1,253,687Citigroup Mortgage Loan Trust, Inc. (05-11-A2A)

4.38% (1 year TreasuryConstant Maturity Rate +2.400%) (4) 10/25/35 419,614 427,394

Citigroup Mortgage Loan Trust, Inc. (05-8-1A1A)4.03% (5),(7) 10/25/35 961,930 916,839

Citigroup Mortgage Loan Trust, Inc. (14-10-2A2)2.18% (1 mo. USD

LIBOR + 0.250%) (1),(4) 07/25/37 1,911,697 1,876,354CitiMortgage Alternative Loan Trust (06-A3-1A7)

6.00% (7) 07/25/36 888,777 861,402CitiMortgage Alternative Loan Trust (06-A5-1A8)

6.00% (7) 10/25/36 988,696 976,880Conseco Finance Securitizations Corp. (99-6-A1)

7.36% (1),(5) 06/01/30 1,509,867 894,121Conseco Financial Corp. (96-6-M1)

7.95% (5) 09/15/27 207,199 226,640Conseco Financial Corp. (96-7-M1)

7.70% (5) 09/15/26 589,763 619,755Conseco Financial Corp. (98-3-A6)


6.18% 04/01/30 226,306 232,670Conseco Financial Corp. (98-4-A6)


6.87% (5) 04/01/30 145,781 151,842



IssuesMaturity


Residential Mortgage-backed Securities — Non-Agency (Continued)Countrywide Alternative Loan Trust (05-20CB-4A1)

5.25% 07/25/20 $ 51,877 $ 51,994Countrywide Alternative Loan Trust (06-8T1-1A2) (I/O)

3.71% (1 mo. USDLIBOR + 5.500%) (3),(4) 04/25/36 6,138,735 1,137,164

Countrywide Asset-Backed Certificates (07-13-2A1)2.69% (1 mo. USD

LIBOR + 0.900%) (4) 10/25/47 702,993 689,031Countrywide Home Loans (04-HYB4-B1)

4.51% (5) 09/20/34 920,996 411,328Countrywide Home Loans (06-14-X) (I/O)

0.14% (3),(5) 09/25/36 19,426,408 84,367Countrywide Home Loans (06-HYB2-1A1)

4.50% (5),(7) 04/20/36 1,189,789 963,656Credit Suisse First Boston Mortgage Securities Corp.

(04-AR5-11A2)2.53% (1 mo. USD

LIBOR + 0.740%) (4) 06/25/34 170,850 172,051Credit Suisse First Boston Mortgage Securities Corp.

(05-12-1A1)6.50% (7) 01/25/36 1,205,653 690,224

Credit Suisse Mortgage Capital Certificates (06-6-1A8)6.00% 07/25/36 610,841 503,118

Credit-Based Asset Servicing and Securitization LLC(03-CB3-AF1)3.38% 12/25/32 499,675 505,886

Credit-Based Asset Servicing and Securitization LLC(05-CB4-M2)2.24% (1 mo. USD

LIBOR + 0.450%)(4) 07/25/35 843,461 846,925Credit-Based Asset Servicing and Securitization LLC

(06-CB1-AF2)3.29% 01/25/36 1,338,549 1,163,448

Credit-Based Asset Servicing and Securitization LLC(06-CB2-AF2)3.32% 12/25/36 2,422,826 2,101,201

Credit-Based Asset Servicing and Securitization LLC(07-CB2-A2B)3.96% 02/25/37 1,118,381 883,467

Credit-Based Asset Servicing and Securitization LLC(07-CB2-A2C)3.96% 02/25/37 1,098,823 867,909

Credit-Based Asset Servicing and Securitization LLC(07-CB3-A3)3.75% 03/25/37 1,414,887 817,303

CSMC Trust (19-RPL2-A1A)4.34% (1) 07/25/58 1,180,717 1,202,509

Deutsche Alt-A Securities, Inc. Mortgage Loan Trust(06-AB2-A2)5.18% (5),(7) 06/25/36 1,630,964 1,584,424

IssuesMaturity


Residential Mortgage-backed Securities — Non-Agency (Continued)Deutsche Alt-A Securities, Inc. Mortgage Loan Trust

(06-AR6-A6)1.98% (1 mo. USD

LIBOR + 0.190%)(4),(7) 02/25/37 $ 592,730 $ 549,608DSLA Mortgage Loan Trust (06-AR2-2A1A)

1.96% (1 mo. USDLIBOR + 0.200%) (4) 10/19/36 467,771 420,125

First Franklin Mortgage Loan Asset-Backed Certificates(06-FF11-2A3)1.94% (1 mo. USD

LIBOR + 0.150%) (4) 08/25/36 1,452,183 1,294,063First Franklin Mortgage Loan Asset-Backed Certificates

(06-FF13-A2C)1.95% (1 mo. USD

LIBOR + 0.160%) (4) 10/25/36 927,174 725,440First Franklin Mortgage Loan Asset-Backed Certificates

(06-FF18-A2D)2.00% (1 mo. USD

LIBOR + 0.210%) (4) 12/25/37 857,402 801,004First Horizon Alternative Mortgage Securities Trust

(05-AA10-2A1)3.42% (5),(7) 12/25/35 402,583 346,138

Greenpoint Manufactured Housing (00-1-A4)8.14% (5) 03/20/30 716,539 703,769

GSAA Home Equity Trust (06-13-AF6)6.04% 07/25/36 1,493,606 796,512

GSC Capital Corp. Mortgage Trust (06-2-A1)1.97% (1 mo. USD

LIBOR + 0.180%) (4),(7) 05/25/36 351,634 332,393GSR Mortgage Loan Trust (05-AR3-6A1)

4.34% (5) 05/25/35 298,300 280,502HSI Asset Loan Obligation Trust (07-2-2A12)

6.00% 09/25/37 487,025 445,827Indymac INDX Mortgage Loan Trust (04-AR6-5A1)

4.19% (5) 10/25/34 402,512 417,583Indymac INDX Mortgage Loan Trust (05-AR19-A1)

3.57% (5),(7) 10/25/35 575,006 522,543Indymac INDX Mortgage Loan Trust (06-AR13-A4X) (I/O)

1.42% (3),(5) 07/25/36 265,919 2,656Indymac INDX Mortgage Loan Trust (06-AR9-1A1)

4.17% (5) 06/25/36 770,809 644,104Indymac INDX Mortgage Loan Trust (07-AR5-2A1)

3.75% (5),(7) 05/25/37 1,006,408 963,930Indymac INDX Mortgage Loan Trust (07-FLX2-A1C)

1.90% (1 mo. USDLIBOR + 0.190%) (4) 04/25/37 2,051,990 1,946,044

JPMorgan Alternative Loan Trust (06-A2-5A1)4.05% (5) 05/25/36 641,208 497,127

JPMorgan Mortgage Acquisition Corp. (05-FRE1-A2F3)3.23% 10/25/35 392,170 392,037

JPMorgan Mortgage Acquisition Trust (06-WF1-A5)6.41% 07/25/36 2,388,658 1,221,787



IssuesMaturity


Residential Mortgage-backed Securities — Non-Agency (Continued)JPMorgan Mortgage Acquisition Trust (07-CH4-A4)

1.95% (1 mo. USDLIBOR + 0.160%) (4) 01/25/36 $ 200,594 $ 200,308

JPMorgan Mortgage Trust (04-A6-5A1)3.62% (5) 12/25/34 306,507 302,489

JPMorgan Mortgage Trust (07-S2-1A1)5.00% 06/25/37 202,875 143,039

JPMorgan Resecuritization Trust (15-4-1A5)1.90% (1 mo. USD

LIBOR + 0.190%) (1),(4) 06/26/47 1,863,000 1,780,989JPMorgan Resecuritization Trust (15-4-2A2)

4.19% (1),(5) 06/26/47 4,198,866 2,062,311Legacy Mortgage Asset Trust (19-GS4-A1)

3.44% (1) 05/25/59 1,224,697 1,233,211Lehman Mortgage Trust (06-7-2A5) (I/O)

4.76% (1 mo. USDLIBOR + 6.550%)(4),(3) 11/25/36 3,413,162 966,232

Lehman XS Trust (06-10N-1A3A)2.00% (1 mo. USD

LIBOR + 0.210%) (4) 07/25/46 807,374 803,906Lehman XS Trust (06-12N-A31A)

1.99% (1 mo. USDLIBOR + 0.200%) (4) 08/25/46 1,123,865 1,078,554

Long Beach Mortgage Loan Trust (04-4-M1)2.69% (1 mo. USD

LIBOR + 0.900%) (4) 10/25/34 914,102 914,688MASTR Alternative Loan Trust (06-2-2A2) (I/O)

5.31% (1 mo. USDLIBOR + 7.100%) (3),(4) 03/25/36 5,955,510 1,247,598

MASTR Alternative Loans Trust (07-HF1-4A1)7.00% (7) 10/25/47 1,096,127 782,559

MASTR Asset-Backed Securities Trust (06-NC1-A4)2.39% (1 mo. USD

LIBOR + 0.600%) (4) 01/25/36 137,256 136,242MASTR Asset-Backed Securities Trust (07-HE1-A4)

2.07% (1 mo. USDLIBOR + 0.280%) (4) 05/25/37 2,000,000 1,770,882

Merrill Lynch Alternative Note Asset Trust (07-OAR2-A2)2.00% (1 mo. USD

LIBOR + 0.210%) (4) 04/25/37 1,324,173 1,163,551Merrill Lynch First Franklin Mortgage Loan Trust

(07-3-A2B)1.92% (1 mo. USD

LIBOR + 0.130%) (4) 06/25/37 676,384 541,144Merrill Lynch First Franklin Mortgage Loan Trust

(07-3-A2C)1.97% (1 mo. USD

LIBOR + 0.180%) (4) 06/25/37 1,381,161 1,113,560Merrill Lynch Mortgage-Backed Securities Trust

(07-2-1A1)4.00% (1 year Treasury

Constant Maturity Rate +2.400%)(4),(7) 08/25/36 283,917 281,492

IssuesMaturity


Residential Mortgage-backed Securities — Non-Agency (Continued)Mid-State Trust (04-1-B)

8.90% 08/15/37 $ 299,515 $ 340,003Mid-State Trust (04-1-M1)

6.50% 08/15/37 299,515 316,020Morgan Stanley ABS Capital I, Inc. Trust (06-HE3-A1)

1.93% (1 mo. USDLIBOR + 0.140%) (4) 04/25/36 565,182 553,027

Morgan Stanley ABS Capital I, Inc. Trust (07-15AR-4A1)3.46% (5) 11/25/37 476,356 476,272

Morgan Stanley Home Equity Loan Trust (06-2-A4)2.07% (1 mo. USD

LIBOR + 0.280%) (4) 02/25/36 763,183 759,054MortgageIT Trust (05-5-A1)

2.31% (1 mo. USDLIBOR + 0.520%)(4) 12/25/35 389,055 388,267

Nationstar Home Equity Loan Trust (07-B-2AV3)2.04% (1 mo. USD

LIBOR + 0.250%) (4) 04/25/37 1,027,676 1,029,229New Century Home Equity Loan Trust (05-B-A2D)

2.19% (1 mo. USDLIBOR + 0.400%) (4) 10/25/35 580,237 576,688

Nomura Asset Acceptance Corp. (06-AR1-1A)5.07% (5) 02/25/36 1,029,087 922,024

Oakwood Mortgage Investors, Inc. (00-A-A4)8.15% (5) 09/15/29 1,785,072 910,475

Oakwood Mortgage Investors, Inc. (00-D-A4)7.40% (5) 07/15/30 716,984 300,260

Oakwood Mortgage Investors, Inc. (01-C-A3)6.61% (5) 06/15/31 1,671,028 423,792



Oakwood Mortgage Investors, Inc. (02-A-A3)6.03% (5) 05/15/24 205,996 212,278

Oakwood Mortgage Investors, Inc. (98-A-M)6.83% (5) 05/15/28 148,398 151,886

Oakwood Mortgage Investors, Inc. (99-B-A4)6.99% 12/15/26 185,440 189,812

Oakwood Mortgage Investors, Inc. (99-E-A1)7.61% (5) 03/15/30 886,765 753,985

Popular ABS Mortgage Pass-Through Trust (05-6-A4)3.71% 01/25/36 468,154 467,679

RALI Series Trust (06-QS13-1A2) (I/O)5.37% (1 mo. USD

LIBOR + 7.160%) (3),(4) 09/25/36 4,435,382 773,026RALI Series Trust (06-QS7-A2)

6.00% (7) 06/25/36 599,556 555,901RASC Series Trust (05-KS11-M1)

2.19% (1 mo. USDLIBOR + 0.400%) (4) 12/25/35 215,914 216,639



IssuesMaturity


Residential Mortgage-backed Securities — Non-Agency (Continued)RBSSP Resecuritization Trust (12-6-4A2)

2.04% (1 mo. USDLIBOR + 0.330%) (1),(4) 01/26/36 $ 2,284,817 $ 2,276,201

Residential Accredit Loans, Inc. (05-QA7-A1)4.06% (5),(7) 07/25/35 1,062,010 910,858

Residential Accredit Loans, Inc. (05-QA8-CB21)4.52% (5),(7) 07/25/35 557,926 424,762

Residential Accredit Loans, Inc. (06-QA10-A2)1.97% (1 mo. USD

LIBOR + 0.180%) (4) 12/25/36 823,850 779,990Residential Accredit Loans, Inc. (06-QS1-A3) (PAC)

5.75% (7) 01/25/36 478,886 448,566Residential Accredit Loans, Inc. (06-QS11-AV) (I/O)

0.35% (3),(5) 08/25/36 11,499,235 180,251Residential Accredit Loans, Inc. (06-QS6-1AV) (I/O)

0.76% (3),(5) 06/25/36 5,207,688 136,928Residential Accredit Loans, Inc. (06-QS8-A3)

6.00% (7) 08/25/36 1,032,638 987,104Residential Accredit Loans, Inc. (07-QS2-AV) (I/O)

0.33% (3),(5) 01/25/37 13,024,662 156,253Residential Accredit Loans, Inc. (07-QS3-AV) (I/O)

0.36% (3),(5) 02/25/37 13,672,734 190,577Residential Accredit Loans, Inc. (07-QS6-A62) (TAC)

5.50% (7) 04/25/37 310,127 286,607Residential Asset Mortgage Products, Inc. (06-RZ3-A3)

2.08% (1 mo. USDLIBOR + 0.290%) (4) 08/25/36 231,818 232,348

Residential Asset Securitization Trust (05-A15-4A1)6.00% (7) 02/25/36 1,044,549 650,796

Residential Asset Securitization Trust (07-A5-AX) (I/O)6.00% (3) 05/25/37 2,223,007 324,782

Residential Funding Mortgage Securities (06-S9-AV) (I/O)0.32% (3),(5) 09/25/36 30,549,410 384,171

Saxon Asset Securities Trust (07-3-2A4)2.28% (1 mo. USD

LIBOR + 0.490%) (4) 09/25/47 2,926,000 2,650,264Securitized Asset-Backed Receivables LLC Trust

(07-NC2-A2C)2.01% (1 mo. USD LIBOR +

0.220%) (4) 01/25/37 4,614,000 3,780,420Soundview Home Loan Trust (06-1-A4)

2.09% (1 mo. USD LIBOR +0.300%) (4) 02/25/36 665,291 648,238

Structured Adjustable Rate Mortgage Loan Trust(05-20-1A1)4.29% (5),(7) 10/25/35 243,370 237,093

Structured Adjustable Rate Mortgage Loan Trust(07-9-2A1)4.01% (5),(7) 10/25/47 389,123 344,562

Structured Asset Investment Loan Trust (05-3-M2)2.45% (1 mo. USD LIBOR +

0.660%) (4) 04/25/35 257,458 258,298

IssuesMaturity


Residential Mortgage-backed Securities — Non-Agency (Continued)Structured Asset Mortgage Investments II Trust

(06-AR4-5A1)1.97% (1 mo. USD

LIBOR + 0.180%) (4),(7) 06/25/36 $ 1,283,356 $ 1,182,337Structured Asset Securities Corp. (06-GEL4-A3)

2.09% (1 mo. USDLIBOR + 0.300%) (1),(4) 10/25/36 141,823 142,187

WAMU Asset-Backed Certificates (07-HE1-2A3)1.94% (1 mo. USD

LIBOR + 0.150%) (4) 01/25/37 2,103,012 1,334,252Wells Fargo Alternative Loan Trust (07-PA2-2A2) (I/O)

4.28% (-1.00 x 1 mo. USDLIBOR + 6.070%) (3),(4) 06/25/37 3,540,100 439,849

Wells Fargo Home Equity Trust (06-2-A3)2.00% (1 mo. USD

LIBOR + 0.210%) (4) 01/25/37 730,000 718,959Wells Fargo Home Equity Trust (06-2-A4)

2.04% (1 mo. USDLIBOR + 0.250%) (4) 07/25/36 92,015 91,801

Wells Fargo Mortgage-Backed Securities Trust(07-AR3-A4)5.19% (5),(7) 04/25/37 259,929 250,836

Total Residential Mortgage-backedSecurities — Non-Agency

(Cost: $95,274,972) 107,724,870

Total Mortgage-backed Securities(Cost: $134,597,617) 143,161,243

CORPORATE BONDS — 26.6%Aerospace/Defense — 0.2%BAE Systems Holdings, Inc.

2.85% (1) 12/15/20 500,000 503,471

Agriculture — 0.5%BAT Capital Corp.

4.54% 08/15/47 130,000 130,763Reynolds American, Inc.

5.85% 08/15/45 975,000 1,120,714

1,251,477

Airlines — 0.4%America West Airlines, Inc. Pass-Through Certificates

(01-1) (EETC)7.10% 10/02/22 156,714 160,989

Continental Airlines, Inc. Pass-Through Certificates(00-2-A1) (EETC)7.71% 10/02/22 211,090 216,523

Delta Air Lines, Inc. Pass-Through Certificates (02-1G1)(EETC)6.72% 07/02/24 359,796 384,450

US Airways Group, Inc. Pass-Through Certificates(10-1A) (EETC)6.25% 10/22/24 406,123 441,205

1,203,167



IssuesMaturity


Auto Manufacturers — 2.1%Daimler Finance North America LLC

2.81% (3 mo. USDLIBOR + 0.900%) (1),(4) 02/15/22 $ 700,000 $ 705,617

Ford Motor Credit Co. LLC2.34% 11/02/20 140,000 139,8303.01% (3 mo. USD

LIBOR + 1.000%) (4) 01/09/20 805,000 805,1153.20% 01/15/21 1,525,000 1,533,2923.23% (3 mo. USD

LIBOR + 1.270%) (4) 03/28/22 345,000 342,5813.34% 03/28/22 645,000 650,8793.81% 10/12/21 140,000 142,6335.88% 08/02/21 140,000 146,6068.13% 01/15/20 280,000 280,578

General Motors Co.4.88% 10/02/23 150,000 161,086

General Motors Financial Co., Inc.4.38% 09/25/21 796,000 825,010

5,733,227

Banks — 2.7%Bank of America Corp.

2.74% (2.738% until 1/23/21then 3 mo. USDLIBOR + 0.370%) (4) 01/23/22 10,000 10,074

3.12% (3 mo. USDLIBOR + 1.160%) (4) 01/20/23 406,000 414,105

3.50% (3.499% until 5/17/21then 3 mo. USDLIBOR + 0.630%) (4) 05/17/22 500,000 510,355

Goldman Sachs Group, Inc. (The)3.27% (3.272% until 9/29/24

then 3 mo. USDLIBOR + 1.201%) (4) 09/29/25 430,000 444,924

3.51% (3 mo. USDLIBOR + 1.600%) (4) 11/29/23 500,000 518,563

JPMorgan Chase & Co.3.51% (3.514% until 6/18/21

then 3 mo. USDLIBOR + 0.610%) (4) 06/18/22 560,000 572,237

3.56% (3 mo. USDLIBOR + 0.730%) (4) 04/23/24 1,000,000 1,042,593

Lloyds Bank PLC (United Kingdom)5.80% (1),(5) 01/13/20 650,000 650,673

Lloyds Banking Group PLC (United Kingdom)2.86% (3 mo. USD

LIBOR + 1.249%) (4) 03/17/23 420,000 425,9402.91% (2.907% until 11/07/22

then 3 mo. USDLIBOR + 0.810%) (4) 11/07/23 285,000 289,402

Morgan Stanley3.88% 04/29/24 400,000 425,494

IssuesMaturity


Banks (Continued)Santander UK Group Holdings PLC (United Kingdom)

3.37% (3.373% until 1/05/23then 3 mo. USDLIBOR + 1.080%) (4) 01/05/24 $ 435,000 $ 445,224

Santander UK PLC (United Kingdom)3.40% 06/01/21 975,000 995,534

Wells Fargo & Co.3.16% (3 mo. USD

LIBOR + 1.230%) (4) 10/31/23 500,000 509,497Wells Fargo Bank NA

2.08% (3 mo. USDLIBOR + 0.650%) (4) 09/09/22 140,000 140,214

7,394,829

Beverages — 0.2%Anheuser-Busch Cos LLC / Anheuser-Busch InBev

Worldwide, Inc.4.90% 02/01/46 279,000 331,441

Bacardi, Ltd.4.70% (1) 05/15/28 15,000 16,3655.30% (1) 05/15/48 280,000 325,855

673,661

Biotechnology — 0.2%Amgen, Inc.

4.40% 05/01/45 470,000 527,482

Chemicals — 0.2%International Flavors & Fragrances, Inc.

5.00% 09/26/48 410,000 460,127

Commercial Services — 0.2%IHS Markit, Ltd.

4.00% (1) 03/01/26 73,000 77,1105.00% (1) 11/01/22 421,000 449,315

526,425

Computers — 0.1%Apple, Inc.

3.00% 11/13/27 400,000 420,002

Diversified Financial Services — 1.5%AerCap Ireland Capital DAC / AerCap Global Aviation

Trust (Ireland)3.95% 02/01/22 415,000 428,9244.50% 05/15/21 300,000 309,721

Air Lease Corp.2.13% 01/15/20 500,000 499,9753.50% 01/15/22 490,000 503,727

GE Capital International Funding Co. Unlimited Co.(Ireland)2.34% 11/15/20 1,090,000 1,089,292

Park Aerospace Holdings, Ltd.4.50% (1) 03/15/23 135,000 142,1175.50% (1) 02/15/24 385,000 423,177



IssuesMaturity


Diversified Financial Services (Continued)Raymond James Financial, Inc.

5.63% 04/01/24 $ 650,000 $ 732,910

4,129,843

Electric — 0.5%FirstEnergy Transmission LLC

4.35% (1) 01/15/25 750,000 810,222Puget Energy, Inc.

6.00% 09/01/21 500,000 531,143

1,341,365

Engineering & Construction — 0.3%Heathrow Funding, Ltd. (United Kingdom)

4.88% (1) 07/15/23 700,000 729,151

Entertainment — 0.1%Churchill Downs, Inc.

4.75% (1) 01/15/28 240,000 248,2445.50% (1) 04/01/27 100,000 106,125

354,369

Environmental Control — 0.1%Clean Harbors, Inc.

5.13% (1) 07/15/29 275,000 295,748

Food — 1.4%Conagra Brands, Inc.

2.51% (3 mo. USDLIBOR + 0.500%) (4) 10/09/20 650,000 651,054

Kraft Heinz Foods Co.3.75% (1) 04/01/30 445,000 458,9384.38% 06/01/46 675,000 667,0354.88% (1) 10/01/49 660,000 697,7355.00% 06/04/42 328,000 351,1735.20% 07/15/45 80,000 87,0146.38% 07/15/28 210,000 250,9037.13% (1) 08/01/39 140,000 179,913

Kroger Co. (The)5.40% 01/15/49 151,000 184,392

Lamb Weston Holdings, Inc.4.63% (1) 11/01/24 120,000 127,600

Post Holdings, Inc.5.50% (1) 12/15/29 280,000 299,082

3,954,839

Healthcare-Products — 0.1%Hologic, Inc.

4.63% (1) 02/01/28 320,000 340,000

Healthcare-Services — 1.6%Anthem, Inc.

3.65% 12/01/27 430,000 455,747Catalent Pharma Solutions, Inc.

4.88% (1) 01/15/26 285,000 295,787

IssuesMaturity


Healthcare-Services (Continued)CHS / Community Health Systems, Inc.

8.00% (1) 03/15/26 $ 59,000 $ 61,269Encompass Health Corp.

4.75% 02/01/30 425,000 441,724HCA, Inc.

4.13% 06/15/29 320,000 340,1335.00% 03/15/24 130,000 142,2475.25% 06/15/49 130,000 145,7775.63% 09/01/28 100,000 114,0175.88% 02/01/29 100,000 115,750

Humana, Inc.2.90% 12/15/22 435,000 444,1204.95% 10/01/44 125,000 147,892

Molina Healthcare, Inc.5.38% 11/15/22 140,000 149,205

NYU Hospitals Center4.43% 07/01/42 700,000 801,525

Tenet Healthcare Corp.4.63% 07/15/24 234,000 240,0454.88% (1) 01/01/26 223,000 233,849

WellCare Health Plans, Inc.5.38% (1) 08/15/26 157,000 167,495

4,296,582

Household Products/Wares — 0.1%Spectrum Brands, Inc.

5.75% 07/15/25 135,000 141,2446.13% 12/15/24 135,000 139,811

281,055

Insurance — 0.6%Farmers Exchange Capital

7.05% (1) 07/15/28 500,000 612,874Nationwide Mutual Insurance Co.

4.18% (3 mo. USDLIBOR + 2.290%) (1),(4) 12/15/24 1,000,000 996,250

1,609,124

Machinery-Diversified — 0.1%Titan Acquisition, Ltd. / Titan Co-Borrower LLC

7.75% (1) 04/15/26 140,000 139,475

Media — 0.8%CCO Holdings LLC / CCO Holdings Capital Corp.

5.38% (1) 06/01/29 265,000 284,040Charter Communications Operating LLC / Charter

Communications Operating Capital4.91% 07/23/25 250,000 274,9226.48% 10/23/45 150,000 187,118

CSC Holdings LLC6.50% (1) 02/01/29 550,000 614,281



IssuesMaturity


Media (Continued)Discovery Communications LLC

2.80% 06/15/20 $ 345,000 $ 345,919Sirius XM Radio, Inc.

3.88% (1) 08/01/22 130,000 132,925Virgin Media Secured Finance PLC (United Kingdom)

5.50% (1) 08/15/26 200,000 210,4655.50% (1) 05/15/29 200,000 212,120

2,261,790

Mining — 0.4%Corp. Nacional del Cobre de Chile

3.63% (8) 08/01/27 350,000 365,155Indonesia Asahan Aluminium Persero PT

6.53% (1) 11/15/28 500,000 615,625

980,780

Miscellaneous Manufacturers — 0.9%General Electric Co.

2.39% (3 mo. USDLIBOR + 0.480%) (4) 08/15/36 2,400,000 1,894,920

6.75% 03/15/32 350,000 449,987

2,344,907

Oil & Gas — 1.3%Antero Resources Corp.

5.00% 03/01/25 496,000 373,2405.13% 12/01/22 125,000 112,211

Centennial Resource Production LLC5.38% (1) 01/15/26 80,000 78,828

Endeavor Energy Resources LP / EER Finance, Inc.5.50% (1) 01/30/26 52,000 53,811

EQT Corp.3.90% 10/01/27 140,000 130,372

Gulfport Energy Corp.6.38% 05/15/25 35,000 22,327

KazMunayGas National Co.5.38% (8) 04/24/30 300,000 348,555

Matador Resources Co.5.88% 09/15/26 84,000 84,685

Parsley Energy LLC / Parsley Finance Corp.5.25% (1) 08/15/25 130,000 133,954

Petrobras Global Finance BV5.09% (1) 01/15/30 75,000 80,457

Petroleos Mexicanos6.63% 06/15/35 385,000 395,7556.75% 09/21/47 150,000 151,3207.69% (1) 01/23/50 825,000 903,193

Range Resources Corp.4.88% 05/15/25 310,000 265,825

IssuesMaturity


Oil & Gas (Continued)Transocean Pontus, Ltd.

6.13% (1) 08/01/25 $ 90,780 $ 93,276Transocean Poseidon, Ltd.

6.88% (1) 02/01/27 314,000 333,569

3,561,378

Oil & Gas Services — 0.2%Transocean Proteus, Ltd.

6.25% (1) 12/01/24 136,500 140,993USA Compression Partners LP / USA Compression

Finance Corp.6.88% 04/01/26 142,000 149,3666.88% 09/01/27 127,000 132,518

422,877

Packaging & Containers — 0.7%Amcor Finance USA, Inc.

3.63% (1) 04/28/26 400,000 412,152Ball Corp.

4.00% 11/15/23 90,000 94,838Berry Global, Inc.

4.88% (1) 07/15/26 86,000 90,865Graphic Packaging International LLC

4.75% (1) 07/15/27 130,000 139,669Matthews International Corp.

5.25% (1) 12/01/25 160,000 160,800Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC

/ Reynolds Group Issuer (Luxembourg)5.75% 10/15/20 566,928 568,345

Sealed Air Corp.5.50% (1) 09/15/25 140,000 154,408

Trivium Packaging Finance BV (Netherlands)5.50% (1) 08/15/26 200,000 211,125

1,832,202

Pharmaceuticals — 2.5%AbbVie, Inc.

4.25% (1) 11/21/49 700,000 746,4594.45% 05/14/46 153,000 165,5514.88% 11/14/48 275,000 319,036

Allergan Finance LLC3.25% 10/01/22 500,000 512,055

Bausch Health Cos, Inc. (Canada)7.00% (1) 03/15/24 385,000 401,203

Bayer US Finance II LLC4.38% (1) 12/15/28 915,000 999,6404.63% (1) 06/25/38 375,000 408,2904.88% (1) 06/25/48 300,000 346,007

Becton Dickinson and Co.2.84% (3 mo. USD

LIBOR + 0.875%) (4) 12/29/20 300,000 300,153



IssuesMaturity


Pharmaceuticals (Continued)Cigna Corp.

3.05% (1) 10/15/27 $ 430,000 $ 436,0503.88% (1) 10/15/47 170,000 173,5544.13% 11/15/25 750,000 814,971

CVS Health Corp.5.05% 03/25/48 1,005,000 1,192,851

6,815,820

Pipelines — 1.7%Enbridge Energy Partners LP

5.88% 10/15/25 50,000 58,450EQT Midstream Partners LP

4.13% 12/01/26 500,000 471,110NGPL PipeCo LLC

4.38% (1) 08/15/22 190,000 197,470Peru LNG SRL

5.38% (8) 03/22/30 400,000 395,284Pipeline Funding Co. LLC

7.50% (1) 01/15/30 465,450 594,416Plains All American Pipeline LP / PAA Finance Corp.

4.65% 10/15/25 500,000 534,655Rockies Express Pipeline LLC

5.63% (1) 04/15/20 585,000 592,203Sunoco Logistics Partners Operations LP

5.40% 10/01/47 831,000 901,424Targa Resources Partners LP / Targa Resources Partners

Finance Corp.6.88% (1) 01/15/29 127,000 141,205

Texas Eastern Transmission LP2.80% (1) 10/15/22 300,000 303,550

TransMontaigne Partners LP / TLP Finance Corp.6.13% 02/15/26 115,000 113,027

Williams Partners LP6.30% 04/15/40 300,000 372,170

4,674,964

REIT — 1.1%American Campus Communities Operating

Partnership LP3.75% 04/15/23 300,000 312,555

CyrusOne LP / CyrusOne Finance Corp.2.90% 11/15/24 280,000 281,659

GLP Capital LP / GLP Financing II, Inc.4.00% 01/15/30 180,000 183,8575.30% 01/15/29 210,000 234,6985.38% 04/15/26 721,000 798,327

HCP, Inc.4.25% 11/15/23 296,000 316,069

Hudson Pacific Properties LP3.95% 11/01/27 275,000 288,279

IssuesMaturity


REIT (Continued)MGM Growth Properties Operating Partnership LP /

MGP Finance Co-Issuer, Inc.5.63% 05/01/24 $ 135,000 $ 147,936

Piedmont Operating Partnership LP3.40% 06/01/23 425,000 435,658

2,999,038

Retail — 0.6%Alimentation Couche-Tard, Inc. (Canada)

2.70% (1) 07/26/22 140,000 141,583KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of

America LLC4.75% (1) 06/01/27 80,000 84,386

Rite Aid Corp.6.13% (1) 04/01/23 578,000 533,205

Walgreens Boots Alliance, Inc.3.45% 06/01/26 755,000 768,7634.80% 11/18/44 225,000 228,372

1,756,309

Savings & Loans — 0.1%Nationwide Building Society (United Kingdom)

3.77% (3.766% until 3/08/23then 3 mo. USDLIBOR + 1.064%)(1),(4) 03/08/24 275,000 284,858

Semiconductors — 0.5%Broadcom, Inc.

3.13% (1) 04/15/21 985,000 997,202NXP BV / NXP Funding LLC

4.63% (1) 06/15/22 200,000 210,924NXP BV / NXP Funding LLC (Netherlands)

4.13% (1) 06/01/21 200,000 205,128

1,413,254

Software — 0.1%IQVIA, Inc.

5.00% (1) 05/15/27 200,000 212,000SS&C Technologies, Inc.

5.50% (1) 09/30/27 185,000 197,834

409,834

Telecommunications — 2.5%AT&T, Inc.

4.75% 05/15/46 385,000 436,4324.85% 03/01/39 348,000 402,1315.25% 03/01/37 705,000 844,768

C&W Senior Financing DAC6.88% (1) 09/15/27 200,000 214,331

Intelsat Jackson Holdings S. A. (Luxembourg)8.50% (1) 10/15/24 535,000 487,1849.75% (1) 07/15/25 321,000 297,594



IssuesMaturity


Telecommunications (Continued)Koninklijke KPN NV (Netherlands)

8.38% 10/01/30 $ 170,000 $ 236,905Level 3 Financing, Inc.

4.63% (1) 09/15/27 141,000 144,6175.38% 05/01/25 190,000 197,838

Qwest Corp.7.25% 09/15/25 250,000 288,624

SES Global Americas Holdings GP5.30% (1) 03/25/44 675,000 662,745

Sprint Communications, Inc.7.00% (1) 03/01/20 192,000 193,250

Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC /Sprint Spectrum Co. III LLC3.36% (1) 03/20/23 301,875 304,9394.74% (1) 09/20/29 565,000 599,971

T-Mobile USA, Inc.4.50% 02/01/26 113,000 115,8944.75% 02/01/28 186,000 194,8936.00% 04/15/24 263,000 272,2026.00% 03/01/23 44,000 44,8846.50% 01/15/24 71,000 73,163

T-Mobile USA, Inc. (Contingent payment)4.50% (2),(3) 02/01/26 113,000 —4.75% (2),(3) 02/01/28 170,000 —

Vodafone Group PLC (United Kingdom)4.88% 06/19/49 759,000 883,871

6,896,236

Total Corporate Bonds(Cost: $69,744,089) 72,819,666

MUNICIPAL BONDS — 1.8%Alabama Economic Settlement Authority, Revenue Bond

4.26% 09/15/32 705,000 782,226City of New York, New York, Build America Bonds

6.65% 12/01/31 1,000,000 1,042,110New York City Water and Sewer System, Build America

Bonds6.49% 06/15/42 800,000 815,128

New York State Dormitory Authority, Revenue Bond5.29% 03/15/33 1,000,000 1,214,830

State of California, General Obligation7.95% 03/01/36 1,000,000 1,009,480

Total Municipal Bonds(Cost: $5,133,908) 4,863,774

FOREIGN GOVERNMENT BONDS — 1.3%Bahrain Government International Bond

7.00% (8) 10/12/28 300,000 355,312Brazilian Government International Bond

4.63% 01/13/28 200,000 215,500

IssuesMaturity


FOREIGN GOVERNMENT BONDS (Continued)Colombia Government International Bond

4.50% 01/28/26 $ 200,000 $ 218,199Dominican Republic International Bond

6.00% (8) 07/19/28 250,000 278,527Egypt Government International Bond

5.58% (1) 02/21/23 200,000 209,450Mexico Government International Bond

3.75% 01/11/28 400,000 416,300Oman Government International Bond

5.63% (1) 01/17/28 300,000 311,190Panama Government International Bond

4.00% 09/22/24 250,000 268,164Qatar Government International Bond

4.50% (8) 04/23/28 350,000 401,660Saudi Government International Bond

3.63% (8) 03/04/28 300,000 317,310South Africa Government Bond

4.88% 04/14/26 350,000 364,875Uruguay Government International Bond

4.38% 01/23/31 200,000 224,050

Total Foreign Government Bonds(Cost: $3,311,732) 3,580,537

Total Fixed Income Securities(Cost: $245,128,087) 256,648,317

Security Shares

MONEY MARKET INVESTMENTS — 7.7%State Street Institutional U.S.

Government Money Market Fund— Premier Class, 1.53% (9) 21,025,881 21,025,881

Total Money Market Investments(Cost: $21,025,881) 21,025,881

IssuesMaturity

DatePrincipalAmount

SHORT TERM INVESTMENTS — 0.3%U.S. TREASURY SECURITIES — 0.3%U.S. Treasury Bill

1.47% (10),(11) 03/19/20 717,000 714,735

Total U.S. Treasury Securities (Cost: $714,614) 714,735

Total Investments (101.9%) (Cost: $266,868,582) 278,388,933Liabilities In Excess Of Other Assets (-1.9%) (5,095,948)

Net Assets (100.0%) $ 273,292,985



FUTURES CONTRACTS

Number ofContracts Type

ExpirationDate Notional Value

NetUnrealized

Appreciation(Depreciation)

Long Futures32 S&P 500 E-Mini Index Futures 03/20/20 $ 4,986,532 $ 5,169,760 $ 183,228

$ 4,986,532 $ 5,169,760 $ 183,228

Short Futures16 5-Year U.S. Treasury Note Futures 03/31/20 $ (1,902,726) $ 1,897,750 $ 4,97654 10-Year U.S. Treasury Note Futures 03/20/20 (7,700,534) 7,597,969 102,56559 U.S. Ultra Long Bond Futures 03/20/20 (11,122,932) 10,717,719 405,213

$ (20,726,192) $ 20,213,438 $ 512,754

CENTRALLY CLEARED-INTEREST RATE SWAP AGREEMENTS

NotionalAmount

ExpirationDate

PaymentFrequency

Payment Madeby Fund

Payment Receivedby Fund

UnrealizedAppreciation Premium Paid Value

15,025,000 (12) 04/11/22 Quarterly 3 Month USD LIBOR 2.26% $ 183,000 $ — $ 183,0007,070,000 (12) 05/08/22 Quarterly 3 Month USD LIBOR 2.28% 89,481 $ — 89,4816,180,000 (12) 04/11/25 Quarterly 2.34% 3 Month USD LIBOR (183,600) $ — (183,600)2,895,000 (12) 05/08/25 Quarterly 2.37% 3 Month USD LIBOR (90,173) $ — (90,173)

$ (1,292) $ — $ (1,292)

Notes to Schedule of Investments:(1) Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only

to qualified institutional buyers. At December 31, 2019, the value of these securities amounted to $80,376,183 or 29.4% of net assets. Thesesecurities are determined to be liquid by the Fund’s investment advisor, unless otherwise noted, under procedures established by and underthe general supervision of the Fund’s Board of Directors.

(2) Security is not accruing interest.(3) For fair value measurement disclosure purposes, security is categorized as Level 3. Security is valued using significant unobservable inputs.(4) Floating or variable rate security. The interest shown reflects the rate in effect at December 31, 2019.(5) Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a

published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities donot indicate a reference rate and spread in their description above.

(6) Restricted security (Note 9).(7) A portion of the principal balance has been written-off during the period due to defaults in the underlying loans. Cost basis has been adjusted.(8) Investments issued under Regulation S of the Securities Act of 1933, as amended, may not be offered, sold, or delivered within the United

States except under special exemptions. At December 31, 2019, the value of these securities amounted to $2,461,803 or 0.9% of net assets.(9) Rate disclosed is the 7-day net yield as of December 31, 2019.

(10) Rate shown represents yield-to-maturity.(11) All or a portion of this security is held as collateral for open futures contracts.(12) This instrument has a forward starting effective date. See Note 3, Portfolio Investments in the Notes to Financial Statements for further

information.ABS - Asset-Backed Securities.ACES - Alternative Credit Enhancement Securities.CLO - Collateralized Loan Obligation.EETC - Enhanced Equipment Trust Certificate.I/F - Inverse Floating rate security whose interest rate moves in the opposite direction of prevailing interest rates.I/O - Interest Only Security.PAC - Planned Amortization Class.TAC - Target Amortization Class.


TCW Strategic Income Fund, Inc.Investments by Sector December 31, 2019

SectorPercentage of

Net Assets

Residential Mortgage-Backed Securities — Non-Agency 39.4%Corporate Bonds 26.6Asset-Backed Securities 11.8Money Market Investments 7.7Commercial Mortgage-Backed Securities — Agency 6.9Commercial Mortgage-Backed Securities — Non-Agency 5.1Municipal Bonds 1.8Foreign Government Bonds 1.3Residential Mortgage-Backed Securities — Agency 1.0Short Term Investments 0.3Other* (1.9)

Total 100.0%

* Includes cash, futures, swaps, pending trades, interest receivable and accrued expenses payable.


TCW Strategic Income Fund, Inc.Fair Valuation Summary December 31, 2019

The following is a summary of the fair valuations according to the inputs used as of December 31, 2019 in valuing theFund’s investments:

Description

Quoted Pricesin Active

Markets forIdenticalAssets

(Level 1)

OtherSignificantObservable

Inputs(Level 2)

SignificantUnobservable

Inputs(Level 3) Total

Fixed Income SecuritiesAsset-Backed Securities $ — $ 31,973,840 $ 249,257 $ 32,223,097Mortgage-Backed Securities

Commercial Mortgage-Backed Securities — Agency — 18,815,393 — 18,815,393Commercial Mortgage-Backed Securities — Non-Agency — 13,813,438 — 13,813,438Residential Mortgage-Backed Securities — Agency — 2,807,542 — 2,807,542Residential Mortgage-Backed Securities — Non-Agency — 100,674,945 7,049,925 107,724,870

Total Mortgage-Backed Securities — 136,111,318 7,049,925 143,161,243

Corporate Bonds* — 72,819,666 — 72,819,666Municipal Bonds — 4,863,774 — 4,863,774Foreign Government Bonds — 3,580,537 — 3,580,537

Total Fixed Income Securities — 249,349,135 7,299,182 256,648,317

Money Market Investments 21,025,881 — — 21,025,881Short-Term Investments 714,735 — — 714,735

Total Investments $ 21,740,616 $ 249,349,135 $ 7,299,182 $ 278,388,933

Asset DerivativesFutures Contracts

Equity Risk 183,228 — — 183,228Interest Rate Risk 512,754 — — 512,754

Swap AgreementsInterest Rate Risk — 272,481 — 272,481

Total $ 22,436,598 $ 249,621,616 $ 7,299,182 $ 279,357,396

Liability DerivativesSwap Agreements

Interest Rate Risk $ — $ (273,773) $ — $ (273,773)

Total $ — $ (273,773) $ — $ (273,773)

* See Schedule of Investments for corresponding industries.


TCW Strategic Income Fund, Inc.Statement of Assets and Liabilities December 31, 2019

ASSETS:Investments, at Value (Cost: $266,868,582) $ 278,388,933Cash 34,185Cash Collateral Held for Broker for Swap Agreements 62,615Interest and Dividends Receivable 1,848,811Receivable for Variation Margin on Open Financial Futures Contracts 90,167Receivable for Securities Sold 74,848Prepaid Expenses 18,791Receivable for Variation Margin on Open Centrally Cleared Swap Agreements 1,701

Total Assets 280,520,051

LIABILITIES:Distributions Payable 6,833,541Accrued Other Expenses 220,539Accrued Investment Advisory Fees 144,136Commitment Fee Payable on Open Line of Credit 15,641Accrued Directors’ Fees and Expenses 13,209

Total Liabilities 7,227,066

NET ASSETS $ 273,292,985

NET ASSETS CONSIST OF:Common Stock, par value $0.01 per share (75,000,000 shares authorized, 47,686,957 shares

issued and outstanding) $ 476,870Paid-in Capital 268,963,511Accumulated Earnings (Loss) 3,852,604

NET ASSETS $ 273,292,985

NET ASSET VALUE PER SHARE $ 5.73

MARKET PRICE PER SHARE $ 5.77


TCW Strategic Income Fund, Inc.Statement of Operations Year Ended December 31, 2019

INVESTMENT INCOME:Income

Interest $ 17,975,668

Total Investment Income 17,975,668

ExpensesInvestment Advisory Fees 1,635,977Audit and Tax Service Fees 205,096Directors’ Fees and Expenses 89,826Commitment Fee on Open Line of Credit 59,598Custodian Fees 56,088Legal Fees 55,714Administration Fees 54,773Transfer Agent Fees 53,085Listing Fees 48,879Insurance Expense 48,175Proxy Expense 36,679Printing and Distribution Costs 28,633Accounting Fees 25,908Miscellaneous Expense 13,169

Total Expenses 2,411,600

Net Investment Income 15,564,068

NET REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ONINVESTMENTS, FUTURES CONTRACTS AND SWAP AGREEMENTS :Net Realized Gain (Loss) on:

Investments 2,334,540Futures Contracts (1,515,953)Swap Agreements 1,676

Change in Unrealized Appreciation (Depreciation) on:Investments 4,280,694Futures Contracts 1,466,812Swap Agreements (11,807)

Net Realized Gain (Loss) and Change in Unrealized Appreciation (Depreciation) on Investments,Futures Contracts and Swap Agreements 6,555,962

INCREASE IN NET ASSETS FROM OPERATIONS $ 22,120,030


TCW Strategic Income Fund, Inc.Statements of Changes in Net Assets

Year EndedDecember 31,

2019


2018

OPERATIONS:Net Investment Income $ 15,564,068 $ 14,342,728Net Realized Gain on Investments, Futures Contracts, Swap Agreements and

Foreign Currency 820,263 1,119,835Change in Unrealized Appreciation (Depreciation) on Investments, Futures

Contracts, Swap Agreements and Foreign Currency 5,735,699 (10,128,898)

Increase in Net Assets Resulting from Operations 22,120,030 5,333,665

DISTRIBUTIONS TO SHAREHOLDERS:Distributions to Shareholders (18,421,472) (17,772,928)

Total Increase (Decrease) in Net Assets 3,698,558 (12,439,263)

NET ASSETS:Beginning of Year 269,594,427 282,033,690

End of Year $ 273,292,985 $ 269,594,427


TCW Strategic Income Fund, Inc.Notes to Financial Statements December 31, 2019

Note 1 — Organization

TCW Strategic Income Fund, Inc. (the “Fund”) was incorporated in Maryland on January 13, 1987 as adiversified, closed-end investment management company and is registered under the Investment CompanyAct of 1940, as amended (the “1940 Act”). Its shares are traded on the New York Stock Exchange under thesymbol TSI. The Fund commenced operations on March 5, 1987. The Fund’s investment objective is toseek a total return comprised of current income and capital appreciation, and it seeks to achieve itsinvestment objective by investing in a wide range of securities including convertible securities, marketableequity securities, investment-grade debt securities, high-yield debt securities, securities issued orguaranteed by the U.S. Government, its agencies and instrumentalities (“U.S. Government Securities”),repurchase agreements, mortgage related securities, asset-backed securities, money market securities,other securities and derivative instruments without limit believed by the Fund’s investment advisor to beconsistent with the Fund’s investment objective. TCW Investment Management Company LLC (the“Advisor”) is the investment advisor to the Fund and is registered under the Investment Advisers Act of1940, as amended.

Note 2 — Significant Accounting Policies

The following is a summary of significant accounting policies, which are in conformity with accountingprinciples generally accepted in the United States of America (“GAAP”) and which are consistently followedby the Fund in the preparation of its financial statements. The Fund is considered an investment companyunder the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”)No. 946, Financial Services — Investment Companies. Subsequent events, if any, have been evaluatedthrough the date of issuance in the preparation of the financial statements.

Principles of Accounting: The Fund uses the accrual method of accounting for financial reportingpurposes.

Security Valuation: Securities traded on national exchanges are valued at the last reported sales prices.Securities traded on the NASDAQ stock market (“NASDAQ”) are valued using the official closing prices asreported by NASDAQ, which may not be the last sale price. Other securities, including short-terminvestments, swap agreements and forward currency contracts, which are traded over-the-counter (“OTC”),are valued at the mean of the current bid and asked prices as furnished by independent pricing services orby dealer quotations. Futures contracts are valued at the official settlement prices of the exchanges onwhich they are traded.

Securities for which market quotations are not readily available, including as a result of circumstancesunder which it is determined by the Advisor that prices received are not reflective of their market values, arevalued by the Advisor’s Pricing Committee in accordance with the guidelines established by the ValuationCommittee of the Board of Directors of the Fund (the “Board”) and under the general oversight of theBoard.

Fair value is defined as the price that the Fund would receive upon selling an investment in a timelytransaction to an independent buyer in the principal or most advantageous market for the investment. Inaccordance with the authoritative guidance on fair value measurements and disclosures under GAAP, theFund discloses investments in a three-tier hierarchy. This hierarchy is utilized to establish classification offair value measurement broadly based on inputs that market participants would use in pricing the asset orliability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputsare inputs that reflect the assumptions market participants would use in pricing the asset or liability

22

TCW Strategic Income Fund, Inc.December 31, 2019

Note 2 — Significant Accounting Policies (Continued)

developed based on market data obtained from sources independent of the reporting entity. Unobservableinputs are inputs that reflect the reporting entity’s own assumptions about the inputs market participantswould use in pricing the asset or liability developed based on the best information available in thecircumstances.

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 withinthe hierarchy. The inputs or methodologies used for valuing investments are not necessarily an indicationof the risk associated with investing in those investments and the determination of the significance of aparticular input to the fair value measurement in its entirety requires judgment and consideration of factorsspecific to each security.

The availability of observable inputs can vary from security to security and is affected by a wide variety offactors, including, for example, the type of security, whether the security is new and not yet established inthe marketplace, the liquidity of markets, and other characteristics particular to the security. To the extentthat valuation is based on models or inputs that are less observable or unobservable in the market, thedetermination of fair value requires more judgment. Accordingly, the degree of judgment exercised indetermining 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 manyinstruments. This condition, as well as changes related to liquidity of investments, could cause a security tobe 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 valuehierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy is determined basedon the lowest level input that is significant to the fair value measurement.

Fair Value Measurements: Descriptions of the valuation techniques applied to the Fund’s majorcategories of assets and liabilities on a recurring basis are as follows:

Asset-backed securities (“ABS”) and mortgage-backed securities (“MBS”). The fair value of ABS and MBS isestimated based on pricing models that consider the estimated cash flows of each debt tranche of theissuer, establish a benchmark yield, and develop an estimated tranche specific spread to the benchmarkyield based on the unique attributes of the tranche including, but not limited to, the prepayment speedassumptions and attributes of the collateral. To the extent the inputs are observable and timely, the valueswould be categorized in Level 2 of the fair value hierarchy; otherwise, they would be categorized in Level 3.

Corporate bonds. The fair value of corporate bonds is estimated using recently executed transactions,market price quotations (where observable), bond spreads, or credit default swap spreads adjusted for anybasis difference between cash and derivative instruments. Corporate bonds are generally categorized inLevel 2 of the fair value hierarchy.

23

TCW Strategic Income Fund, Inc.Notes to Financial Statements (Continued)


Futures contracts. Futures contracts are generally valued at the settlement price established at the close ofbusiness each day by the exchange on which they are traded. They are categorized in Level 1.

Government and agency securities. Government and agency securities are normally valued using a modelthat incorporates market observable data such as reported sales of similar securities, broker quotes, yields,bids, offers, quoted market prices, and reference data. Accordingly, government and agency securities arenormally categorized in Level 1 or 2 of the fair value hierarchy depending on the liquidity and transparencyof the market.

Interest Rate swaps. Interest rate swaps are fair valued using pricing models that take into account, amongother factors, index spread curves, nominal values, modified duration values and cash flows. To the extentthat these inputs are observable and timely, the fair values of credit default swaps are categorized asLevel 2; otherwise, the fair values are categorized in Level 3.

Money market funds. Money market funds are open-end mutual funds that invest in short-term debtsecurities. To the extent that these funds are valued based upon the reported net asset value (“NAV”), theyare categorized in Level 1 of the fair value hierarchy.

Municipal bonds. Municipal bonds are fair valued based on pricing models that take into account, amongother factors, information received from market makers and broker-dealers, current trades, bid wantedlists, 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 municipalbonds 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-publicentities are included in Level 3 of the fair value hierarchy because they trade infrequently, and therefore, theinputs are unobservable. Any other restricted securities valued similar to publicly traded securities arecategorized in Level 2 or 3 of the fair value hierarchy depending on whether a discount is applied andsignificant to the fair value.

Short-term investments. Short-term investments are valued using market price quotations, and arereflected in Level 1 of the fair value hierarchy.

The summary of the inputs used as of December 31, 2019 is listed after the Investments by Sector table.

24



The following is a reconciliation of investments in which significant unobservable inputs (Level 3) wereused in determining value:

Asset-BackedSecurities

ResidentialMortgage-BackedSecurities — Non-

Agency Total

Balance as of December 31, 2018 $ 400,385 $ 5,016,324 $ 5,416,709Accrued Discounts (Premiums) — (750,739) (750,739)Realized Gain (Loss) (109,519) — (109,519)Change in Unrealized Appreciation (Depreciation) 9,881 634,242 644,123Purchases — 2,150,098 2,150,098Sales (51,490) — (51,490)Transfers in to Level 3 — — —Transfers out of Level 3 — — —

Balance as of December 31, 2019 $ 249,257 $ 7,049,925 $ 7,299,182

Change in Unrealized Appreciation (Depreciation) from Investments StillHeld at December 31, 2019 $ 9,881 $ 634,242 $ 644,123

Significant unobservable valuation inputs of Level 3 investments as of December 31, 2019 are as follows:

Description

Fair Value atDecember 31,

2019 Valuation Techniques*Unobservable

InputPrice or Price

RangeWeighted Average

Price

Asset-Backed Securities $ 249,257 Third-party Broker Broker Quotes $ 21.2 to $22 $ 21.74Residential Mortgage-

Backed Securities —Non-Agency (InterestOnly Collateral Strip RateSecurities) $ 1,135,203 Third-party Vendor Vendor Prices $ 0.43 to $2.63 $ 1.21

Residential Mortgage-Backed Securities —Non-Agency (InterestOnly Securities) $ 5,914,722 Third-party Vendor Vendor Prices $ 2.71 to $28.31 $ 9.30

Security Transactions and Related Investment Income: Security transactions are recorded as of the tradedate. Dividend income is recorded on the ex-dividend date. Interest income is recognized on an accrualbasis. Realized gains and losses on investments are recorded on the basis of specific identification.

Use of Estimates: The preparation of the accompanying financial statements requires management tomake estimates and assumptions that affect the reported amount of assets and liabilities at the date of thefinancial statements and the reported amounts of income and expenses during the reporting period. Actualresults could differ from these estimates.

Foreign Currency Translation: The books and records of the Fund are maintained in U.S. dollars asfollows: (1) the foreign currency denominated securities and other assets and liabilities stated in foreigncurrencies are translated using the daily spot rate; and (2) purchases, sales, income and expenses aretranslated at the rate of exchange prevailing on the respective dates of such transactions. The resultantexchange gains and losses are included in net realized or net unrealized gain (loss) in the Statement ofOperations. Pursuant to U.S. federal income tax regulations, certain foreign exchange gains and lossesincluded in realized and unrealized gains and losses are included in, or are a reduction of, ordinary incomefor U.S. federal income tax purposes.

25



Distributions: Distributions to shareholders are recorded on each ex-dividend date. The Fund declaredand paid or reinvested dividends quarterly under an income-based distribution policy. The income-baseddistribution policy has a stated goal of providing quarterly distributions out of the Fund’s accumulatedundistributed net investment income and/or other sources subject to the requirements of the 1940 Act andSub-chapter M of the Internal Revenue Code (the “Code”). The source for the dividend can come from netinvestment income and net realized capital gains measured on a fiscal year basis. Any portion of thedistribution that exceeds income and capital gains will be treated as a return of capital. Under certainconditions, U.S. federal tax regulations cause some or all of the return of capital to be taxed as ordinaryincome. Income and capital gain distributions are determined in accordance with income tax regulationswhich may differ from GAAP. These differences may be primarily due to differing treatments for marketdiscount and premium, losses recognized on structured debt, losses deferred due to wash sales, foreigncurrency gains and losses, and spillover distributions. Permanent book and tax basis differences relating toshareholder distributions will result in reclassifications to paid-in capital and may affect net investmentincome per share.

Derivative Instruments: Derivatives are financial instruments whose values are based on the values ofone or more indicators, such as a security, asset, currency, interest rate, or index. Derivative transactionscan create investment leverage and may be highly volatile. It is possible that a derivative transaction willresult in a loss greater than the principal amount invested. The Fund may not be able to close out aderivative transaction at a favorable time or price.

For the year ended December 31, 2019, the Fund had derivatives and transactions in derivatives, grouped inthe following risk categories (amounts in thousands except notional amounts or number of contracts):

Equity RiskInterest Rate

Risk Total

Asset DerivativesSwaps Agreements (1) $ — $ 272,481 $ 272,481Futures Contracts (2) 183,228 512,754 695,982

Total Value $ 183,228 $ 785,235 $ 968,463

Liability DerivativesSwaps Agreements (1) $ — $ (273,773) $ (273,773)

Total Value $ — $ (273,773) $ (273,773)

Statement of Operations:Realized Gain (Loss)

Futures Contracts $ 672,378 $ (2,188,331) $ (1,515,953)Swaps Agreements — 1,676 1,676

Total Realized Gain (Loss) $ 672,378 $ (2,186,655) $ (1,514,277)

Change in Appreciation (Depreciation)Futures Contracts $ 469,939 $ 996,873 $ 1,466,812Swaps Agreements — (11,807) (11,807)

Total Change in Appreciation (Depreciation) $ 469,939 $ 985,066 $ 1,455,005

Number of Contracts or Notional Amounts (3)

Swaps Agreements $ — $ 27,848,333 $ 27,848,333Futures Contracts 32 161 193

(1) Represents appreciation (depreciation) on swap agreements as reported in the Schedule of Investments as of December 31,2019. Only the variation margin is reported within the Statement of Assets and Liabilities

26


Note 2 — Significant Accounting Policies (Continued)(2) Represents appreciation (depreciation) of futures contracts as reported in the Schedule of Investments as of December 31, 2019.

Only the variation margin is reported within the Statement of Assets and Liabilities.(3) Amount disclosed represents average number of contracts or notional amounts, which are representative of the volume traded

for the year ended December 31, 2019.

Counterparty Credit Risk: Derivative contracts may expose the Fund to counterparty risk. Losses canoccur if the counterparty does not perform under the contract.

With exchange traded futures and centrally cleared swaps, there is less counterparty credit risk to the Fundsince the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possibledefault. The clearinghouse stands between the buyer and the seller of the contract; therefore, thecounterparty credit risk is limited to failure of the clearinghouse. While offset rights may exist underapplicable law, the Fund does not have a contractual right of offset against a clearing broker orclearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker orclearinghouse. Additionally, credit risk exists in exchange traded futures and centrally cleared swaps withrespect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearingbrokers are required to segregate customer margin from their own assets, in the event that a clearingbroker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregateamount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated ona pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund.

The Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to theaggregate unrealized gain netted against any collateral held by the Fund. For OTC derivatives, the Fundenters into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA MasterAgreement”) with each counterparty. An ISDA Master Agreement is a bilateral agreement between theFund and a counterparty that governs OTC derivatives and typically contains, among other things,collateral posting terms and netting provisions in the event of a default and/or termination event. Under anISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certainderivative financial instruments’ payables and/or receivables with collateral held and/or posted and createone single net payment. The provisions of the ISDA Master Agreement typically permit a single netpayment in the event of default including the bankruptcy or insolvency of the counterparty. However,bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions againstthe right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreementsallow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event theFund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA MasterAgreements, which would cause the Fund to accelerate payment of any net liability owed to thecounterparty.

Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateralrequirements are typically calculated by netting the mark to market amount for each transaction under suchagreement and comparing that amount to the value of any collateral pledged or received by the Fund.

Cash collateral that has been pledged to cover obligations of the Fund is reported separately on theStatement of Assets and Liabilities. Non-cash collateral pledged by the Fund, if any, is noted in theSchedule of Investments. Generally, the amount of collateral due from or to a party has to exceed aminimum transfer amount threshold, typically $250,000 or $500,000, before a transfer is required, whichis determined at the close of each business day and the collateral is transferred on the next business day.To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or

27



otherwise, the Fund bears the risk of loss from counterparty non-performance. The Fund attempts tomitigate counterparty risk by entering into agreements only with counterparties that the Advisor believeshave the financial resources to honor their obligations and by monitoring the financial stability of thosecounterparties. For financial reporting purposes, the Fund does not offset derivative assets and derivativeliabilities that are subject to netting arrangements in the Statement of Assets and Liabilities. The Fund hasimplemented the disclosure requirements pursuant to FASB ASU No. 2013-01, Disclosures aboutOffsetting Assets and Liabilities that requires disclosures to make financial statements that are preparedunder GAAP more comparable to those prepared under International Financial Reporting Standards.

The Fund had no OTC derivatives for offset under an ISDA Master Agreement as of December 31, 2019.

Note 3 — Portfolio Investments

Mortgage-Backed and Other Asset-Backed Securities: The Fund may invest in mortgage pass-throughsecurities, which represent interests in pools of mortgages. Payments of both principal and interest on thesecurities are generally made monthly, in effect “passing through” monthly payments made by borrowerson the residential or commercial mortgage loans that underlie the securities (net of any fees paid to theissuer or guarantor of the securities). Mortgage pass-through securities differ from other forms of debtsecurities, which normally provide for periodic payment of interest in fixed amounts with principalpayments at maturity or specified call dates. The Fund may also invest in collateralized mortgageobligations (“CMOs”). CMOs are debt obligations collateralized by residential or commercial mortgageloans or residential or commercial mortgage pass-through securities. Interest and principal are generallypaid monthly. CMOs may be collateralized by whole mortgage loans or private mortgage pass-throughsecurities but are more typically collateralized by portfolios of mortgage pass-through securities guaranteedby the Government National Mortgage Association (Ginnie Mae), Federal Home Loan MortgageCorporation (Freddie Mac) or Federal National Mortgage Corporation (Fannie Mae). The issuer of a seriesof CMOs may elect to be treated for tax purposes as a Real Estate Mortgage Investment Conduit. CMOsare structured into multiple classes, each bearing a different stated maturity. Monthly payment of principalreceived from the pool of underlying mortgages, including prepayments, is first returned to investorsholding the shortest maturity class. Investors holding the longer maturity classes usually receive principalonly after shorter classes have been retired. An investor may be partially protected against a sooner thandesired return of principal because of the sequential payments. The Fund may invest in stripped MBS.Stripped MBS are usually structured with two classes that receive different proportions of the interest andprincipal distributions on a pool of mortgage assets. In certain cases, one class will receive all of theinterest (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 (includingprepayments) on the related underlying mortgage assets, and principal payments may have a materialeffect on yield to maturity. If the underlying mortgage assets experience greater than anticipatedprepayments of principal, the Fund may not fully recoup its initial investment in IOs. Mortgage-backed andother asset-backed securities held by the fund at December 31, 2019 are listed in the Fund’s Schedule ofInvestments.

Repurchase Agreements: The Fund may enter into repurchase agreements under the terms of a MasterRepurchase Agreement (“MRA”). In a repurchase agreement transaction, the Fund will purchase a securityfrom a counterparty who agrees to repurchase the same security at a mutually agreed upon date and price.The MRA permits the Fund, under certain circumstances, including an event of default (such as bankruptcy

28


Note 3 — Portfolio Investments (Continued)

or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted tothe counterparty and create one single net payment due to or from the Fund. However, bankruptcy orinsolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a rightof offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of theMRA, the Fund receives securities as collateral with a market value in excess of the repurchase price. Upona bankruptcy or insolvency of the MRA counterparty, the Fund recognizes a liability with respect to suchexcess collateral to reflect the Fund’s obligation under bankruptcy law to return the excess to thecounterparty. The Fund had no repurchase agreements outstanding at December 31, 2019.

When-Issued, Delayed-Delivery, and Forward Commitment Transactions: The Fund may enter into whenissued, delayed-delivery or forward commitment transactions in order to lock in the purchase price of theunderlying security or 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 particular securities,with payment and delivery to take place at a future date. Although the Fund does not pay for the securitiesor 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 awhen issued, delayed-delivery or forward commitment basis, there may be a loss, and the Fund may havemissed an opportunity to make an alternative investment.

Prior to settlement of these transactions, the value of the subject securities will fluctuate. In addition,because the Fund is not required to pay for when-issued, delayed-delivery or forward commitmentsecurities until the delivery date, they may result in a form of leverage. To guard against this deemedleverage, the Fund monitors the obligations under these transactions and ensures that the Fund hassufficient liquid assets to cover them. The Fund had no When-Issued, Delayed-Delivery, or ForwardCommitment Transactions during the year ended December 31, 2019.

Security Lending: The Fund may lend its securities to qualified brokers. The loans must be collateralizedat all times primarily with cash although the Fund can accept money market instruments orU.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 thecollateral if the borrowers of the securities fail financially. The Fund earns additional income for lending itssecurities by investing the cash collateral in short-term investments. The Fund did not lend any securitiesduring the year ended December 31, 2019.

Derivatives:

Forward Foreign Currency Contracts: The Fund enters into forward foreign currency contracts as a hedgeagainst fluctuations in foreign exchange rates. Forward foreign currency contracts are marked to marketdaily and the change in market value is recorded by the Fund as unrealized gains or losses in the Statementof Assets and Liabilities. When a contract is closed or delivery is taken, the Fund records a realized gain orloss equal to the difference between the value of the contract at the time it was opened and the value at thetime it was closed. Risks arise upon entering into these contracts from the potential inability ofcounterparties to meet the terms of their contracts and from unanticipated movements in the value of theforeign currency relative to the U.S. dollar. The Fund did not have any foreign currency forward contractsduring the year ended December 31, 2019.

Futures Contracts: The Fund seeks to manage a variety of different risks or obtain exposure through theuse of futures contracts. The Fund may use index futures to hedge against broad market risks to its

29



portfolio or to gain broad market exposure when it holds uninvested cash or as an inexpensive substitutefor cash investments directly in securities or other assets. Securities index futures contracts are contracts tobuy or sell units of a securities index at a specified future date at a price agreed upon when the contract ismade and are settled in cash. Positions in futures may be closed out only on an exchange or board of tradewhich provides a secondary market for such futures. Because futures contracts are exchange-traded, theytypically have minimal exposure to counterparty risk. Parties to a futures contract are not required to postthe entire notional amount of the contract, but rather a small percentage of that amount (by way ofmargin), both at the time they enter into futures transactions, and then on a daily basis if their positionsdecline in value; as a result, futures contracts are highly leveraged. Such payments are known as variationmargin and are recorded by the Fund as unrealized gains or losses. Because futures markets are highlyleveraged, they can be extremely volatile, and there can be no assurance that the pricing of a futurescontract will correlate precisely with the pricing of the asset or index underlying it or the asset or liability ofthe Fund that is the subject of the hedge. It may not always be possible for the Fund to enter into a closingtransaction with respect to a futures contract it has entered into at a favorable time or price. When theFund enters into a futures transaction, it is subject to the risk that the value of the futures contract willmove 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 orliability that will offset any loss (or gain) on the transactions, at least in part. When a futures contract isclosed, the Fund records a realized gain or loss equal to the difference between the value of the contract atthe time it was opened and the value at the time it was closed. During the year ended December 31, 2019,the Fund used S&P 500 Index futures to gain exposure to the equity market. The Fund also utilized treasuryfutures to help manage interest rate duration and credit market exposure. Futures contracts outstanding atDecember 31, 2019 are listed in the Fund’s Schedule of Investments.

Swap Agreements: The Fund may enter into swap agreements. Swap agreements are typically two-partycontracts entered into primarily by institutional investors. In a standard “swap” transaction, two partiesagree to exchange the returns (or differentials in rates of return) earned or realized on particularpredetermined investments or instruments, which may be adjusted for an interest factor. The gross returnsto be exchanged or “swapped” between the parties are generally calculated with respect to a “notionalamount” (i.e., the return on or increase in value of a particular dollar amount invested at a particularinterest rate or in a “basket” of securities representing a particular index).

Interest rate swaps are agreements in which one party pays a floating rate of interest on a notional principalamount and receives a fixed rate of interest on the same notional principal amount for a specified period oftime. Alternatively, a party may pay a fixed rate and receive a floating rate. In more complex swaps, thenotional principal amount may decline (or amortize) over time. The Fund’s maximum risk of loss due tocounterparty default is the discounted NAV of the cash flows paid to/received from the counterparty overthe interest rate swap’s remaining life.

During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gainsor losses by marking to market to reflect the market value of the swap. When the swap is terminated, theFund will record a realized gain or loss equal to the difference, if any, between the proceeds from (or costof) the closing transaction and the Fund’s basis in the agreement. Upfront swap premium payments paidor received by the Fund, if any, are recorded within the value of the open swap agreement on the Fund’sStatement of Assets and Liabilities and represent payments paid or received upon entering into the swap

30



agreement to compensate for differences between stated terms of the swap agreement and prevailingmarket conditions (credit spreads, currency exchange rates, and other relevant factors). These upfrontpayments are recorded as realized gain or loss on the Fund’s Statement of Operations upon termination ormaturity of the swap agreement.

During the term of a swap transaction, the periodic net payments can be made for a set period of time ormay be triggered by a predetermined credit event. The net periodic payments may be based on a fixed orvariable interest rate, the change in market value of a specified security, basket of securities or index, or thereturn generated by a security. These periodic payments received or made by the Fund are recorded asrealized gains and losses, respectively. During the year ended December 31, 2019, the Fund entered intointerest rate swaps to manage duration, the yield curve or interest rate risk by economically hedging thevalue of the fixed-rate bonds which may decrease when interest rates rise (interest rate risk). Swapagreements outstanding at December 31, 2019 are listed in the Fund’s Schedule of Investments.

Note 4 — Risk Considerations

Market Risk: The Fund’s investments will fluctuate with market conditions, and so will the value of yourinvestment in the Fund. You could lose money on your investment in the Fund or the Fund couldunderperform other investments.

Liquidity Risk: The Fund’s investments in illiquid securities may reduce the returns of the Fund because itmay not be able to sell the illiquid securities at an advantageous time or price. Investments in high yieldsecurities, foreign securities, derivatives or other securities with substantial market and/or credit risk tendto have the greatest exposure to liquidity risk. Certain investments in private placements and Rule 144Asecurities may be considered illiquid investments. The Fund may invest in private placements andRule 144A securities.

Interest Rate Risk: The values of the Fund’s investments fluctuate in response to movements in interestrates. If rates rise, the values of debt securities generally fall. The longer the average duration of the Fund’sinvestment portfolio, the greater the change in value.

Mortgage-Backed and Other Asset-Backed Securities Risk: The Fund may invest in MBS or other ABS.The values of some mortgage-backed securities or other asset backed securities may expose the Fund to alower rate of return upon reinvestment of principal. When interest rates rise, the value of mortgage-relatedsecurities generally will decline; however, when interest rates are declining, the value of mortgage-relatedsecurities with prepayment features may not increase as much as other fixed-income securities. The rate ofprepayments on underlying mortgages will affect the price and volatility of a mortgage related security, andmay shorten or extend the effective maturity of the security beyond what was anticipated at the time ofpurchase. The value of these securities may fluctuate in response to the market’s perception of thecreditworthiness of the issuers. Additionally, although mortgages and mortgage-related securities aregenerally supported by some form of government or private guarantee and/or insurance, there is noassurance that private guarantors or insurers will meet their obligations.

Derivatives Risk: Use of derivatives, which at times is an important part of the Fund’s investmentstrategy, involves risks different from, or possibly greater than, the risks associated with investing directly insecurities and other traditional investments. Investments in derivatives could cause the Fund to lose morethan the principal amount invested. Also, suitable derivative transactions may not be available in allcircumstances and there can be no assurance that the Fund will achieve its objective with thesetransactions to reduce exposure to other risks when that would be beneficial.

31


Note 4 — Risk Considerations (Continued)

Credit Risk: The values of any of the Fund’s investments may also decline in response to events affectingthe issuer or its credit rating. The lower rated debt securities in which the Fund may invest are consideredspeculative and are subject to greater volatility and risk of loss than investment-grade securities,particularly in deteriorating economic conditions. The value of some mortgage-related securities in whichthe Fund invests also may fall because of unanticipated levels of principal prepayments that can occurwhen interest rates decline. The Fund invests a material portion of its assets in securities of issuers thathold mortgage- and asset-backed securities and direct investments in securities backed by commercial andresidential mortgage loans and other financial assets. The value and related income of these securities aresensitive to changes in economic conditions, including delinquencies and/or defaults. Continuing shifts inthe market’s perception of credit quality on securities backed by commercial and residential mortgageloans and other financial assets may result in increased volatility of market prices and periods of illiquiditywhich can negatively impact the valuation of certain issuers held by the Fund.

MBS and ABS are characterized and classified in a variety of different ways. These classifications include aview of the securities’ cash flow structure (pass through, sequential pay, prepayment-protected, interestonly, principal-only, etc.), the security of the claim on the underlying assets (senior, mezzanine andsubordinated), as well as types of underlying collateral (prime conforming loans, prime non-conformingloans, Alt-A loans, subprime loans, commercial loans, etc.). In many cases, the classification incorporates adegree of subjectivity — a particular loan might be categorized as “prime” by the underwriting standards ofone mortgage issuer while another might classify the loan as “subprime.” The level of risk associated withan investment in a mortgage loan can be impacted by, among other factors, the nature of the collateral, theform and the level of credit enhancement, the vintage of the loan, the geography of the loan, the purpose ofthe loan (e.g. refinance versus purchase versus equity take-out), the borrower’s credit quality (e.g., FICOscore), and whether the loan is a first trust deed or a second lien.

Counterparty Risk: The Fund may be exposed to counterparty risk, or the risk that an entity with which theFund has unsettled or open transactions may not fulfill its obligations.

LIBOR Risk: The London Interbank Offered Rate (“LIBOR”) is used extensively in the U.S. and globally asa “benchmark” or “reference rate” for various commercial and financial contracts, including corporate andmunicipal bonds, bank loans, asset-backed and mortgage-related securities, interest rate swaps and otherderivatives. For example, debt securities in which the Fund invests may pay interest at floating rates basedon LIBOR or may be subject to interest caps or floors based on LIBOR. The Fund’s derivative investmentsmay also reference LIBOR. In addition, issuers of instruments in which the Fund invests may obtainfinancing at floating rates based on LIBOR, and the Fund may use leverage or borrowings based on LIBOR.In July 2017, the head of the United Kingdom Financial Conduct Authority announced the intention tophase out the use of LIBOR by the end of 2021. There is currently no definitive information regarding thefuture utilization of LIBOR or of any particular replacement reference rate. Abandonment of ormodifications to LIBOR could have adverse impacts on newly issued financial instruments and existingfinancial instruments that reference LIBOR. The expected discontinuation of LIBOR could have a significantimpact on the financial markets and may present a material risk for certain market participants, includinginvestment companies such as the Fund. Abandonment of or modifications to LIBOR could lead tosignificant short- and long-term uncertainty and market instability. The risks associated with thisdiscontinuation and transition may be exacerbated if the work necessary to effect an orderly transition to analternative reference rate is not completed in a timely manner. It remains uncertain how such changes

32


Note 4 — Risk Considerations (Continued)

would be implemented and the effects such changes would have on the Fund, issuers of instruments inwhich the Fund invests, and the financial markets generally.

Note 5 — Federal Income Taxes

It is the policy of the Fund to comply with the requirements of the Code applicable to regulated investmentcompanies and distribute all of its net taxable income, including any net realized gains on investments, toits shareholders. Therefore, no federal income tax provision is required.

The following table shows character of distributed and undistributed amounts on a tax basis.

Amount Distributed Duringthe Year

Undistributed Amount at YearEnd


2019


2018December 31,

2019December 31,

2018

Ordinary Income $ 17,273,916 $ 17,346,285 $ 36,007 $ 10,517Capital Gain 1,147,556 426,643 — —

$ 18,421,472 $ 17,772,928 $ 36,007 $ 10,517

At December 31, 2019, net unrealized appreciation for federal income tax purposes is comprised of thefollowing components:

Unrealized appreciation $ 19,871,736Unrealized (depreciation) (14,757,367)

Net unrealized appreciation $ 5,114,369

Cost of Investments for Federal Income Tax Purposes $ 273,274,564

The following reclassifications have been made for the permanent difference between book and taxaccounting as of December 31, 2019:

Increase(Decrease)

Distributions in Excess of Net Investment Income $ 974,074Accumulated Net Realized Loss on Investments $ (974,074)Paid in Capital $ —

The Fund did not have any unrecognized tax benefits at December 31, 2019, nor were there any increases ordecreases in unrecognized tax benefits for the period then ended; and therefore no interest or penaltieswere accrued. The Fund is subject to examination by U.S. federal and state tax authorities for returns filedfor the prior three and four fiscal years, respectively.

Note 6 — Investment Advisory and Service Fees

As compensation for the investment advisory services rendered, facilities provided, and expenses borne,the Advisor is paid a monthly fee by the Fund computed at the annual rate of 0.75% of the first $100 millionof the Fund’s average managed assets and 0.50% of the Fund’s average managed assets in excess of$100 million.

33


Note 7 — Purchases and Sales of Securities

For the year ended December 31, 2019, purchases and sales or maturities of investment securities(excluding short-term investments) aggregated to $70,002,612 and $103,955,078, respectively, for non-U.S.Government securities, and aggregated to $20,954,707 and $11,900,734, respectively, for U.S. Governmentsecurities.

Purchases during the year ended December 31, 2019 include the Fund’s purchase of a security from anaffiliated investment account for a total of $1,302,492 in accordance with the provisions set forth in SECRule 17a-7 of the 1940 Act.

Note 8 — Directors’ Fees

Directors who are not affiliated with the Advisor received, as a group, fees and expenses of $89,826 fromthe Fund for the year ended December 31, 2019. Directors may elect to defer receipt of their fees inaccordance with the terms of a Non-Qualified Deferred Compensation Plan. Deferred compensation isincluded within Accrued Directors’ Fees and Expenses in the Statement of Assets and Liabilities. CertainOfficers and/or Directors of the Fund are also Officers and/or Directors of the Advisor but do not receiveany compensation from the Fund.

Note 9 — Restricted Securities

The Fund is permitted to invest in securities that have legal or contractual restrictions on resale. Thesesecurities may be sold privately, but are required to be registered before being sold to the public(exemption rules apply). Private placement securities are generally considered to be restricted except forthose securities traded between qualified institutional investors under the provisions of Rule 144A of theSecurities Act of 1933, as amended (the “Securities Act”). However, the Fund considers 144A securities tobe restricted if those securities have been deemed illiquid by the Advisor. Disposal of these securities mayinvolve time consuming negotiations and expense, and prompt sale at an acceptable price may be difficult.Restricted securities held by the Fund at December 31, 2019 are listed below:

Issuer Description Acquisition DateAcquisition

CostAggregate

Value

Percentageof NetAssets

Citigroup Commercial Mortgage Trust,(12-GC8-XA), 1.77%, due 09/10/45 2/13/2015-2/26/2015 $ 314,302 $ 121,880 0.0%

Four Times Square Trust Commercial Mortgage Pass-Through Certificates (06-4TS-X),0.18% due 12/13/28 3/22/2018-6/19/2018 290,751 96,236 0.0%

GS Mortgage Securities Trust GSMS (12-GC6-XB),0.20% due 01/10/2045 2/1/2018 141,354 74,602 0.0%

JPMorgan Chase Commercial Mortgage SecuritiesTrust, (12-HSBC-XA), 1.43%, due 07/05/2032 10/11/2017 266,575 141,361 0.1%

Morgan Stanley Capital I Trust (12-C4-XA),2.07% due 03/15/45 5/16/2018 345,028 187,387 0.1%

UBS Commercial Mortgage Trust (12-C1-XA), 2.08%,due 05/10/45 6/27/2017 394,551 200,365 0.1%

WFRBS Commercial Mortgage Trust (12-C8-XA)1.81% due 08/15/2045 12/22/2017 295,494 158,618 0.1%

$ 2,048,055 $ 980,449 0.4%

34


Note 10 — Loan Outstanding

The Fund is permitted to have borrowings for investment purposes. The Fund has entered into a line ofcredit agreement, renewed annually, with The Bank of New York Mellon (the “Bank”) which permits theFund to borrow up to $70 million at a rate, per annum, equal to the Federal Funds Rate plus 1.00%. TheFund did not have any borrowings during the year ended December 31, 2019. The Fund pays the Bank acommitment fee equal to 0.08% per annum on the daily unused portion of the committed line amount.The commitment fee incurred by the Fund is presented in the Statement of Operations.

Note 11 — Indemnifications

Under the Fund’s organizational documents, its Officers and Directors may be indemnified against certainliabilities and expenses arising out of the performance of their duties to the Fund. In addition, the Fundentered into an agreement with each of the Directors which provides that the Fund will indemnify and holdharmless each Director against any expenses actually and reasonably incurred by such Director in anyproceeding arising out of or in connection with the Director’s services to the Fund, to the fullest extentpermitted by the Fund’s Articles of Incorporation and By-Laws, the Maryland General Corporation Law, theSecurities Act, and the 1940 Act, each as now or hereinafter in force. Additionally, in the normal course ofbusiness, the Fund enters into agreements with service providers that may contain indemnificationclauses. The Fund’s maximum exposure under these arrangements is unknown as this would involvefuture claims that may be made against the Fund that have not yet occurred. However, based onexperience, the Fund expects the risk of loss to be remote. The Fund has not accrued any liability inconnection with such indemnification.

Note 12 — New Accounting Pronouncement

The Fund has adopted FASB ASU 2017-08 to amend the amortization period for certain purchased callabledebt securities held at a premium. Under the new standard, the Fund has changed the amortization periodfor the premium on certain purchased callable debt securities with non-contingent call features to theearliest call date. In accordance with the transition provisions of the standard, the Fund applied theamendments on a modified retrospective basis beginning with the fiscal year ended December 31, 2018.This change in accounting policy has been made to comply with the newly issued accounting standard.Management has concluded there was no material impact to the Fund.

35

TCW Strategic Income Fund, Inc.Financial Highlights


2019


2018


2017


2016


2015

Net Asset Value Per Share, Beginning of Year $ 5.65 $ 5.91 $ 5.81 $ 5.83 $ 5.95

Income from Operations:Net Investment Income (1) 0.33 0.30 0.27 0.26 0.22Net Realized and Unrealized Gain (Loss) on Investments 0.14 (0.19) 0.14 0.00 (2) (0.13)

Total from Investment Operations 0.47 0.11 0.41 0.26 0.09

Less Distributions:Distributions from Net Investment Income (0.35) (0.34) (0.28) (0.21) (0.21)Distributions from Net Realized Gains (0.04) (0.03) (0.03) (0.07) —

Total Distributions (0.39) (0.37) (0.31) (0.28) (0.21)

Net Asset Value Per Share, End of Year $ 5.73 $ 5.65 $ 5.91 $ 5.81 $ 5.83

Market Value Per Share, End of Year $ 5.77 $ 5.27 $ 5.87 $ 5.33 $ 5.27

Net Asset Value Total Return (3) 8.37% 1.86% 7.22% 4.49% 1.60%Market Price Return (4) 17.14% (3.88)% 16.36% 6.56% 1.83%

Ratios/Supplemental Data:

Net Assets, End of Year (in thousands) $ 273,293 $ 269,594 $ 282,034 $ 277,132 $ 277,932

Ratio of Expenses Before Interest Expense to AverageNet Assets 0.85% 0.81% 0.81% 0.84% 0.87%

Ratio of Interest Expense to Average Net Assets 0.02% 0.02% 0.01% 0.01% 0.01%

Ratio of Total Expenses to Average Net Assets 0.87% 0.83% 0.82% 0.85% 0.88%

Ratio of Net Investment Income to Average Net Assets 5.62% 5.13% 4.47% 4.38% 3.70%

Portfolio Turnover Rate 34.64% 31.16% 32.46% 29.20% 24.81%

(1) Computed using average shares outstanding throughout the period.(2) Amount rounds to less than $0.01 per share.(3) Based on net asset value per share, adjusted for reinvestment of distributions.(4) Based on market price per share, adjusted for reinvestment of distributions.

See accompanying notes to financial statements.36

TCW Strategic Income Fund, Inc.Report of Independent Registered Public Accounting Firm

To the Shareholders and the Board of Directors ofTCW Strategic Income Fund, Inc.

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statement of assets and liabilities of TCW Strategic Income Fund, Inc.(the “Fund”), including the schedule of investments, as of December 31, 2019, the related statement ofoperations for the year then ended, the statements of changes in net assets for each of the two years in theperiod then ended, the financial highlights for each of the five years in the period then ended, and therelated notes. In our opinion, the financial statements and financial highlights present fairly, in all materialrespects, the financial position of the Fund as of December 31, 2019, and the results of its operations forthe year then ended, the changes in its net assets for each of the two years in the period then ended, andthe financial highlights for each of the five years in the period then ended in conformity with accountingprinciples generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Fund’s management. Ourresponsibility is to express an opinion on the Fund’s financial statements and financial highlights based onour audits. We are a public accounting firm registered with the Public Company Accounting OversightBoard (United States) (PCAOB) and are required to be independent with respect to the Fund in accordancewith the U.S. federal securities laws and the applicable rules and regulations of the Securities and ExchangeCommission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that weplan and perform the audit to obtain reasonable assurance about whether the financial statements andfinancial highlights are free of material misstatement, whether due to error or fraud. The Fund is notrequired to have, nor were we engaged to perform, an audit of its internal control over financial reporting.As part of our audits we are required to obtain an understanding of internal control over financial reportingbut not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control overfinancial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financialstatements and financial highlights, whether due to error or fraud, and performing procedures that respondto those risks. Such procedures included examining, on a test basis, evidence regarding the amounts anddisclosures in the financial statements and financial highlights. Our audits also included evaluating theaccounting principles used and significant estimates made by management, as well as evaluating theoverall presentation of the financial statements and financial highlights. Our procedures includedconfirmation of securities owned as of December 31, 2019, by correspondence with the custodian andbrokers; when replies were not received from brokers, we performed other auditing procedures. We believethat our audits provide a reasonable basis for our opinion.

Los Angeles, CaliforniaFebruary 14, 2020

We have served as the auditor of one or more TCW/Metropolitan West Funds investment companies since1990.

37

TCW Strategic Income Fund, Inc.Privacy Policy

The TCW Group, Inc. and SubsidiariesTCW Investment Management Company LLC

TCW Asset Management Company LLCMetropolitan West Asset Management, LLC

TCW Funds, Inc. Sepulveda Management LLCTCW Strategic Income Fund, Inc. TCW Direct Lending LLCMetropolitan West Funds TCW Direct Lending VII LLC

What You Should Know

At TCW, we recognize the importance of keeping information about you secure and confidential. We do notsell or share your nonpublic personal and financial information with marketers or others outside ouraffiliated group of companies.

We carefully manage information among our affiliated group of companies to safeguard your privacy and toprovide you with consistently excellent service.

We are providing this notice to you to comply with the requirements of Regulation S-P, “Privacy ofConsumer Financial Information,” issued by the United States Securities and Exchange Commission.

Our Privacy Policy

We, The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Strategic Income Fund, Inc., theMetropolitan West Funds, Sepulveda Management LLC and TCW Direct Lending (collectively, “TCW”) arecommitted to protecting the nonpublic personal and financial information of our customers andconsumers who obtain or seek to obtain financial products or services primarily for personal, family orhousehold purposes. We fulfill our commitment by establishing and implementing policies and systems toprotect the security and confidentiality of this information.

In our offices, we limit access to nonpublic personal and financial information about you to those TCWpersonnel who need to know the information in order to provide products or services to you. We maintainphysical, electronic and procedural safeguards to protect your nonpublic personal and financialinformation.

Categories of Information We Collect

We may collect the following types of nonpublic personal and financial information about you from thefollowing sources:

• Your name, address and identifying numbers, and other personal and financial information, from youand from identification cards and papers you submit to us, on applications, subscription agreements orother forms or communications.

• Information about your account balances and financial transactions with us, our affiliated entities, ornonaffiliated third parties, from our internal sources, from affiliated entities and from nonaffiliated thirdparties.

38


• Information about your account balances and financial transactions and other personal and financialinformation, from consumer credit reporting agencies or other nonaffiliated third parties, to verifyinformation received from you or others.

Categories of Information We Disclose to Nonaffiliated Third Parties

• We may disclose your name, address and account and other identifying numbers, as well as informationabout your pending or past transactions and other personal financial information, to nonaffiliated thirdparties, for our everyday business purposes such as necessary to execute, process, service and confirmyour securities transactions and mutual fund transactions, to administer and service your account andcommingled investment vehicles in which you are invested, to market our products and services throughjoint marketing arrangements or to respond to court orders and legal investigations.

• We may disclose nonpublic personal and financial information concerning you to law enforcement agen-cies, federal regulatory agencies, self-regulatory organizations or other nonaffiliated third parties, ifrequired or requested to do so by a court order, judicial subpoena or regulatory inquiry.

We do not otherwise disclose your nonpublic personal and financial information to nonaffiliated thirdparties, except where we believe in good faith that disclosure is required or permitted by law. Because wedo not disclose your nonpublic personal and financial information to nonaffiliated third parties, ourCustomer Privacy Policy does not contain opt-out provisions.

Categories of Information We Disclose to Our Affiliated Entities

• We may disclose your name, address and account and other identifying numbers, account balances,information about your pending or past transactions and other personal financial information to ouraffiliated entities for any purpose.

• We regularly disclose your name, address and account and other identifying numbers, account balancesand information about your pending or past transactions to our affiliates to execute, process and con-firm securities transactions or mutual fund transactions for you, to administer and service your accountand commingled investment vehicles in which you are invested, or to market our products and servicesto you.

Information About Former Customers

We do not disclose nonpublic personal and financial information about former customers to nonaffiliatedthird parties unless required or requested to do so by a court order, judicial subpoena or regulatory inquiry,or otherwise where we believe in good faith that disclosure is required or permitted by law.

Questions

Should you have any questions about our Customer Privacy Policy, please contact us by email or by regularmail at the address at the end of this policy.

39

TCW Strategic Income Fund, Inc.Privacy Policy (Continued)

Reminder About TCW’s Financial Products

Financial products offered by The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCWStrategic Income Fund, Inc., the Metropolitan West Funds, Sepulveda Management LLC and TCW DirectLending.

• Are not guaranteed by a bank;

• Are not obligations of The TCW Group, Inc. or of its subsidiaries;

• Are not insured by the Federal Deposit Insurance Corporation; and

• Are subject to investment risks, including possible loss of the principal amount committed or invested,and earnings thereon.

THE TCW GROUP, INC.TCW FUNDS, INC.

TCW STRATEGIC INCOME FUND, INC.METROPOLITAN WEST FUNDS

SEPULVEDA MANAGEMENT LLCTCW DIRECT LENDING LLC

TCW DIRECT LENDING VII LLC

Attention: Privacy Officer | 865 South Figueroa St. Suite 1800 | Los Angeles, CA 90017 |email: [email protected]

40

TCW Strategic Income Fund, Inc.Renewal of Investment Management and Advisory Agreement

TCW Strategic Income Fund, Inc. (the “Fund”) and TCW Investment Management Company LLC (the“Advisor”) are parties to an Investment Advisory and Management Agreement (“Agreement”), pursuant towhich the Advisor is responsible for managing the investments of the Fund. Unless terminated by eitherparty, the Agreement continues in effect from year to year provided that the continuance is specificallyapproved at least annually by the vote of the holders of at least a majority of the outstanding shares of theFund, or by the Board of Directors of the Fund (the “Board”), and, in either event, by a majority of theDirectors who are not “interested persons” of the Fund as such term is defined in Section 2(a)(19) of theInvestment Company Act of 1940, as amended (the “Independent Directors”), casting votes in person at ameeting called for that purpose.

On September 16, 2019, the Board approved the renewal of the Agreement for an additional one-year termfrom February 6, 2020 through February 5, 2021. The renewal of the Agreement was approved by the Board(including by a majority of the Independent Directors) upon the recommendation of the IndependentDirectors. The Independent Directors met separately by telephone on August 27, 2019, and in person onSeptember 15, 2019, with their independent legal counsel to review and discuss the information that hadbeen requested on their behalf by their independent legal counsel and presented by the Advisor for theirconsideration. The information, material facts, and conclusions that formed the basis for the IndependentDirectors’ recommendation and the Board’s subsequent approval are described below.

1. Information received

Materials reviewed — During the course of each year, the Directors receive a wide variety of materialsrelating to the services provided by the Advisor, including reports on the Advisor’s investment processes,as well as on the Fund’s investment results, portfolio composition, portfolio trading practices, compliancemonitoring, shareholder services, and other information relating to the nature, extent, and quality ofservices provided by the Advisor to the Fund. In addition, the Board reviewed information furnished to theIndependent Directors in response to a detailed request sent to the Advisor on their behalf. Theinformation in the Advisor’s responses included extensive materials regarding the Fund’s investmentresults, advisory fee comparisons to advisory fees charged by the Advisor to its institutional clients,financial and profitability information regarding the Advisor, descriptions of various services provided tothe Fund and to other advisory and sub-advisory clients, descriptions of functions such as compliancemonitoring and portfolio trading practices, and information about the personnel providing investmentmanagement services to the Fund. The Directors also considered information provided by an independentdata provider, Broadridge, comparing the investment performance and the fee and expense levels of theFund to those of appropriate peer groups of funds selected by Broadridge. After reviewing this information,the Directors requested additional financial, profitability and service information from the Advisor, whichthe Advisor provided and the Directors considered.

Review process — The Directors’ determinations were made on the basis of each Director’s businessjudgment after consideration of all the information presented. The Independent Directors were advised bytheir independent legal counsel throughout the renewal process and received and reviewed advice fromtheir independent legal counsel regarding legal and industry standards applicable to the renewal of theAgreement, including a legal memorandum from their independent legal counsel discussing their fiduciaryduties related to their approval of the continuation of the Agreement. The Independent Directors alsodiscussed the renewal of the Agreement with the Advisor’s representatives and in private sessions at whichno representatives of the Advisor were present. In deciding to recommend the renewal of the Agreementwith respect to the Fund, the Independent Directors did not identify any single piece of information or

41

TCW Strategic Income Fund, Inc.Renewal of Investment Management and Advisory Agreement (Continued)

particular factor that, in isolation, was the controlling factor. Each Independent Director may also haveweighed factors differently. This summary describes the most important, but not all, of the factorsconsidered by the Board and the Independent Directors.

2. Nature, extent, and quality of services provided by the Advisor

The Board and the Independent Directors considered the depth and quality of the Advisor’s investmentmanagement process, including its research and strong analytical capabilities; the experience, capability,and integrity of its senior management and other personnel; the relatively low turnover rates of its keypersonnel; the overall resources available to the Advisor; and the ability of its organizational structure toaddress the growth in assets over the past several years and withstand the recent decline in assets. TheBoard and the Independent Directors considered the ability of the Advisor to attract and retain well-qualified investment professionals, noting in particular the Advisor’s hiring of professionals in variousareas over the past several years, continued upgrading of resources in its middle office and back officeoperations and other areas, as well as a continuing and extensive program of infrastructure and systemsenhancements. The Board and the Independent Directors also considered that the Advisor made availableto its investment professionals a variety of resources and systems relating to investment management,compliance, trading, operations, administration, research, portfolio accounting and legal matters. Theynoted the substantial additional resources made available by The TCW Group, Inc., as the parent companyof the Advisor. The Board and the Independent Directors examined and discussed a detailed description ofthe extensive additional services provided to the Fund to support its operations and compliance, ascompared to the much narrower range of services provided to the Advisor’s institutional and sub-advisedclients, as well as the Advisor’s oversight and coordination of numerous outside service providers to theFund. They further noted the high level of regular communication between the Advisor and theIndependent Directors. The Advisor explained its responsibility to supervise the activities of the Fund’svarious service providers, as well as supporting the Independent Directors and their meetings, regulatoryfilings, and various operational personnel, and the related costs.

The Board and the Independent Directors concluded that the nature, extent, and quality of the servicesprovided by the Advisor are of a high quality and have benefited and should continue to benefit the Fundand its shareholders.

3. Investment results

The Board and the Independent Directors considered the investment results of the Fund in light of itsinvestment objective and principal investment strategies. They compared the Fund’s total returns with thetotal returns of other funds in peer group reports prepared by Broadridge with respect to various longerand more recent periods all ended May 31, 2019. The Board and the Independent Directors reviewedinformation as to a peer group selection presented by Broadridge and discussed the methodology for theselection with Broadridge. In reviewing the Fund’s relative performance, the Board and the IndependentDirectors took into account the Fund’s investment strategies, distinct characteristics, asset size anddiversification.

The Board and the Independent Directors noted that the Fund’s performance (based on net asset valuerather than stock price) exceeded the median performance of its peer group for the one-year period, but fellbelow that median for the three-, five- and ten-year periods. The Board and the Independent Directors alsonoted that the Fund had outperformed its custom benchmark for the one- and ten-year periods. The Boardand the Independent Directors recognized that the peer group included many funds that were not

42


considered to be sufficiently comparable in strategy or characteristics. The Board and the IndependentDirectors discussed the Advisor’s explanation about the lower risk and volatility profile for the Fundcompared to its peers, as shown by the information from Broadridge. The Board and the IndependentDirectors noted the Fund’s narrower discount of the market price of its stock compared to its net assetvalue over the most recent one-year period.

The Board and the Independent Directors concluded that the Advisor was implementing the Fund’sinvestment objective and that the Advisor’s record in managing the Fund indicated that its continuedmanagement should benefit the Fund and its shareholders over the long term.

4. Advisory fees and total expenses

The Board and the Independent Directors compared the management fees (which Broadridge defines toinclude the advisory fee and the administrative fee) and total expenses of the Fund (as a percentage ofaverage net assets) with the median management fee and operating expense level of the other funds in theBroadridge peer group. These comparisons assisted the Board and the Independent Directors by providinga reasonable statistical measure to assess the Fund’s fees relative to its relevant peers. The Board and theIndependent Directors observed that the Fund’s management fee and total expenses were below themedian of the peer group funds. The Board and the Independent Directors concluded that the competitivefee charged by the Advisor, and competitive expense ratio, should continue to benefit the Fund and itsshareholders.

The Board and the Independent Directors also reviewed information regarding the advisory fees charged bythe Advisor to its institutional and sub-advisory clients with similar investment mandates. The Board andthe Independent Directors concluded that, although the fees paid by those clients generally were lower thanadvisory fees paid by the Fund, the differences appropriately reflected the more extensive services providedby the Advisor to the Fund and the Advisor’s significantly greater responsibilities and expenses with respectto the Fund, including the additional risks of managing a pool of assets for public investors, administrativeburdens, daily pricing and valuation responsibilities, the supervision of vendors and service providers, andthe costs of additional infrastructure and operational resources and personnel and of complying with andsupporting the more comprehensive regulatory and governance regime applicable to registered investmentcompanies with shares listed on a stock exchange.

5. The Advisor’s costs, level of profits, and economies of scale

The Board and the Independent Directors reviewed information regarding the Advisor’s costs of providingservices to the Fund, as well as the resulting level of profits to the Advisor. They reviewed the Advisor’sstated assumptions and methods of allocating certain costs, such as personnel costs, which constitute theAdvisor’s largest operating cost. The Board and the Independent Directors recognized that the Advisorshould be entitled to earn a reasonable level of profits for the services that it provides to the Fund. TheBoard and the Independent Directors also reviewed a comparison of the Advisor’s profitability with respectto the Fund to the profitability of certain unaffiliated publicly traded asset managers, which the Advisorbelieved supported its view that the Advisor’s profitability was reasonable. Based on their review, the Boardand the Independent Directors concluded that they were satisfied that the Advisor’s level of profitabilityfrom its relationship with the Fund was not unreasonable or excessive.

The Board and the Independent Directors considered the extent to which potential economies of scalecould be realized as the Fund grows and whether the advisory fee reflects those potential economies ofscale. They noted the breakpoint under the Agreement, which results in a lower advisory fee rate as the

43

TCW Strategic Income Fund, Inc.Renewal of Investment Management and Advisory Agreement (Continued)

Fund grows larger. They also recognized the Advisor’s view that the advisory fee compares favorably to peergroup fees, and that expenses remain competitive even at higher asset levels and that the relatively lowadvisory fees reflect the potential economies of scale. The Board and the Independent Directors recognizedthe benefits of the Adviser’s substantial past and on-going investment in the advisory business, such assuccessfully recruiting and retaining key professional talent, systems and technology upgrades, addedresources dedicated to legal and compliance programs, and improvements to the overall firminfrastructure, as well as the financial pressures of competing against much larger firms and passiveinvestment products. The Board and the Independent Directors also recognized that the Fund benefitsfrom receiving investment advice from an organization with other types of advisory clients in addition toinvestment companies. The Board and the Independent Directors concluded that the Advisor wassatisfactorily sharing potential economies of scale with the Fund through low fees and expenses, andthrough reinvesting in its capabilities for serving the Fund and its shareholders.

6. Ancillary benefits

The Board and the Independent Directors also considered ancillary benefits received or to be received bythe Advisor and its affiliates as a result of the relationship of the Advisor with the Fund, includingcompensation for certain compliance support services. The Board and the Independent Directorsconcluded that any potential benefits to be received or to be derived by the Advisor from its relationshipswith the Fund are reasonably related to the services provided by the Advisor to the Fund.

7. Conclusions

Based on their overall review, including their consideration of each of the factors referred to above (andothers), the Board and the Independent Directors concluded that the Agreement is fair and reasonable tothe Fund and its shareholders, that the Fund’s shareholders received reasonable value in return for theadvisory fees and other amounts paid to the Advisor by the Fund, and that the renewal of the Agreementwas in the best interests of the Fund and its shareholders.

44

TCW Strategic Income Fund, Inc.Supplemental Information

Proxy Voting Guidelines

The policies and procedures that the Fund uses to determine how to vote proxies are available withoutcharge. The Board of the Fund has delegated the Fund’s proxy voting authority to the Advisor.

Disclosure of Proxy Voting Guidelines

The proxy voting guidelines of the Advisor are available:

1. By calling 1-(877) 829-4768 to obtain a hard copy; or

2. By going to the Securities and Exchange Commission’s (the “SEC”) website at www.sec.gov.

When the Fund receives a request for a description of the Advisor’s proxy voting guidelines, it will deliverthe description that is disclosed in the Fund’s Statement of Additional Information. This information will besent out via first class mail (or other means designed to ensure equally prompt delivery) within threebusiness days of receiving the request.

The Advisor, on behalf of the Fund, must prepare and file Form N-PX with the SEC not later than August 31of each year, which must include the Fund’s proxy voting record for the most recent twelve-month periodended June 30 of that year. The Fund’s proxy voting record for the most recent twelve-month period endedJune 30, 2019 is available without charge:

1. By calling 1-(877) 829-4768 to obtain a hard copy; or

2. By going to the SEC website at http://www.sec.gov.

When the Fund receives a request for the Fund’s proxy voting record, it will send the information disclosedin the Fund’s most recently filed report on Form N-PX via first class mail (or other means designed toensure equally prompt delivery) within three business days of receiving the request.

The Fund also discloses its proxy voting record on its website as soon as is reasonably practicable after itsreport on Form N-PX is filed with the SEC.

Availability of Quarterly Portfolio Schedule

The Fund files a complete schedule of its portfolio holdings with the SEC for the first and third quarters ofits fiscal year on Form N-PORT-P. Such filings occur no later than 60 days after the end of the Fund’s firstand third quarters and are available on the SEC’s website at www.sec.gov.

Corporate Governance Listing Standards

In accordance with Section 303A.12 (a) of the New York Stock Exchange Listed Company Manual, theFund’s Annual CEO Certification certifying compliance with NYSE’s Corporate Governance ListingStandards was submitted to the Exchange on October 10, 2019 as part of its Annual Written Affirmation.

45

TCW Strategic Income Fund, Inc.Report of Annual Meeting and Special Meeting of Shareholders

The annual meeting of shareholders (the “Annual Meeting”) of the Fund was held on September 17, 2019.At the Annual Meeting, the following matters were submitted to a shareholder vote:

1) Election of Directors — the shareholders of the Fund elected the following Directors to serve on theBoard of Directors until their successors have been duly elected and qualified.

Director Votes Cast For Withheld

Samuel P. Bell 36,843,507 460,876David S. DeVito 36,880,121 424,262Patrick C. Haden 36,847,353 457,030David Lippman 36,897,476 406,907Peter McMillan 35,739,721 1,564,662Victoria B. Rogers 36,880,533 423,850Andrew Tarica 36,889,448 414,935

2) Ratification of Selection of Independent Registered Public Accounting Firm — the shareholders of theFund approved the ratification of the selection of Deloitte & Touche LLP as the independent registeredpublic accounting firm for the Fund for the fiscal year ended December 31, 2019.

For Against Abstain

36,734,111 117,708 452,560

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TCW Strategic Income Fund, Inc.Dividend Reinvestment Plan

Shareholders who wish to add to their investment may do so by making an election to participate in theDividend Reinvestment Plan (the “Plan”). Under the Plan, your dividend is used to purchase Fund shareson the open market whenever shares, including the related sales commission, are selling below the Fund’snet asset value per share. You will be charged a pro-rata portion of brokerage commissions on open-marketpurchases under the Plan. If the market price, including commission, of Fund shares is above the Fund’snet asset value per share, you will receive shares at a price equal to the higher of the Fund’s net asset valueper share on the payment date or 95% of the closing market price of Fund shares on the payment date.Generally, for tax purposes, shareholders participating in the Plan will be treated as having received adistribution from the Fund in cash equal to the value of the shares purchased from them under the Plan.

To enroll in the Plan, if your shares are registered in your name, write to Computershare, P.O. Box #50500,Louisville, KY 40233, or call toll free at (866) 227-8179. If your shares are held by a brokerage firm, pleasecall your broker. If you participate in the Plan through a broker, you may not be able to transfer your sharesto another broker and continue to participate in the Plan if your new broker does not permit suchparticipation. If you no longer want to participate in the Plan, please contact Computershare or your broker.You may elect to continue to hold shares previously purchased on your behalf or to sell your shares andreceive the proceeds, net of any brokerage commissions. If you need additional information or assistance,please call our investor relations department at (877) 829-4768 or visit our website at www.tcw.com. Asalways, we would be pleased to accommodate your investment needs.

Distribution Policy

The Fund has a net investment income-based distribution policy. The policy is to pay quarterly distributionsout of the Fund’s accumulated undistributed net investment income and/or other sources subject to therequirements of the 1940 Act and Sub-chapter M of the Code.

Distribution policies are a matter of Board discretion and may be modified or terminated at any timewithout prior notice. Any such change or termination may have an adverse effect on the market price forthe Fund’s shares.

You should not draw any conclusions about the Fund’s investment performance from the amount of thequarterly distribution or from the terms of the Fund’s distribution policy.

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TCW Strategic Income Fund, Inc.Directors and Officers

A board of seven directors is responsible for overseeing the operations of the TCW Strategic Income Fund,Inc. (the “Fund”). The directors of the Fund, and their business addresses and their principal occupationsfor the last five years and other directorships held by them, are set forth below.

Independent Directors

Name andYear of Birth (1)

Term of Office andLength of Time Served

Principal Occupation(s)During Past 5 Years (2)

Other Directorshipsheld by Director

Samuel P. Bell (1936) Mr. Bell has served as adirector of the Fund sinceOctober 2002.

Private Investor. Point.360 (post productionservices); TCW Funds, Inc.(mutual fund).

Patrick C. Haden (1953)Chairman of the Board

Mr. Haden has served as adirector of the Fund since May2001.

President (since 2003), WilsonAve. Consulting (businessconsulting firm); SeniorAdvisor to President (July2016-June 2017) and AthleticDirector (August 2010-June2016), University of SouthernCalifornia.

Tetra Tech, Inc. (environmentalconsulting); Auto Club (affiliateof AAA); Metropolitan WestFunds (mutual fund); TCWFunds, Inc. (mutual fund).

Peter McMillan (1957) Mr. McMillan has served as adirector of the Fund sinceAugust 2010.

Co-founder, Managing Partnerand Chief Investment Officer(since May 2013), TemescalCanyon Partners (investmentadvisory firm); Co-founder andExecutive Vice President (since2005), KBS Capital Advisors (amanager of real estateinvestment trusts); Co-founderand Managing Partner (since2000), Willowbrook CapitalGroup, LLC (investmentadvisory firm).

KBS Real Estate InvestmentTrusts (real estateinvestments); KBS StrategicOpportunity REITs (real estateinvestments); Keppel-KBS U.S.REIT (real estate investments);Metropolitan West Funds(mutual fund); TCW DL VIIFinancing LLC (businessdevelopment company); TCWFunds, Inc. (mutual fund).

Victoria B. Rogers (1961) Ms. Rogers has served as adirector of the Fund sinceOctober 2011.

President and Chief ExecutiveOfficer (since 1996), The RoseHills Foundation (charitablefoundation).

Causeway Capital ManagementTrust (mutual fund); CausewayETML Trust (mutual fund); TheRose Hills Foundation(charitable foundation); TCWFunds, Inc. (mutual fund);Norton Simon Museum (artmuseum); Stanford University(university).

Andrew Tarica (1959) Mr. Tarica has served as adirector of the Fund sinceMarch 2012.

Chief Executive Officer (sinceFebruary 2001), MeadowbrookCapital Management (assetmanagement company); andEmployee (since 2003),Cowen Prime Services (broker-dealer).

Metropolitan West Funds(mutual fund); TCW Funds,Inc. (mutual fund); TCW DirectLending VII, LLC (businessdevelopment company).

(1) The address of each Independent Director is c/o Morgan, Lewis & Bockius LLP, Counsel to the Independent Directors,300 South Grand Avenue 22nd Floor, Los Angeles, CA 90071.

(2) Position with company may have changed over time.

48


Interested Directors

Each of these directors are “interested persons” of the Fund as defined in the 1940 Act because they aredirectors and officers of the Advisor, and shareholders and directors of The TCW Group, Inc., the parentcompany of the Advisor.

Name andYear of Birth and Position(s)

with the Fund (2)Term of Office and

Length of Time ServedPrincipal Occupation(s)

During Past 5 YearsOther Directorships

held by Director

David S. DeVito (1962)President and Chief ExecutiveOfficer

Mr. DeVito has served as adirector of the Fund sinceJanuary 2008, and as Presidentand Chief Executive Officersince January 2014.

President and Chief ExecutiveOfficer (since January 2014),TCW Funds; Executive VicePresident and ChiefOperating Officer (sinceOctober 2013), the Advisor,The TCW Group, Inc.,Metropolitan West AssetManagement LLC, and TCWAsset Management CompanyLLC, and TCW LLC (sinceJanuary 2016); Chief FinancialOfficer and Treasurer (since2010), Metropolitan WestFunds.

TCW Funds, Inc. (mutualfund).

David Lippman (1958) Mr. Lippman has served as adirector of the Fund sinceJanuary 2014.

President and Chief ExecutiveOfficer, The TCW Group, Inc.(since August 2012), TCWLLC (since October 2015), theAdvisor (since February 2013)and TCW Asset ManagementCompany LLC (sinceFebruary 2013); ChiefExecutive Officer,Metropolitan West AssetManagement LLC (sinceFebruary 2013); President andPrincipal Executive Officer,Metropolitan West Funds(since January 2008).

None.

The officers of the Fund who are not directors of the Fund are:

Name and Address (2)Position(s) Held

with FundPrincipal Occupation(s)During Past 5 Years (1)

Lisa Eisen (1963) Tax Officer since December 2016 Tax Officer (since December 2016),Metropolitan West Funds and TCWFunds, Inc.; Managing Director andDirector of Tax (since August 2016),TCW, LLC; Vice President of CorporateTax and Payroll for Health Net, Inc.(1998 – July 2016).

49

TCW Strategic Income Fund, Inc.Directors and Officers (Continued)

Name and Address (2)Position(s) Held

with FundPrincipal Occupation(s)During Past 5 Years (1)

Meredith S. Jackson (1959) Senior Vice President, GeneralCounsel and Secretary since February2013

Executive Vice President, General Counseland Secretary (since January 2016), TCWLLC; Senior Vice President, GeneralCounsel and Secretary (since February2013), TCW Funds, Inc. and MetropolitanWest Funds; Executive Vice President,General Counsel and Secretary (sinceFebruary 2013), the Advisor, The TCWGroup Inc., TCW Asset ManagementCompany LLC, Metropolitan West AssetManagement, LLC and Trust Company ofthe West (2013 – December 2015).

Jeffrey Engelsman (1967) Chief Compliance Officer sinceSeptember 2014 and Anti-MoneyLaundering Officer since December2016

Anti-Money Laundering Officer (sinceDecember 2014), TCW Funds, Inc. andMetropolitan West Funds and ChiefCompliance Officer (since September andDecember 2014, respectively); ManagingDirector and Global Chief Complianceofficer, TCW LLC and Advisor,Metropolitan West Asset ManagementCompany, LLC, and TCW AssetManagement Company LLC (since August2014) and Trust Company of the West(2014 – December 2015); ChiefCompliance Officer (2009 – August 2014),MainStay Funds (mutual fund); ManagingDirector (2009 – July 2014), New York LifeInvestments (investment management).

Richard Villa (1964) Treasurer and Principal Financial andAccounting Officer since February2014

Managing Director, Chief Financial Officerand Assistant Secretary (since January2016), TCW LLC; Managing Director, ChiefFinancial Officer and Assistant Secretary(since February 2013), Metropolitan WestAsset Management LLC; ManagingDirector, Chief Financial Officer andAssistant Secretary (since July 2008), theAdvisor, The TCW Group, Inc., TCW AssetManagement Company LLC, MetropolitanWest Asset Management, LLC and TrustCompany of the West (2008- December2015); Treasurer and Principal Financialand Accounting Officer, TCW Funds, Inc.(since 2014).

(1) Positions with The TCW Group, Inc. and its affiliates may have changed over time.(2) Address is 865 South Figueroa Street, 18th Floor, Los Angeles, California 90017

In addition, Eric Chan, Senior Vice President of Fund Operations for the Advisor, TCW Asset ManagementCompany LLC, TCW LLC (since 2009), and Metropolitan West Asset Management, LLC (since November2006), is Assistant Treasurer of the Fund; Patrick W. Dennis, Senior Vice President & Associate GeneralCounsel of The TCW Group, Inc., TCW Asset Management Company LLC, Metropolitan West AssetManagement LLC, TCW LLC and the Advisor, is Assistant Secretary of the Fund.

50


865 South Figueroa StreetLos Angeles, California 90017

800 386 3829

www.TCW.com

INVESTMENT ADVISORTCW Investment Management Company LLC865 South Figueroa StreetLos Angeles, California 90017

TRANSFER AGENT, DIVIDEND REINVESTMENTAND DISBURSEMENT AGENT AND REGISTRARComputershareP.O. Box 50500Louisville, KY 40233

INDEPENDENT REGISTEREDPUBLIC ACCOUNTING FIRMDeloitte & Touche LLP555 West 5th StreetLos Angeles, California 90013

CUSTODIAN & ADMINISTRATORState Street Bank & Trust CompanyOne Lincoln StreetBoston, Massachusetts 02111

LEGAL COUNSELPaul Hastings LLP101 California Street, 48th FloorSan Francisco, California 94111

DIRECTORSSamuel P. BellDirector

David S. DeVitoDirector, President, and Chief Executive Officer

Patrick C. HadenDirector and Chairman

David B. LippmanDirector

Peter McMillanDirector

Victoria B. RogersDirector

Andrew TaricaDirector

OFFICERSMeredith S. JacksonSenior Vice President, General Counseland Secretary

Richard M. VillaTreasurer and Principal Financialand Accounting Officer

Jeffrey A. EngelsmanChief Compliance Officerand Anti-Money Laundering Officer

Lisa EisenTax Officer

Eric W. ChanAssistant Treasurer

Patrick W. DennisAssistant Secretary

TSIart9445 12/31/19

Documents

ANNUAL REPORT€¦ · TCW Strategic Income Fund, Inc. Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of