N-CSRS

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website (www.tcw.com), and you will be notified by mail each time a report 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 any action. You may elect to receive shareholder reports and other communications from the Funds or your financial intermediary electronically by contacting your financial intermediary (such as a broker-dealer or bank) if you invest through a financial intermediary, or by calling 1-800-FUND-TCW (1-800-386-3829) if you invest directly with the Funds.

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 Funds, or contact your financial intermediary, if you invest though a financial intermediary, to inform the Funds or the financial intermediary that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all Funds held directly with TCW or through your financial intermediary.

TCW is pleased to present the 2019 semi-annual report for the TCW Strategic Income Fund (“TSI” or the “Fund”). TSI is a multi-asset class closed-end fund managed by TCW Investment Management Company and is listed on the New York Stock Exchange under the ticker TSI. For the first half of 2019, the market value of shares of TSI experienced a positive 12.26% return while the return on Fund’s net asset value (i.e., return on the underlying assets) increased by 5.86%. 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 10.22% in the first half of 2019. While the return on the underlying assets trailed the benchmark return, the Fund’s year-to-date price based return was higher than the net asset value per share (“NAV”) based return due to a decrease in the discount between NAV and share price from 6.73% at the beginning of the year to 1.20% by June 30, 2019. Annualized price based performance over most longer periods remained ahead of the Fund’s benchmark performance.

The TSI Fund paid a quarterly dividend of 7.68 cents per share in the first quarter of 2019 and 8.25 cents per share in the second quarter of 2019. This represents an annualized rate of approximately 32 cents per share, contributing to a realized 12-month trailing yield of 6.77%, as of 6/30/2019. Of course, since yield is a function of a number of parameters, the go-forward yield of TSI will likely differ from the trailing figure.

TCW manages the portfolio of securities according to a full cycle discipline. Effectively, this means that our management style opportunistically increases the level of risk taking with respect to the assets in the early years of an asset price/credit cycle. In the latter stages of the cycle, our proclivity is to reduce risk, which naturally also has the tendency to pull down the overall yield of the portfolio. TCW does judge the cycle to be in its later stages and hence the portfolio has been actively de-risked across a number of different dimensions, resulting in a more defensive 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 a consequence of tight liquidity conditions and fears of slowing growth. Positions were added in asset-backed securities (“ABS”) such as AAA collateralized loan obligations (“CLOs”), and in both investment grade and high yield credit where we found value in excess of price levels, with selective buys in several sectors including manufacturing, financials, communications, and energy, while positions were trimmed in some of the structured product holdings that had held up well, including agency commercial mortgage-backed securities (“CMBS”). In the first part of 2019, markets remediated in the wake of a dovish turn in central bank rhetoric, resulting in opportunities to trim selectively.

Late cycle concerns remain the dominant theme informing Fund strategy, as risk markets pin hopes on continued support from dovish central banks to buoy asset prices, even though underlying fundamentals have weakened further. Consistent trends that indicate growing risks include:

Notwithstanding cyclical lows for lagging indicators of credit market stress (such as trailing default rates), cracks are forming as idiosyncratic capital structure collapses are becoming more frequent. In particular, the potential for swift and significant withdrawal of investor sponsorship should sentiment turn is highly motivating to exercise restraint in budgeting risk. As such, Fund positioning remains defensive, with corporate credit emphasizing regulated financials and counter-cyclical industrials like pharmaceuticals, food and beverage, and communications, and we will continue to look for opportunities to add exposure if spreads widen toward median levels. Despite looser underwriting standards — typical of late cycle — in certain sectors and relatively tight spreads overall, senior parts of the structured products markets remain a haven from credit excesses while still generating incremental return. Non-agency mortgage-backed securities (“MBS”) continue to present attractive risk-adjusted return potential despite a shrinking market. Agency MBS offers better liquidity characteristics, but there is risk as the Fed continues to shrink its position, therefore exposure is minimal. Finally, super senior ABS, particularly government-guaranteed student loan collateral, and CMBS markets are still solid fundamentally, but tighter spreads have made the sectors less compelling. Within CMBS, the emphasis remains on agency-backed issues, though exposure may be reduced in favor of better opportunities. The non-agency CMBS allocation continues to emphasize seasoned issues at the top of the capital structure and single asset single borrower deals to avoid the underwriting challenges faced by current vintage issues. Finally, as Treasury yields rallied over the past six-months, duration was trimmed from 2.0 years to approximately 1.9 years, and the position may be further shortened should rates decline.

Modest leverage can be utilized by the TSI Fund through a Line of Credit facility, though the Fund does not currently use any of the available $70 million commitment. Leverage may return to the Fund when management considers the market opportunity to be more abundant and the use of leverage has the potential to be accretive to returns.

We greatly appreciate your investment in the Fund and your continuing support of TCW. If you have any additional questions or comments, we invite you to visit our web site at www.tcw.com or contact our shareholder services department at 1-866-227-8179, or contact@tcw.com.

The views expressed in this report reflect those of the Fund’s Advisor as of the date this is written and may not reflect its views on the date this report is first published or anytime thereafter. This report may contain discussions about investments that may or may not be held by the Fund as of the date of this report. All current and future holdings are subject to risk and to change. To the extent this report contains forward looking statements, unforeseen circumstances may cause actual results to differ materially from the views expressed as of the date this is written.

Issues

Maturity
Date

Principal
Amount

Value

FIXED INCOME SECURITIES —94.8% of Net Assets

ASSET-BACKED SECURITIES — 12.1%

321 Henderson Receivables LLC (17-1A-A)

3.99% ⁽¹⁾

08/16/60

240,038

256,201

AMMC CLO (16-19A-A)

4.10% (3 mo. USD LIBOR + 1.500%)⁽¹⁾⁽²⁾

10/15/28

1,370,000

1,370,739

AMUR Finance I LLC (13-1)

10.00% ⁽³⁾⁽⁴⁾

01/25/22

777,891

217,820

AMUR Finance I LLC (13-2)

10.00% ⁽³⁾⁽⁴⁾

03/20/24

529,571

164,174

Babson CLO, Ltd. (13-IA-AR)

3.39% ⁽¹⁾⁽⁵⁾

01/20/28

640,000

637,919

Babson CLO, Ltd. (16-2A-AR)

3.67% ⁽¹⁾⁽⁵⁾

07/20/28

650,000

650,131

Barings CLO, Ltd. (18-3A-A1)

3.54% ⁽¹⁾⁽⁵⁾

07/20/29

675,000

672,048

Bayview Commercial Asset Trust (03-2-A)

3.27% (1 mo. USD LIBOR + 0.870%)⁽¹⁾⁽²⁾

12/25/33

432,546

428,824

Bayview Commercial Asset Trust (04-1-A)

2.94% (1 mo. USD LIBOR + 0.540%)⁽¹⁾⁽²⁾

04/25/34

357,317

354,498

Bayview Commercial Asset Trust (04-2-A)

2.83% (1 mo. USD LIBOR + 0.645%)⁽¹⁾⁽²⁾

08/25/34

332,495

327,000

Bayview Commercial Asset Trust (04-3-A1)

2.96% (1 mo. USD LIBOR + 0.370%)⁽¹⁾⁽²⁾

01/25/35

177,830

177,109

BlueMountain CLO, Ltd. (13-1A-A1R2)

3.82% ⁽¹⁾⁽⁵⁾

01/20/29

1,400,000

1,402,060

Brazos Higher Education Authority, Inc. (10-1-A2)

3.72% (3 mo. USD LIBOR + 1.200%)⁽²⁾

02/25/35

2,200,000

2,245,674

CIT Education Loan Trust (07-1-A)

2.44% (3 mo. USD LIBOR + 0.090%)⁽¹⁾⁽²⁾

03/25/42

700,429

669,543

Corevest American Finance Trust (19-1-XA) (I/O)

2.35% ⁽¹⁾⁽⁵⁾

03/15/52

1,911,902

187,538

Education Loan Asset-Backed Trust I (13-1-A2)

3.20% (1 mo. USD LIBOR + 0.800%)⁽¹⁾⁽²⁾

04/26/32

1,260,000

1,256,287

EFS Volunteer No 2 LLC (12-1-A2)

3.75% (1 mo. USD LIBOR + 1.350%)⁽¹⁾⁽²⁾

03/25/36

1,500,000

1,510,236

GCO Education Loan Funding Master Trust II (06-2AR-A1RN)

3.05% (1 mo. USD LIBOR + 0.650%)⁽¹⁾⁽²⁾

08/27/46

2,071,282

1,976,191

Global SC Finance SRL (14-1A-A2)

3.09% ⁽¹⁾

07/17/29

221,125

222,019

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (Continued)

Goal Capital Funding Trust (06-1-B)

2.97% (3 mo. USD LIBOR + 0.450%)⁽²⁾

08/25/42

246,636

227,649

GoldenTree Loan Opportunities IX, Ltd. (14-9A-AR2)

3.69% ⁽¹⁾⁽⁵⁾

10/29/29

1,400,000

1,398,926

Higher Education Funding I (14-1-A)

3.57% (3 mo. USD LIBOR + 1.050%)⁽¹⁾⁽²⁾

05/25/34

518,200

521,928

LCM XXI LP (21A-AR)

3.47% ⁽¹⁾⁽⁵⁾

04/20/28

1,100,000

1,095,600

Madison Park Funding, Ltd. (18-30A-A) 3

.35% ⁽¹⁾⁽⁵⁾

04/15/29

1,400,000

1,387,567

Magnetite VII, Ltd. (12-7A-A1R2)

3.40% ⁽¹⁾⁽⁵⁾

01/15/28

410,000

407,856

Nelnet Student Loan Trust (14-4A-A2)

3.35% (1 mo. USD LIBOR + 0.950%)⁽¹⁾⁽²⁾

11/25/48

575,000

569,434

Neuberger Berman CLO XVI-S, Ltd. (17-16SA-A)

3.45% ⁽¹⁾⁽⁵⁾

01/15/28

1,400,000

1,396,460

North Carolina State Education Assistance Authority (11-1-A3)

3.67% (3 mo. USD LIBOR + 0.900%)⁽²⁾

10/25/41

1,852,172

1,852,240

Riserva Clo, Ltd. (16-3A-AR)

0.00% (3 mo. USD LIBOR + 1.140%)^(1)(2)(4)

10/18/28

1,400,000

1,400,069

Scholar Funding Trust (12-B-A2)

3.53% (1 mo. USD LIBOR + 1.100%)⁽¹⁾⁽²⁾

03/28/46

751,826

757,088

SLC Student Loan Trust (04-1-B)

2.81% (3 mo. USD LIBOR + 0.290%)⁽²⁾

08/15/31

341,718

312,835

SLC Student Loan Trust (06-1-B)

2.62% (3 mo. USD LIBOR + 0.210%)⁽²⁾

03/15/55

440,038

407,788

SLM Student Loan Trust (04-2-B)

3.05% (3 mo. USD LIBOR + 0.470%)⁽²⁾

07/25/39

374,697

352,726

SLM Student Loan Trust (05-9-B)

2.88% (3 mo. USD LIBOR + 0.300%)⁽²⁾

01/25/41

449,293

424,766

SLM Student Loan Trust (06-8-A6)

2.74% (3 mo. USD LIBOR + 0.160%)⁽²⁾

01/25/41

1,400,000

1,331,664

SLM Student Loan Trust (07-6-B)

3.43% (3 mo. USD LIBOR + 0.850%)⁽²⁾

04/27/43

143,908

137,000

SLM Student Loan Trust (07-7-B)

3.33% (3 mo. USD LIBOR + 0.750%)⁽²⁾

10/27/70

150,000

140,187


Issues	Maturity Date		Principal Amount		Value

ASSET-BACKED SECURITIES (Continued)

SLM Student Loan Trust (08-2-B)

3.78% (3 mo. USD LIBOR + 1.200%)⁽²⁾		01/25/83	$	225,000	$	215,456

SLM Student Loan Trust (08-3-B)

3.78% (3 mo. USD LIBOR + 1.200%)⁽²⁾		04/26/83		225,000		213,768

SLM Student Loan Trust (08-4-B)

4.43% (3 mo. USD LIBOR + 1.850%)⁽²⁾		04/25/73		480,000		486,799

SLM Student Loan Trust (08-5-B)

4.43% (3 mo. USD LIBOR + 1.850%)⁽²⁾		07/25/73		225,000		227,135

SLM Student Loan Trust (08-6-B)

4.43% (3 mo. USD LIBOR + 1.850%)⁽²⁾		07/26/83		225,000		228,446

SLM Student Loan Trust (08-7-B)

4.43% (3 mo. USD LIBOR + 1.850%)⁽²⁾		07/26/83		270,000		274,173

SLM Student Loan Trust (08-8-B)

4.83% (3 mo. USD LIBOR + 2.250%)⁽²⁾		10/25/75		225,000		229,601

SLM Student Loan Trust (08-9-B)

4.83% (3 mo. USD LIBOR + 2.250%)⁽²⁾		10/25/83		225,000		230,257

Structured Receivables Finance LLC (10-A-B)

7.61% ⁽¹⁾		01/16/46		622,161		726,924

Structured Receivables Finance LLC (10-B-B)

7.97% ⁽¹⁾		08/15/36		368,187		436,246

Student Loan Consolidation Center (02-2-B2)

0.00% (28 day Auction Rate)^(1)(2)(4)		07/01/42		1,250,000		1,179,167

Vermont Student Assistance Corp. (12-1-A)

3.13% (1 mo. USD LIBOR + 0.700%)⁽²⁾		07/28/34		241,502		239,683


Total Asset-backed Securities

(Cost: $33,474,879)						33,535,449


MORTGAGE-BACKED SECURITIES — 50.7%

Commercial Mortgage-backed Securities — Agency —4.1%

Fannie Mae, Pool #AN9619

3.77%		06/01/33		830,000		922,769

Fannie Mae, Pool #AN9420

3.77%		07/01/43		636,698		707,065

Fannie Mae (11-M5-A2) (ACES)(I/O)

1.21% ⁽⁵⁾		07/25/21		5,316,733		97,496

Fannie Mae (12-M14-X2) (I/O)

0.48% ⁽⁵⁾		09/25/22		11,284,093		116,452

Fannie Mae (16-M11-AL)

2.94%		07/25/39		902,054		929,116

Fannie Mae (16-M11-X2) (I/O)

2.72% ⁽⁵⁾		07/25/39		5,243,187		192,388


Issues	Maturity Date		Principal Amount		Value

Commercial Mortgage-backed Securities — Agency (Continued)

Freddie Mac, Pool #WA3303

3.83%		05/01/35	$	1,390,318	$	1,544,204

Freddie Mac Multifamily Structured Pass-Through Certificates (K093-XAM) (I/O)

1.19% ⁽⁵⁾		05/25/29		3,205,000		335,482

Freddie Mac Multifamily Structured Pass-Through Certificates (K015-X3) (I/O)

2.90% ⁽⁵⁾		08/25/39		4,000,000		220,360

Freddie Mac Multifamily Structured Pass-Through Certificates (K021-X3) (I/O)

2.03% ⁽⁵⁾		07/25/40		3,475,000		191,829

Freddie Mac Multifamily Structured Pass-Through Certificates (K022-X3) (I/O)

1.87% ⁽⁵⁾		08/25/40		2,500,000		133,432

Freddie Mac Multifamily Structured Pass-Through Certificates (K025-X3) (I/O)

1.81% ⁽⁵⁾		11/25/40		5,400,000		301,342

Freddie Mac Multifamily Structured Pass-Through Certificates (K031-X3) (I/O)

1.71% ⁽⁵⁾		07/25/41		4,500,000		268,832

Freddie Mac Multifamily Structured Pass-Through Certificates (K047-X1) (I/O)

0.26% ⁽⁵⁾		05/25/25		58,378,396		488,709

Freddie Mac Multifamily Structured Pass-Through Certificates (K728-X3) (I/O)

2.02% ⁽⁵⁾		11/25/45		3,455,000		321,626

Freddie Mac Multifamily Structured Pass-Through Certificates (K732-X3) (I/O)

2.25% ⁽⁵⁾		05/25/46		2,400,000		276,868

Freddie Mac Multifamily Structured Pass-Through Certificates (K734-X1) (I/O)

0.79% ⁽⁵⁾		02/25/26		7,248,972		273,497

Freddie Mac Multifamily Structured Pass-Through Certificates (KIR1-X) (I/O)

1.21% ⁽⁵⁾		03/25/26		4,603,193		279,574

Freddie Mac Multifamily Structured Pass-Through Certificates (Q004-A2H)

3.05% ⁽⁵⁾		01/25/46		859,493		864,780

Freddie Mac Multifamily Structured Pass-Through Certificates (Q006-APT1)

2.62% ⁽⁵⁾		07/25/26		1,293,877		1,325,952

Ginnie Mae (08-92-E)

5.56% ⁽⁵⁾		03/16/44		466,182		477,623

Ginnie Mae (09-114-IO) (I/O)

0.00% ⁽⁵⁾		10/16/49		8,509,082		3,574

Ginnie Mae (11-10-IO) (I/O)

0.06% ⁽⁵⁾		12/16/45		15,532,172		63,527

Ginnie Mae (11-105-IO) (I/O)

0.00% ⁽⁵⁾⁽⁴⁾		09/16/51		8,718,076		41,193

Ginnie Mae (11-152-IO) (I/O)

0.32% ⁽⁵⁾		08/16/51		3,856,674		35,520

Issues

Maturity
Date

Principal
Amount

Value

Commercial Mortgage-backed Securities — Agency (Continued)

Ginnie Mae (11-42-IO) (I/O)

0.00% ⁽⁵⁾⁽⁴⁾

08/16/50

15,889,316

69,277

Ginnie Mae (12-4-IO) (I/O)

0.17% ⁽⁵⁾

05/16/52

13,269,772

111,242

Ginnie Mae (14-103-IO) (I/O)

0.61% ⁽⁵⁾

05/16/55

6,391,871

193,418

Ginnie Mae (14-125-IO) (I/O)

0.96% ⁽⁵⁾

11/16/54

6,439,934

389,126

Ginnie Mae (14-88-IE) (I/O)

0.32% ⁽⁵⁾

03/16/55

7,633,526

178,630

Ginnie Mae (16-22-IX) (I/O)

1.29% ⁽⁵⁾

06/16/38

484,771

91,921

Total Commercial Mortgage-backed Securities — Agency

(Cost: $13,019,513)

11,446,824

Commercial Mortgage-backed Securities — Non-agency — 4.1%

BAMLL Commercial Mortgage Securities Trust (11-FSHN-A)

4.42% ⁽¹⁾

07/11/33

300,000

310,050

BAMLL Commercial Mortgage Securities Trust (18-PARK-A)

4.23% ⁽¹⁾⁽⁵⁾

08/10/38

415,000

459,588

Banc of America Commercial Mortgage Trust (07-5-AJ)

6.24% ⁽⁵⁾

02/10/51

536,345

513,919

CALI Mortgage Trust (19-101C-A)

3.96% ⁽¹⁾

03/10/39

680,000

748,736

CGRBS Commercial Mortgage Trust (13-VN05-A)

3.37% ⁽¹⁾

03/13/35

290,000

302,961

Citigroup Commercial Mortgage Trust (12-GC8-XA) (I/O)

1.94% ^(1)(5)(6)

09/10/45

3,266,063

148,086

COMM Mortgage Trust (12-LC4-XB) (I/O)

0.64% ⁽¹⁾⁽⁵⁾

12/10/44

18,671,016

275,771

COMM Mortgage Trust (13-CR13-XA) (I/O)

0.96% ⁽⁵⁾

11/10/46

5,483,166

168,421

COMM Mortgage Trust (13-CR12-XA) (I/O)

1.33% ⁽⁵⁾

10/10/46

9,923,631

402,045

COMM Mortgage Trust (13-LC13-XA) (I/O)

1.33% ⁽⁵⁾

08/10/46

9,367,819

337,587

COMM Mortgage Trust (14-CR18-XA) (I/O)

1.17% ⁽⁵⁾

07/15/47

7,141,303

286,442

Credit Suisse Commercial Mortgage Trust (07-C2-AJ)

5.75% ⁽⁵⁾

01/15/49

62,754

63,111

CSMC Trust (15-GLPB-A)

3.64% ⁽¹⁾

11/15/34

1,500,000

1,578,295

Four Times Square Trust Commercial Mortgage Pass-Through Certificates (06-4TS-X) (I/O)

0.36% ^(1)(5)(6)

12/13/28

51,997,322

174,399

GS Mortgage Securities Trust (11-GC3-X) (I/O)

0.82% ⁽¹⁾⁽⁵⁾

03/10/44

16,388,029

161,796

GS Mortgage Securities Trust (12-GC6-XB) (I/O)

0.26% ^(1)(5)(6)

01/10/45

17,397,372

99,838

Issues

Maturity
Date

Principal
Amount

Value

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

GS Mortgage Securities Trust (14-GC18-XB) (I/O)

0.27% ⁽⁵⁾

01/10/47

66,563,000

452,196

Hudson Yards Mortgage Trust (19-30HY-A)

3.23% ⁽¹⁾

07/10/39

560,000

576,537

JPMBB Commercial Mortgage Securities Trust (14-C24-XA) (I/O)

1.11% ⁽⁵⁾

11/15/47

8,615,790

280,758

JPMBB Commercial Mortgage Securities Trust (14-C21-XA) (I/O)

1.17% ⁽⁵⁾

08/15/47

1,945,685

78,526

JPMorgan Chase Commercial Mortgage Securities Trust (09-IWST-XA) (I/O)

2.08% ^(1)(5)(6)

12/05/27

11,697,758

94,396

JPMorgan Chase Commercial Mortgage Securities Trust (11-C3-XB) (I/O)

0.61% ⁽¹⁾⁽⁵⁾

02/15/46

53,641,794

476,817

JPMorgan Chase Commercial Mortgage Securities Trust (12-HSBC-XA) (I/O)

1.58% ^(1)(5)(6)

07/05/32

4,536,445

173,983

JPMorgan Chase Commercial Mortgage Securities Trust (13-LC11-XA) (I/O)

1.40% ⁽⁵⁾

04/15/46

3,056,227

124,906

JPMorgan Chase Commercial Mortgage Securities Trust (19-OSB-A)

3.40% ⁽¹⁾

06/05/39

275,000

289,731

Morgan Stanley Capital I Trust (12-C4-XA) (I/O)

2.26% ^(1)(5)(6)

03/15/45

5,540,767

244,740

SFAVE Commercial Mortgage Securities Trust (15-5AVE-A2A)

3.66% ⁽¹⁾⁽⁵⁾

01/05/43

390,000

408,463

UBS Commercial Mortgage Trust (12-C1-XA) (I/O)

2.25% ^(1)(5)(6)

05/10/45

5,610,914

261,807

VNDO Mortgage Trust (12-6AVE-A)

3.00% ⁽¹⁾

11/15/30

280,000

286,902

Wells Fargo Commercial Mortgage Trust (12-LC5-XA) (I/O)

1.93% ⁽¹⁾⁽⁵⁾

10/15/45

5,819,608

270,728

WFRBS Commercial Mortgage Trust (12-C8-XA) (I/O)

1.99% ^(1)(5)(6)

08/15/45

4,490,468

199,648

WFRBS Commercial Mortgage Trust (12-C9-XA) (I/O)

2.07% ⁽¹⁾⁽⁵⁾

11/15/45

2,632,928

137,623

WFRBS Commercial Mortgage Trust (13-C14-XA) (I/O)

0.87% ⁽⁵⁾

06/15/46

8,857,170

206,549

WFRBS Commercial Mortgage Trust (14-C24-XA) (I/O)

1.01% ⁽⁵⁾

11/15/47

5,976,860

200,934

WFRBS Commercial Mortgage Trust (14-LC14-XA) (I/O)

1.40% ⁽⁵⁾

03/15/47

11,052,344

485,342

Total Commercial Mortgage-backed Securities — Non-agency

(Cost: $13,458,686)

11,281,631


Issues	Maturity Date		Principal Amount		Value

Residential Mortgage-backed Securities — Agency —1.6%

Fannie Mae (04-53-QV) (I/O) (I/F)

1.59% (1 mo. USD LIBOR + 7.590%)⁽²⁾		02/25/34	$	1,087,919	$	19,403

Fannie Mae (07-42-SE) (I/O) (I/F)

3.71% (-1.00 x 1 mo. USD LIBOR + 6.110%)⁽²⁾		05/25/37		141,453		18,370

Fannie Mae (07-48-SD) (I/O) (I/F)

3.70% (-1.00 x 1 mo. USD LIBOR + 6.100%)⁽²⁾		05/25/37		1,599,309		237,816

Fannie Mae (09-69-CS) (I/O) (I/F)

4.35% (-1.00 x 1 mo. USD LIBOR + 6.750%)⁽²⁾		09/25/39		300,640		47,890

Freddie Mac (1673-SD) (I/F) (PAC)

14.28% (-2.15 x T10Y + 19.391%)⁽²⁾		02/15/24		78,208		92,205

Freddie Mac (1760-ZD)

1.87% (1 x T10Y - 0.500%)⁽²⁾		02/15/24		168,873		166,187

Freddie Mac (2990-JK) (I/F)

12.43% (-4.00079 x 1 mo. USD LIBOR + 22.004%)⁽²⁾		03/15/35		133,182		160,218

Freddie Mac (3122-SG) (I/O) (I/F) (TAC) (PAC)

3.24% (-1.00 x 1 mo. USD LIBOR + 5.630%)⁽²⁾		03/15/36		2,564,344		405,709

Freddie Mac (3239-SI) (I/O) (I/F) (PAC)

4.26% (-1.00 x 1 mo. USD LIBOR + 6.650%)⁽²⁾		11/15/36		632,244		129,751

Freddie Mac (3323-SA) (I/O) (I/F)

3.63% (-1.00 x 1 mo. USD LIBOR + 6.110%)⁽²⁾		05/15/37		223,080		29,737

Freddie Mac (3459-JS) (I/O) (I/F)

3.77% ⁽⁵⁾		06/15/38		226,680		35,295

Freddie Mac (4030-HS) (I/O) (I/F)

4.22% (-1.00 x 1 mo. USD LIBOR + 6.610%)⁽²⁾		04/15/42		1,320,659		247,244

Ginnie Mae (06-35-SA) (I/O) (I/F)

4.22% (-1.00 x 1 mo. USD LIBOR + 6.600%)⁽²⁾		07/20/36		1,902,951		372,833

Ginnie Mae (06-61-SA) (I/O) (I/F) (TAC)

2.31% ⁽⁵⁾		11/20/36		3,162,416		318,839

Ginnie Mae (08-58-TS) (I/O) (I/F) (TAC)

4.02% (-1.00 x 1 mo. USD LIBOR + 6.400%)⁽²⁾		05/20/38		1,622,664		155,076

Ginnie Mae (16-153-IO) (I/O)

3.50%		11/20/46		3,887,225		664,498

Ginnie Mae II TBA, 30 Year

4.50% ⁽⁷⁾		07/29/48		1,350,000		1,406,863


Total Residential Mortgage-backed Securities — Agency

(Cost: $3,421,059)						4,507,934


Issues	Maturity Date		Principal Amount		Value

Residential Mortgage-backed Securities — Non-agency —40.9%

ACE Securities Corp. (04-IN1-A1)

3.04% (1 mo. USD LIBOR + 0.640%)⁽²⁾		05/25/34	$	537,651	$	519,244

ACE Securities Corp. (07-ASP1-A2C)

2.66% (1 mo. USD LIBOR + 0.260%)⁽²⁾		03/25/37		1,555,629		974,828

Adjustable Rate Mortgage Trust (05-4-6A22)

4.42% ⁽⁵⁾		08/25/35		639,200		412,518

Adjustable Rate Mortgage Trust (06-1-2A1)

4.52% ⁽⁵⁾		03/25/36		492,092		391,691

Asset-Backed Funding Certificates (07-NC1-A2)

2.70% (1 mo. USD LIBOR + 0.300%)⁽¹⁾⁽²⁾		05/25/37		1,425,363		1,405,466

Asset-Backed Securities Corp. Home Equity (06-HE3-A5)

2.67% (1 mo. USD LIBOR + 0.270%)⁽²⁾		03/25/36		3,000,000		2,940,195

Asset-Backed Securities Corp. Home Equity (07-HE1-A1B)

2.55% (1 mo. USD LIBOR + 0.150%)⁽²⁾		12/25/36		678,577		667,097

Banc of America Alternative Loan Trust (05-10-1CB1)

2.80% (1 mo. USD LIBOR + 0.400%)⁽²⁾		11/25/35		786,129		705,716

Banc of America Funding Corp. (15-R3-6A2)

2.60% ⁽¹⁾⁽⁵⁾		05/27/36		1,920,986		1,826,724

Banc of America Funding Trust (06-3-4A14)

6.00%		03/25/36		479,447		479,237

Banc of America Funding Trust (06-3-5A3)

5.50%		03/25/36		269,618		258,197

Banc of America Funding Trust (15-R4-2A1)

2.63% (1 mo. USD LIBOR + 0.205%)⁽¹⁾⁽²⁾		02/25/37		1,082,429		1,067,223

BCAP LLC Trust (11-RR3-5A3)

3.70% ⁽¹⁾⁽⁵⁾		11/27/37		162,551		163,079

BCMSC Trust (00-A-A4)

8.29% ⁽⁵⁾		06/15/30		3,316,690		1,274,540

Bear Stearns Adjustable Rate Mortgage Trust (03-7-9A)

4.75% ⁽⁵⁾		10/25/33		395,072		405,508

Bear Stearns Adjustable Rate Mortgage Trust (05-9-A1)

4.73% (1 year Treasury Constant Maturity Rate + 2.300%)⁽²⁾		10/25/35		344,291		354,088

Bear Stearns Adjustable Rate Mortgage Trust (07-4-22A1)

4.03% ⁽⁵⁾⁽⁸⁾		06/25/47		1,308,270		1,255,993

Bear Stearns ALT-A Trust (05-3-4A3)

4.31% ⁽⁵⁾		04/25/35		837,476		855,491

Bear Stearns Asset-Backed Securities Trust (05-AC6-1A3)

5.50% ⁽⁵⁾		09/25/35		566,543		581,670


Issues	Maturity Date		Principal Amount		Value

Residential Mortgage-backed Securities — Non-agency (Continued)

Bear Stearns Asset-Backed Securities Trust (06-IM1-A1)

2.63% (1 mo. USD LIBOR + 0.230%)⁽²⁾		04/25/36	$	344,224	$	461,887

Bear Stearns Mortgage Funding Trust (07-AR3-1X) (I/O)

0.50%		03/25/37		39,574,936		1,078,073

Centex Home Equity Loan Trust (05-A-AF5)

5.78%		01/25/35		455,990		459,265

CIM Trust (17-7-A)

3.00% ⁽¹⁾⁽⁵⁾		12/25/65		992,316		998,224

CIM Trust (18-R2-A1)

3.69% ⁽¹⁾⁽⁵⁾		08/25/57		1,087,416		1,077,511

CIM Trust (18-R4-A1)

4.07% ⁽¹⁾⁽⁵⁾		12/26/57		1,107,487		1,120,552

Citigroup Mortgage Loan Trust, Inc. (05-11-A2A)

4.82% (1 year Treasury Constant Maturity Rate + 2.400%)⁽²⁾		10/25/35		477,543		487,120

Citigroup Mortgage Loan Trust, Inc. (05-8-1A1A)

4.54% ⁽⁵⁾		10/25/35		1,065,074		1,020,711

Citigroup Mortgage Loan Trust, Inc. (14-10-2A2)

2.68% (1 mo. USD LIBOR + 0.250%)⁽¹⁾⁽²⁾		07/25/37		1,972,354		1,929,308

CitiMortgage Alternative Loan Trust (06-A3-1A7)

6.00%		07/25/36		976,210		965,388

CitiMortgage Alternative Loan Trust (06-A5-1A8)

6.00%		10/25/36		1,097,096		1,087,899

Conseco Finance Securitizations Corp. (01-4-A4)

7.36% ⁽⁵⁾		08/01/32		29,868		30,036

Conseco Finance Securitizations Corp. (99-6-A1)

7.36% ⁽¹⁾⁽⁵⁾		06/01/30		1,560,190		965,024

Conseco Financial Corp. (96-6-M1)

7.95% ⁽⁵⁾		09/15/27		235,950		260,205

Conseco Financial Corp. (96-7-M1)

7.70% ⁽⁵⁾		09/15/26		748,027		795,230

Conseco Financial Corp. (98-3-A6)

6.76% ⁽⁵⁾		03/01/30		149,399		154,630

Conseco Financial Corp. (98-4-A5)

6.18%		04/01/30		274,776		281,102

Conseco Financial Corp. (98-4-A6)

6.53% ⁽⁵⁾		04/01/30		167,162		174,656

Conseco Financial Corp. (98-4-A7)

6.87% ⁽⁵⁾		04/01/30		177,005		185,824

Countryplace Manufactured Housing Contract Trust (07-1-A4)

5.85% ⁽¹⁾⁽⁵⁾		07/15/37		851,438		864,337

Countrywide Alternative Loan Trust (05-20CB-4A1)

5.25%		07/25/20		83,047		82,650


Issues	Maturity Date		Principal Amount		Value

Residential Mortgage-backed Securities — Non-agency (Continued)

Countrywide Alternative Loan Trust (06-8T1-1A2) (I/O)

3.10% (1 mo. USD LIBOR + 5.500%)⁽²⁾⁽³⁾		04/25/36	$	6,515,182	$	1,135,984

Countrywide Asset-Backed Certificates (07-13-2A1)

3.30% (1 mo. USD LIBOR + 0.900%)⁽²⁾		10/25/47		748,903		734,910

Countrywide Home Loans (04-HYB4-B1)

4.51% ⁽⁵⁾		09/20/34		945,216		289,813

Countrywide Home Loans (06-14-X) (I/O)

0.18% ⁽³⁾⁽⁵⁾		09/25/36		22,555,204		123,887

Countrywide Home Loans (06-HYB2-1A1)

4.63% ⁽⁵⁾		04/20/36		1,305,117		1,070,796

Credit Suisse First Boston Mortgage Securities Corp. (04-AR5-11A2)

3.14% (1 mo. USD LIBOR + 0.740%)⁽²⁾		06/25/34		170,850		170,859

Credit Suisse First Boston Mortgage Securities Corp. (05-12-1A1)

6.50%		01/25/36		1,276,768		777,856

Credit Suisse Mortgage Capital Certificates (06-6-1A8)

6.00%		07/25/36		651,704		538,952

Credit Suisse Mortgage Trust (12-2R-1A2)

4.70% ⁽¹⁾⁽⁵⁾		05/27/35		1,066,226		1,100,018

Credit-Based Asset Servicing and Securitization LLC (03-CB3-AF1)

3.38%		12/25/32		515,066		524,743

Credit-Based Asset Servicing and Securitization LLC (05-CB4-M2)

2.85% (1 mo. USD LIBOR + 0.450%)⁽²⁾		07/25/35		1,070,295		1,077,503

Credit-Based Asset Servicing and Securitization LLC (06-CB1-AF2)

3.36%		01/25/36		1,401,392		1,221,689

Credit-Based Asset Servicing and Securitization LLC (06-CB2-AF2)

3.43%		12/25/36		2,561,747		2,295,632

Credit-Based Asset Servicing and Securitization LLC (07-CB2-A2B)

4.03%		02/25/37		1,179,109		947,965

Credit-Based Asset Servicing and Securitization LLC (07-CB2-A2C)

4.03%		02/25/37		1,158,489		931,284

Credit-Based Asset Servicing and Securitization LLC (07-CB3-A3)

3.82%		03/25/37		1,453,470		738,923

Deutsche Alt-A Securities, Inc. Mortgage Loan Trust (06-AB2-A2)

5.26% ⁽⁵⁾		06/25/36		1,739,589		1,699,980

Deutsche Alt-A Securities, Inc. Mortgage Loan Trust (06-AR6-A6)

2.59% (1 mo. USD LIBOR + 0.190%)⁽²⁾		02/25/37		658,069		605,661


Issues	Maturity Date		Principal Amount		Value

Residential Mortgage-backed Securities — Non-agency (Continued)

DSLA Mortgage Loan Trust (06-AR2-2A1A)

2.59% (1 mo. USD LIBOR + 0.200%)⁽²⁾		10/19/36	$	489,085	$	451,827

First Franklin Mortgage Loan Asset-Backed Certificates (06-FF11-2A3)

2.55% (1 mo. USD LIBOR + 0.150%)⁽²⁾		08/25/36		1,513,356		1,366,706

First Franklin Mortgage Loan Asset-Backed Certificates (06-FF13-A2C)

2.56% (1 mo. USD LIBOR + 0.160%)⁽²⁾		10/25/36		965,962		768,295

First Franklin Mortgage Loan Asset-Backed Certificates (06-FF18-A2D)

2.61% (1 mo. USD LIBOR + 0.210%)⁽²⁾		12/25/37		1,219,467		1,070,751

First Horizon Alternative Mortgage Securities Trust (05-AA10-2A1)

3.83% ⁽⁵⁾		12/25/35		426,805		371,796

Greenpoint Manufactured Housing (00-1-A4)

8.14% ⁽⁵⁾		03/20/30		748,341		751,420

GSAA Home Equity Trust (06-13-AF6)

6.04%		07/25/36		1,546,170		850,252

GSC Capital Corp. Mortgage Trust (06-2-A1)

2.58% (1 mo. USD LIBOR + 0.180%)⁽²⁾		05/25/36		397,748		373,772

GSR Mortgage Loan Trust (05-AR3-6A1)

4.49% ⁽⁵⁾		05/25/35		340,706		318,734

HSI Asset Loan Obligation Trust (07-2-2A12)

6.00%		09/25/37		517,250		474,731

Indymac INDX Mortgage Loan Trust (04-AR6-5A1)

4.40% ⁽⁵⁾		10/25/34		440,092		458,009

Indymac INDX Mortgage Loan Trust (05-AR19-A1)

3.76% ⁽⁵⁾⁽⁸⁾		10/25/35		593,556		518,060

Indymac INDX Mortgage Loan Trust (06-AR13-A4X) (I/O)

0.73% ⁽³⁾⁽⁵⁾		07/25/36		234,745		915

Indymac INDX Mortgage Loan Trust (06-AR9-1A1)

4.26% ⁽⁵⁾		06/25/36		810,859		684,773

Indymac INDX Mortgage Loan Trust (07-AR5-2A1)

3.84% ⁽⁵⁾⁽⁸⁾		05/25/37		1,064,346		1,021,245

Indymac INDX Mortgage Loan Trust (07-FLX2-A1C)

2.59% (1 mo. USD LIBOR + 0.190%)⁽²⁾		04/25/37		2,051,990		1,928,746

JPMorgan Alternative Loan Trust (06-A2-5A1)

4.11% ⁽⁵⁾		05/25/36		698,787		546,594

JPMorgan Mortgage Acquisition Corp. (05-FRE1-A2F3)

3.37%		10/25/35		600,825		602,289

JPMorgan Mortgage Acquisition Trust (06-WF1-A5)

6.41%		07/25/36		2,471,587		1,303,748


Issues	Maturity Date		Principal Amount		Value

Residential Mortgage-backed Securities — Non-agency (Continued)

JPMorgan Mortgage Acquisition Trust (07-CH4-A4)

2.56% (1 mo. USD LIBOR + 0.160%)⁽²⁾		01/25/36	$	271,570	$	270,967

JPMorgan Mortgage Trust (04-A6-5A1)

4.23% ⁽⁵⁾		12/25/34		315,551		310,160

JPMorgan Mortgage Trust (07-S2-1A1)

5.00%		06/25/37		222,357		162,518

JPMorgan Resecuritization Trust (15-4-1A5)

2.62% (1 mo. USD LIBOR + 0.190%)⁽¹⁾⁽²⁾		06/26/47		1,863,000		1,763,200

JPMorgan Resecuritization Trust (15-4-2A2)

4.20% ⁽¹⁾⁽⁵⁾		06/26/47		4,187,652		1,830,050

Legacy Mortgage Asset Trust (19-GS4-A1)

3.44% ⁽¹⁾		05/25/59		1,292,792		1,295,539

Lehman Mortgage Trust (06-7-2A5) (I/O)

4.15% (1 mo. USD LIBOR + 6.550%)⁽²⁾⁽³⁾		11/25/36		3,467,214		1,031,881

Lehman XS Trust (06-10N-1A3A)

2.61% (1 mo. USD LIBOR + 0.210%)⁽²⁾		07/25/46		880,309		867,793

Lehman XS Trust (06-12N-A31A)

2.60% (1 mo. USD LIBOR + 0.200%)⁽²⁾		08/25/46		1,283,938		1,212,719

Long Beach Mortgage Loan Trust (04-4-M1)

3.30% (1 mo. USD LIBOR + 0.900%)⁽²⁾		10/25/34		1,020,054		1,027,090

MASTR Alternative Loan Trust (06-2-2A2) (I/O)

4.70% (1 mo. USD LIBOR + 7.100%)⁽²⁾		03/25/36		6,033,319		1,293,163

MASTR Alternative Loans Trust (07-HF1-4A1)

7.00% ⁽⁸⁾		10/25/47		1,138,495		848,158

MASTR Asset-Backed Securities Trust (06-NC1-A4)

3.00% (1 mo. USD LIBOR + 0.300%)⁽²⁾⁽³⁾		01/25/36		192,260		190,442

MASTR Asset-Backed Securities Trust (07-HE1-A4)

2.68% (1 mo. USD LIBOR + 0.280%)⁽²⁾		05/25/37		2,000,000		1,760,947

Merrill Lynch Alternative Note Asset Trust (07-OAR2-A2)

2.61% (1 mo. USD LIBOR + 0.210%)⁽²⁾		04/25/37		1,401,398		1,229,698

Merrill Lynch First Franklin Mortgage Loan Trust (07-3-A2B)

2.53% (1 mo. USD LIBOR + 0.130%)⁽²⁾		06/25/37		699,123		549,182

Merrill Lynch First Franklin Mortgage Loan Trust (07-3-A2C)

2.58% (1 mo. USD LIBOR + 0.180%)⁽²⁾		06/25/37		1,427,593		1,128,330


Issues	Maturity Date		Principal Amount		Value

Residential Mortgage-backed Securities — Non-agency (Continued)

Merrill Lynch Mortgage-Backed Securities Trust (07-2-1A1)

4.69% (1 year Treasury Constant Maturity Rate + 2.400%)⁽²⁾		08/25/36	$	322,665	$	320,699

Mid-State Trust (04-1-B)

8.90%		08/15/37		334,675		381,458

Mid-State Trust (04-1-M1)

6.50%		08/15/37		334,675		353,648

Morgan Stanley ABS Capital I, Inc. Trust (06-HE3-A1)

2.54% (1 mo. USD LIBOR + 0.140%)⁽²⁾		04/25/36		700,331		683,501

Morgan Stanley ABS Capital I, Inc. Trust (07-15AR-4A1)

3.52% ⁽⁵⁾		11/25/37		537,254		534,468

Morgan Stanley Home Equity Loan Trust (06-2-A4)

2.68% (1 mo. USD LIBOR + 0.280%)⁽²⁾		02/25/36		826,711		821,911

MortgageIT Trust (05-5-A1)

2.92% (1 mo. USD LIBOR + 0.260%)⁽²⁾		12/25/35		455,440		452,118

Nationstar Home Equity Loan Trust (07-B-2AV3)

2.65% (1 mo. USD LIBOR + 0.250%)⁽²⁾		04/25/37		1,516,338		1,518,417

New Century Home Equity Loan Trust (05-B-A2D)

2.80% (1 mo. USD LIBOR + 0.400%)⁽²⁾		10/25/35		688,240		683,441

Nomura Asset Acceptance Corp. (06-AR1-1A)

5.28% ⁽⁵⁾		02/25/36		1,045,914		942,177

Oakwood Mortgage Investors, Inc. (00-A-A4)

8.15% ⁽⁵⁾		09/15/29		1,807,143		953,066

Oakwood Mortgage Investors, Inc. (00-D-A4)

7.40% ⁽⁵⁾		07/15/30		730,271		329,465

Oakwood Mortgage Investors, Inc. (01-C-A3)

6.61% ⁽⁵⁾		06/15/31		1,671,841		461,138

Oakwood Mortgage Investors, Inc. (01-D-A3)

5.90% ⁽⁵⁾		09/15/22		854,698		665,214

Oakwood Mortgage Investors, Inc. (01-D-A4)

6.93% ⁽⁵⁾		09/15/31		495,193		417,463

Oakwood Mortgage Investors, Inc. (02-A-A3)

6.03% ⁽⁵⁾		05/15/24		241,178		249,470

Oakwood Mortgage Investors, Inc. (98-A-M)

6.83% ⁽⁵⁾		05/15/28		187,034		192,633

Oakwood Mortgage Investors, Inc. (99-B-A4)

6.99%		12/15/26		216,567		222,354

Oakwood Mortgage Investors, Inc. (99-E-A1)

7.61% ⁽⁵⁾		03/15/30		943,228		826,584

Popular ABS Mortgage Pass-Through Trust (05-6-A4)

3.77%		01/25/36		586,148		587,592

RALI Series Trust (06-QS13-1A2) (I/O)

4.76% (1 mo. USD LIBOR + 7.160%)⁽²⁾⁽³⁾		09/25/36		4,699,059		800,730


Issues	Maturity Date		Principal Amount		Value

Residential Mortgage-backed Securities — Non-agency (Continued)

RALI Series Trust (06-QS7-A2)

6.00%		06/25/36	$	677,865	$	636,708

RASC Series Trust (05-KS11-M1)

2.80% (1 mo. USD LIBOR + 0.400%)⁽²⁾		12/25/35		389,448		391,043

RBSSP Resecuritization Trust (12-6-4A2)

2.76% (1 mo. USD LIBOR + 0.330%)⁽¹⁾⁽²⁾		01/26/36		2,257,107		2,237,405

Residential Accredit Loans, Inc. (05-QA7-A1)

4.22% ⁽⁵⁾		07/25/35		1,168,622		996,458

Residential Accredit Loans, Inc. (05-QA8-CB21)

4.63% ⁽⁵⁾		07/25/35		612,864		478,581

Residential Accredit Loans, Inc. (06-QA10-A2)

2.58% (1 mo. USD LIBOR + 0.180%)⁽²⁾		12/25/36		882,956		832,539

Residential Accredit Loans, Inc. (06-QS1-A3) (PAC)

5.75%		01/25/36		517,960		493,706

Residential Accredit Loans, Inc. (06-QS11-AV) (I/O)

0.34% ⁽³⁾⁽⁵⁾		08/25/36		12,592,401		186,466

Residential Accredit Loans, Inc. (06-QS6-1AV) (I/O)

0.75% ⁽³⁾⁽⁵⁾		06/25/36		5,551,680		146,059

Residential Accredit Loans, Inc. (06-QS8-A3)

6.00%		08/25/36		1,114,301		1,037,786

Residential Accredit Loans, Inc. (07-QS2-AV) (I/O)

0.33% ⁽³⁾⁽⁵⁾		01/25/37		14,077,467		170,277

Residential Accredit Loans, Inc. (07-QS3-AV) (I/O)

0.36% ⁽³⁾⁽⁵⁾		02/25/37		14,686,880		201,849

Residential Accredit Loans, Inc. (07-QS6-A62) (TAC)

5.50%		04/25/37		334,795		312,871

Residential Asset Mortgage Products, Inc. (06-RZ3-A3)

2.69% (1 mo. USD LIBOR + 0.290%)⁽²⁾		08/25/36		393,462		394,398

Residential Asset Securitization Trust (05-A15-4A1)

6.00%		02/25/36		1,053,764		677,407

Residential Asset Securitization Trust (07-A5-AX) (I/O)

6.00% ⁽³⁾		05/25/37		2,500,146		399,774

Residential Funding Mortgage Securities (06-S9-AV) (I/O)

0.32% ⁽³⁾⁽⁵⁾		09/25/36		34,480,645		316,581

Saxon Asset Securities Trust (07-3-2A4)

2.89% (1 mo. USD LIBOR + 0.490%)⁽²⁾		09/25/47		2,926,000		2,631,588

Securitized Asset-Backed Receivables LLC Trust (07-NC2-A2C)

2.62% (1 mo. USD LIBOR + 0.220%)⁽²⁾		01/25/37		4,614,000		3,636,951

Soundview Home Loan Trust (06-1-A4)

2.70% (1 mo. USD LIBOR + 0.300%)⁽²⁾		02/25/36		778,520		755,219

Structured Adjustable Rate Mortgage Loan Trust (05-20-1A1)

4.68% ⁽⁵⁾		10/25/35		248,782		244,618

Issues

Maturity
Date

Principal
Amount

Value

Residential Mortgage-backed Securities — Non-agency (Continued)

Structured Adjustable Rate Mortgage Loan Trust (07-9-2A1)

4.23% ⁽⁵⁾

10/25/47

414,693

371,452

Structured Asset Investment Loan Trust (05-3-M2)

3.06% (1 mo. USD LIBOR + 0.660%)⁽²⁾

04/25/35

353,824

355,179

Structured Asset Mortgage Investments II Trust (06-AR4-5A1)

2.58% (1 mo. USD LIBOR + 0.180%)⁽²⁾

06/25/36

1,369,828

1,272,430

Structured Asset Securities Corp. (06-GEL4-A3)

2.70% (1 mo. USD LIBOR + 0.300%)⁽¹⁾⁽²⁾

10/25/36

399,118

399,680

WAMU Asset-Backed Certificates (07-HE1-2A3)

2.55% (1 mo. USD LIBOR + 0.150%)⁽²⁾

01/25/37

2,153,575

1,378,890

Wells Fargo Alternative Loan Trust (07-PA2-2A2) (I/O)

3.67% (-1.00 x 1 mo. USD LIBOR + 6.070%)⁽²⁾⁽³⁾

06/25/37

3,966,264

593,565

Wells Fargo Home Equity Trust (06-2-A3)

2.61% (1 mo. USD LIBOR + 0.210%)⁽²⁾

01/25/37

730,000

711,779

Wells Fargo Home Equity Trust (06-2-A4)

2.65% (1 mo. USD LIBOR + 0.250%)⁽²⁾

07/25/36

239,526

238,233

Wells Fargo Mortgage-Backed Securities Trust (06-AR10-5A1)

4.99% ⁽⁵⁾

07/25/36

333,783

339,834

Wells Fargo Mortgage-Backed Securities Trust (07-AR3-A4)

5.20% ⁽⁵⁾

04/25/37

303,753

298,151

Wells Fargo Mortgage-Backed Securities Trust (08-1-4A1)

5.75%

02/25/38

136,797

145,899

Total Residential Mortgage-backed Securities — Non-agency

(Cost: $99,282,737)

113,320,015

Total Mortgage-backed Securities

(Cost: $129,181,995)

140,556,404

CORPORATE BONDS—28.8%

Advertising — 0.0%

Clear Channel International BV (Netherlands)

8.75% ⁽¹⁾

12/15/20

95,000

97,494

Aerospace/Defense — 0.6%

BAE Systems Holdings, Inc.

2.85% ⁽¹⁾

12/15/20

500,000

502,108

L3 Technologies, Inc.

4.40%

06/15/28

420,000

459,895


Issues	Maturity Date		Principal Amount		Value

Aerospace/Defense (Continued)

Northrop Grumman Corp.

2.93%		01/15/25	$	590,000	$	601,329


						1,563,332


Agriculture — 0.2%

BAT Capital Corp.

4.54%		08/15/47		130,000		120,721

Reynolds American, Inc.

5.85%		08/15/45		300,000		323,589


						444,310


Airlines — 0.5%

America West Airlines, Inc. Pass-Through Certificates (01-1) (EETC)

7.10%		10/02/22		226,752		234,733

Continental Airlines, Inc. Pass-Through Certificates (00-2-A1) (EETC)

7.71%		10/02/22		238,347		248,473

Delta Air Lines, Inc. Pass-Through Certificates (02-1G1) (EETC)

6.72%		07/02/24		359,796		386,301

US Airways Group, Inc. Pass-Through Certificates (10-1A) (EETC)

6.25%		10/22/24		435,174		475,324


						1,344,831


Auto Manufacturers — 0.7%

Ford Motor Credit Co. LLC

3.20%		01/15/21		525,000		528,310

3.34%		03/28/22		645,000		647,789

3.60% (3 mo. USD LIBOR + 1.270%)⁽²⁾		03/28/22		345,000		339,567

8.13%		01/15/20		280,000		287,820

General Motors Co. 4.88%		10/02/23		150,000		159,183


						1,962,669


Banks — 5.3%

Bank of America Corp.

2.74% (2.738% until 1/23/21 then 3 mo. USD LIBOR + 0.370%)⁽²⁾		01/23/22		10,000		10,047

3.00% (3.004% until 12/20/22 then 3 mo. USD LIBOR + 0.790%)⁽²⁾		12/20/23		140,000		142,648

3.12% (3 mo. USD LIBOR + 1.160%)⁽²⁾		01/20/23		406,000		412,228

3.42% (3.419% until 12/20/27 then 3 mo. USD LIBOR + 1.040%)⁽²⁾		12/20/28		1,916,000		1,973,219


Issues	Maturity Date		Principal Amount		Value

Banks (Continued)

3.50% (3.499% until 5/17/21 then 3 mo. USD LIBOR + 0.630%)⁽²⁾		05/17/22	$	500,000	$	509,960

4.27% (4.271% u 7/23/28 then 3 mo. USD LIBOR + 1.31%)⁽²⁾		07/23/29		175,000		190,803

Bank of New York Mellon Corp. (The)

2.60%		02/07/22		835,000		842,808

Goldman Sachs Group, Inc. (The)

2.30%		12/13/19		810,000		809,591

3.27% (3.272% until 9/29/24 then 3 mo. USD LIBOR + 1.201%)⁽²⁾		09/29/25		430,000		438,092

3.75%		05/22/25		750,000		784,761

4.12% (3 mo. USD LIBOR + 1.600%)⁽²⁾		11/29/23		500,000		513,864

4.22% (4.223% until 5/01/18 then 3 mo. USD LIBOR + 1.301%)⁽²⁾		05/01/29		140,000		150,140

JPMorgan Chase & Co.

3.22% (3 mo. USD LIBOR + 1.155%)⁽²⁾		03/01/25		380,000		391,043

3.51% (3.514% until 6/18/21 then 3 mo. USD LIBOR + 0.610%)⁽²⁾		06/18/22		560,000		572,445

3.56% ⁽⁵⁾		04/23/24		1,000,000		1,037,344

3.96% ⁽⁵⁾		01/29/27		690,000		738,648

Lloyds Bank PLC (United Kingdom)

5.80% ⁽¹⁾		01/13/20		650,000		661,653

Lloyds Banking Group PLC (United Kingdom)

2.91% (2.907% until 11/07/22 then 3 mo. USD LIBOR + 0.810%)⁽²⁾		11/07/23		285,000		284,502

Morgan Stanley 3.63%		01/20/27		550,000		577,760

3.88%		04/29/24		400,000		424,232

Santander UK Group Holdings PLC (United Kingdom)

3.37% (3.373% until 1/05/23 then 3 mo. USD LIBOR + 1.080%)⁽²⁾		01/05/24		435,000		439,354

Santander UK PLC (United Kingdom)

3.40%		06/01/21		975,000		991,520

Wells Fargo & Co.

2.63%		07/22/22		140,000		140,911

3.00%		04/22/26		450,000		455,723

3.00%		10/23/26		750,000		758,449

3.81% (3 mo. USD LIBOR + 1.230%)⁽²⁾		10/31/23		500,000		510,159


						14,761,904


Issues	Maturity Date		Principal Amount		Value

Beverages — 0.5%

Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc.

4.90%		02/01/46	$	469,000	$	520,416

Anheuser-Busch InBev Worldwide, Inc.

4.75%		01/23/29		420,000		477,169

Bacardi, Ltd.

4.70% ⁽¹⁾		05/15/28		15,000		16,061

5.30% ⁽¹⁾		05/15/48		280,000		295,159


						1,308,805


Biotechnology — 0.5%

Amgen, Inc.

4.40%		05/01/45		770,000		819,260

Baxalta, Inc.

2.88%		06/23/20		90,000		90,286

Celgene Corp.

4.63%		05/15/44		500,000		570,848


						1,480,394


Chemicals — 0.2%

International Flavors & Fragrances, Inc.

5.00%		09/26/48		410,000		454,741

Commercial Services — 0.3%

IHS Markit, Ltd.

4.00% ⁽¹⁾		03/01/26		73,000		75,519

4.75%		08/01/28		120,000		131,240

5.00% ⁽¹⁾		11/01/22		421,000		448,154

Matthews International Corp.

5.25% ⁽¹⁾		12/01/25		160,000		157,800


						812,713


Computers — 0.1%

Apple, Inc.

3.00%		11/13/27		400,000		412,026


Cosmetics/Personal Care — 0.0%

First Quality Finance Co., Inc.

5.00% ⁽¹⁾		07/01/25		54,000		54,540


Diversified Financial Services — 1.5%

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

4.50%		05/15/21		300,000		310,125

Air Lease Corp.

2.13%		01/15/20		500,000		498,866

3.50%		01/15/22		490,000		501,968

GE Capital International Funding Co. Unlimited Co. (Ireland)

2.34%		11/15/20		1,090,000		1,084,368

4.42%		11/15/35		1,165,000		1,154,998

Raymond James Financial, Inc.

5.63%		04/01/24		650,000		735,878


						4,286,203


Issues	Maturity Date		Principal Amount		Value

Electric — 0.7%

FirstEnergy Transmission LLC

4.35% ⁽¹⁾		01/15/25	$	750,000	$	805,082

Puget Energy, Inc.

6.00%		09/01/21		500,000		534,607

Vistra Operations Co. LLC

3.55% ⁽¹⁾		07/15/24		500,000		503,437


						1,843,126


Engineering & Construction — 0.3%

Heathrow Funding, Ltd. (United Kingdom)

4.88% ⁽¹⁾		07/15/21		700,000		745,668


Entertainment — 0.2%

Churchill Downs, Inc.

4.75% ⁽¹⁾		01/15/28		140,000		141,365

5.50% ⁽¹⁾		04/01/27		150,000		157,125

Rivers Pittsburgh Borrower LP / Rivers Pittsburgh Finance Corp.

6.13% ⁽¹⁾		08/15/21		125,000		127,188

Twin River Worldwide Holdings, Inc.

6.75% ⁽¹⁾		06/01/27		75,000		78,375


						504,053


Environmental Control — 0.3%

Clean Harbors, Inc.

5.13%		06/01/21		135,000		135,404

Covanta Holding Corp.

5.88%		07/01/25		125,000		130,469

GFL Environmental, Inc. (Canada)

5.38% ⁽¹⁾		03/01/23		160,000		159,200

8.50% ⁽¹⁾		05/01/27		275,000		296,656

Hulk Finance Corp.

7.00% ⁽¹⁾		06/01/26		60,000		61,725


						783,454


Food — 0.8%

Chobani LLC / Chobani Finance Corp., Inc.

7.50% ⁽¹⁾		04/15/25		60,000		56,400

Conagra Brands, Inc.

3.09% (3 mo. USD LIBOR + 0.500%)⁽²⁾		10/09/20		650,000		648,649

Kraft Heinz Foods Co.

4.63%		01/30/29		455,000		489,992

5.00%		06/04/42		188,000		194,517

6.38%		07/15/28		210,000		245,110

Kroger Co. (The)

5.40%		01/15/49		151,000		167,662

Lamb Weston Holdings, Inc.

4.63% ⁽¹⁾		11/01/24		120,000		124,950

Post Holdings, Inc.

5.50% ⁽¹⁾		12/15/29		280,000		281,750


Issues	Maturity Date		Principal Amount		Value

Food (Continued)

Tyson Foods, Inc.

4.00%		03/01/26	$	125,000	$	133,231


						2,342,261


Healthcare-Products — 0.2%

Becton Dickinson and Co.

3.19% (3 mo. USD LIBOR + 0.875%)⁽²⁾		12/29/20		300,000		300,049

Hologic, Inc.

4.63% ⁽¹⁾		02/01/28		320,000		325,200


						625,249


Healthcare-Services — 1.9%

Anthem, Inc.

3.65%		12/01/27		430,000		446,907

Catalent Pharma Solutions, Inc.

4.88% ⁽¹⁾		01/15/26		285,000		290,344

5.00% ⁽¹⁾		07/15/27		155,000		158,487

Centene Corp.

5.38% ⁽¹⁾		06/01/26		288,000		302,760

5.63%		02/15/21		255,000		260,100

CHS / Community Health Systems, Inc.

8.00% ⁽¹⁾		03/15/26		59,000		57,083

Cigna Corp.

3.05%		10/15/27		430,000		425,510

HCA, Inc.

4.13%		06/15/29		320,000		330,800

5.00%		03/15/24		130,000		141,776

5.25%		06/15/49		130,000		135,677

5.63%		09/01/28		100,000		108,187

5.88%		02/01/29		200,000		219,500

6.50%		02/15/20		167,000		171,323

Humana, Inc.

2.90%		12/15/22		435,000		441,623

Molina Healthcare, Inc.

5.38%		11/15/22		140,000		146,650

NYU Hospitals Center

4.43%		07/01/42		700,000		787,950

Tenet Healthcare Corp.

4.50%		04/01/21		140,000		142,800

4.63%		07/15/24		234,000		237,802

4.75%		06/01/20		50,000		50,438

WellCare Health Plans, Inc.

5.25%		04/01/25		122,000		127,642

5.38% ⁽¹⁾		08/15/26		157,000		167,205


						5,150,564


Issues	Maturity Date		Principal Amount		Value

Household Products/Wares — 0.2%

Central Garden & Pet Co.

6.13%		11/15/23	$	158,000	$	164,320

Spectrum Brands, Inc.

5.75%		07/15/25		135,000		140,265

6.13%		12/15/24		135,000		140,400


						444,985


Insurance — 0.7%

Berkshire Hathaway Finance Corp.

4.20%		08/15/48		400,000		445,674

Farmers Exchange Capital

7.05% ⁽¹⁾		07/15/28		500,000		600,661

Nationwide Mutual Insurance Co.

4.70% (3 mo. USD LIBOR + 2.290%)⁽¹⁾⁽²⁾		12/15/24		1,000,000		996,250


						2,042,585


Machinery-Diversified — 0.0%

Titan Acquisition, Ltd. / Titan Co-Borrower LLC

7.75% ⁽¹⁾		04/15/26		140,000		126,700


Media — 1.1%

CCO Holdings LLC / CCO Holdings Capital Corp.

5.38% ⁽¹⁾		06/01/29		273,000		282,555

Charter Communications Operating LLC / Charter Communications Operating Capital

4.91%		07/23/25		850,000		924,689

6.48%		10/23/45		150,000		178,027

Comcast Corp.

2.35%		01/15/27		280,000		273,103

CSC Holdings LLC

6.50% ⁽¹⁾		02/01/29		550,000		601,219

Discovery Communications LLC

2.80%		06/15/20		345,000		345,745

Sirius XM Radio, Inc.

3.88% ⁽¹⁾		08/01/22		130,000		130,813

Virgin Media Secured Finance PLC (United Kingdom)

5.50% ⁽¹⁾		08/15/26		200,000		207,500


						2,943,651


Mining — 0.3%

Corp. Nacional del Cobre de Chile

3.63% ⁽⁹⁾		08/01/27		350,000		363,055

Indonesia Asahan Aluminium Persero PT

6.53% ⁽¹⁾		11/15/28		500,000		590,900


						953,955


Miscellaneous Manufacturers — 0.6%

General Electric Co.

3.00% (3 mo. USD LIBOR + 0.480%)⁽²⁾		08/15/36		2,400,000		1,794,895


Issues	Maturity Date		Principal Amount		Value

Oil & Gas — 1.1%

Antero Resources Corp.

5.00%		03/01/25	$	320,000	$	296,800

5.13%		12/01/22		125,000		120,625

Centennial Resource Production LLC

5.38% ⁽¹⁾		01/15/26		80,000		76,400

6.88% ⁽¹⁾		04/01/27		70,000		71,050

CrownRock LP / CrownRock Finance, Inc.

5.63% ⁽¹⁾		10/15/25		72,000		72,360

Endeavor Energy Resources LP / EER Finance, Inc.

5.50% ⁽¹⁾		01/30/26		52,000		54,145

Gulfport Energy Corp.

6.38%		05/15/25		35,000		27,256

KazMunayGas National Co.

5.38% ⁽⁹⁾		04/24/30		300,000		333,234

Matador Resources Co.

5.88%		09/15/26		84,000		85,260

Parsley Energy LLC / Parsley Finance Corp.

5.25% ⁽¹⁾		08/15/25		130,000		132,600

5.63% ⁽¹⁾		10/15/27		65,000		68,006

Petrobras Global Finance B.V.

5.75%		02/01/29		100,000		104,549

Petroleos Mexicanos

6.50%		03/13/27		140,000		138,390

6.50%		01/23/29		735,000		712,950

6.63%		06/15/35		245,000		227,544

Range Resources Corp.

4.88%		05/15/25		150,000		132,375

Transocean Guardian, Ltd.

5.88% ⁽¹⁾		01/15/24		72,765		74,311

Transocean Pontus, Ltd.

6.13% ⁽¹⁾		08/01/25		96,390		99,764

Transocean Poseidon, Ltd.

6.88% ⁽¹⁾		02/01/27		190,000		201,281

WPX Energy, Inc.

5.75%		06/01/26		73,000		76,103


						3,105,003


Oil & Gas Services — 0.2%

Transocean Proteus, Ltd.

6.25% ⁽¹⁾		12/01/24		146,250		151,551

USA Compression Partners LP / USA Compression Finance Corp.

6.88%		04/01/26		142,000		150,861

6.88% ⁽¹⁾		09/01/27		127,000		133,999


						436,411


Issues	Maturity Date		Principal Amount		Value

Packaging & Containers — 0.8%

Amcor Finance USA, Inc.

3.63% ⁽¹⁾		04/28/26	$	400,000	$	407,795

Ball Corp.

4.00%		11/15/23		90,000		93,487

Berry Global Escrow Corp.

4.88% ⁽¹⁾		07/15/26		86,000		88,043

Crown Americas LLC / Crown Americas Capital Corp. V

4.25%		09/30/26		100,000		102,375

Graphic Packaging International LLC

4.75% ⁽¹⁾		07/15/27		130,000		133,900

Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer (Luxembourg)

5.75%		10/15/20		566,928		569,054

Sealed Air Corp.

5.50% ⁽¹⁾		09/15/25		140,000		149,450

WRKCo, Inc.

4.65%		03/15/26		555,000		604,168


						2,148,272


Pharmaceuticals — 1.6%

AbbVie, Inc.

4.88%		11/14/48		275,000		289,070

Allergan Finance LLC

3.25%		10/01/22		500,000		506,700

Bayer US Finance II LLC

4.38% ⁽¹⁾		12/15/28		815,000		861,537

Bristol-Myers Squibb Co.

4.13% ⁽¹⁾		06/15/39		395,000		426,755

CVS Health Corp.

5.05%		03/25/48		705,000		752,066

Halfmoon Parent, Inc.

4.13% ⁽¹⁾		11/15/25		750,000		799,341

Shire Acquisitions Investments Ireland DAC (Ireland)

1.90%		09/23/19		500,000		499,253

2.40%		09/23/21		350,000		349,691


						4,484,413


Pipelines — 2.0%

Enbridge Energy Partners LP

5.88%		10/15/25		50,000		57,769

Energy Transfer Operating LP

4.05%		03/15/25		300,000		312,999

5.50%		06/01/27		287,000		321,324

EQT Midstream Partners LP

4.13%		12/01/26		500,000		483,226

NGPL PipeCo LLC

4.38% ⁽¹⁾		08/15/22		190,000		196,650

Peru LNG SRL

5.38% ⁽⁹⁾		03/22/30		400,000		431,440


Issues	Maturity Date		Principal Amount		Value

Pipelines (Continued)

Pipeline Funding Co. LLC

7.50% ⁽¹⁾		01/15/30	$	470,050	$	563,556

Plains All American Pipeline LP / PAA Finance Corp.

4.65%		10/15/25		500,000		531,815

Rockies Express Pipeline LLC

5.63% ⁽¹⁾		04/15/20		585,000		597,431

Sabine Pass Liquefaction LLC

5.75%		05/15/24		210,000		233,717

Sunoco Logistics Partners Operations LP

5.40%		10/01/47		831,000		881,658

Targa Resources Partners LP / Targa Resources Partners Finance Corp.

6.88% ⁽¹⁾		01/15/29		127,000		141,121

Texas Eastern Transmission LP

2.80% ⁽¹⁾		10/15/22		300,000		299,605

TransMontaigne Partners LP / TLP Finance Corp.

6.13%		02/15/26		115,000		111,262

Williams Partners LP

6.30%		04/15/40		400,000		486,501


						5,650,074


REIT — 1.8%

American Campus Communities Operating Partnership LP

3.75%		04/15/23		300,000		310,691

Boston Properties LP

2.75%		10/01/26		300,000		295,586

3.20%		01/15/25		290,000		296,484

CC Holdings GS V LLC / Crown Castle GS III Corp.

3.85%		04/15/23		500,000		523,756

GLP Capital LP / GLP Financing II, Inc.

5.30%		01/15/29		210,000		227,510

5.38%		04/15/26		721,000		781,528

HCP, Inc.

4.25%		11/15/23		630,000		668,332

Healthcare Trust of America Holdings LP

2.95%		07/01/22		710,000		714,521

Host Hotels & Resorts LP

6.00%		10/01/21		400,000		424,396

Hudson Pacific Properties LP

3.95%		11/01/27		275,000		281,169

MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc.

5.63%		05/01/24		135,000		145,969

Piedmont Operating Partnership LP

3.40%		06/01/23		425,000		426,603


						5,096,545


Issues	Maturity Date		Principal Amount		Value

Retail — 0.8%

Alimentation Couche-Tard, Inc. (Canada)

2.70% ⁽¹⁾		07/26/22	$	140,000	$	140,328

Cumberland Farms, Inc.

6.75% ⁽¹⁾		05/01/25		175,000		187,335

eG Global Finance PLC (United Kingdom)

6.75% ⁽¹⁾		02/07/25		283,000		281,500

KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC

4.75% ⁽¹⁾		06/01/27		80,000		82,200

Rite Aid Corp.

6.13% ⁽¹⁾		04/01/23		544,000		461,040

Walgreens Boots Alliance, Inc.

3.45%		06/01/26		755,000		762,828

4.80%		11/18/44		225,000		226,942


						2,142,173


Savings & Loans — 0.1%

Nationwide Building Society (United Kingdom)

3.77% (3.766% until 3/08/23 then 3 mo. USD LIBOR + 1.064%)⁽¹⁾⁽²⁾		03/08/24		275,000		280,859


Semiconductors — 0.1%

NXP BV / NXP Funding LLC (Netherlands)

4.13% ⁽¹⁾		06/01/21		200,000		205,120


Software — 0.3%

Change Healthcare Holdings LLC / Change Healthcare Finance, Inc.

5.75% ⁽¹⁾		03/01/25		224,000		227,920

First Data Corp.

5.00% ⁽¹⁾		01/15/24		181,000		185,547

IQVIA, Inc.

5.00% ⁽¹⁾		05/15/27		200,000		206,250

SS&C Technologies, Inc.

5.50% ⁽¹⁾		09/30/27		138,000		143,434


						763,151


Telecommunications — 2.0%

AT&T, Inc.

4.75%		05/15/46		385,000		407,219

4.85%		03/01/39		348,000		373,628

5.25%		03/01/37		705,000		793,261

C&W Senior Financing DAC

6.88% ⁽¹⁾		09/15/27		200,000		206,770

Intelsat Jackson Holdings S. A. (Luxembourg)

5.50%		08/01/23		311,000		285,342

9.75%⁽¹⁾		07/15/25		321,000		329,025

Koninklijke KPN NV (Netherlands)

8.38%		10/01/30		345,000		455,280

Level 3 Financing, Inc.

5.38%		05/01/25		190,000		196,650


Issues	Maturity Date		Principal Amount		Value

Telecommunications (Continued)

Qwest Corp.

7.25%		09/15/25	$	250,000	$	277,844

SES Global Americas Holdings GP

5.30% ⁽¹⁾		03/25/44		325,000		313,784

Sprint Capital Corp.

8.75%		03/15/32		129,000		149,318

Sprint Corp.

7.63%		03/01/26		18,000		19,233

Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC

4.74% ⁽¹⁾		09/20/29		565,000		587,600

T-Mobile USA, Inc.

4.50%		02/01/26		113,000		115,825

4.75%		02/01/28		186,000		191,366

6.00%		03/01/23		44,000		45,100

6.50%		01/15/24		71,000		73,529

T-Mobile USA, Inc. (Contingent payment)

4.50% ⁽³⁾⁽⁴⁾		02/01/26		113,000		—

4.75% ⁽³⁾⁽⁴⁾		02/01/28		170,000		—

Verizon Communications, Inc.

4.02% ⁽¹⁾		12/03/29		615,000		666,445

Vodafone Group PLC (United Kingdom)

4.88%		06/19/49		134,000		141,368


						5,628,587


Transportation — 0.1%

Union Pacific Corp.

3.95%		09/10/28		280,000		305,701


Trucking & Leasing — 0.2%

Avolon Holdings Funding, Ltd.

3.95% ⁽¹⁾		07/01/24		280,000		287,233

Park Aerospace Holdings, Ltd.

4.50% ⁽¹⁾		03/15/23		135,000		139,483


						426,716


Total Corporate Bonds

(Cost: $76,830,486)						79,958,133


MUNICIPAL BONDS —2.1%

Alabama Economic Settlement Authority, Revenue Bond

4.26%		09/15/32		705,000		774,584

City of New York, New York, Build America Bonds

6.65%		12/01/31		1,000,000		1,060,550

Florida’s Turnpike Enterprise, Build America Bonds

6.80%		07/01/39		460,000		460,000

Metropolitan Water District of Southern California, Build America Bonds

6.54%		07/01/39		500,000		500,000

New York City Water and Sewer System, Build America Bonds

6.49%		06/15/42		800,000		831,488


Issues	Maturity Date		Principal Amount		Value

MUNICIPAL BONDS (Continued)

New York State Dormitory Authority, Revenue Bond

5.29%		03/15/33	$	1,000,000	$	1,207,600

State of California, General Obligation

7.95%		03/01/36		1,000,000		1,037,710


Total Municipal Bonds

(Cost: $6,194,272)						5,871,932


FOREIGN GOVERNMENT BONDS—1.1%

Bahrain Government International Bond

7.00% ⁽⁹⁾		10/12/28		300,000		324,187

Brazilian Government International Bond

4.63%		01/13/28		200,000		210,060

Colombia Government International Bond

4.50%		01/28/26		200,000		216,300

Dominican Republic International Bond

6.60% ⁽⁹⁾		01/28/24		250,000		278,225

Mexico Government International Bond

3.75%		01/11/28		400,000		408,200

Panama Government International Bond

4.00%		09/22/24		250,000		266,675

Qatar Government International Bond

4.50% ⁽⁹⁾		04/23/28		350,000		392,147

Saudi Government International Bond

3.63% ⁽⁹⁾		03/04/28		300,000		308,700

South Africa Government Bond

4.88%		04/14/26		350,000		363,781

Uruguay Government International Bond

4.38%		10/27/27		200,000		216,627


Total Foreign Government Bonds

(Cost: $2,776,000)						2,984,902


Total Fixed Income Securities

(Cost: $248,457,632)						262,906,820



Security			Shares

MONEY MARKET INVESTMENTS—1.4%

State Street Institutional U.S. Government Money Market Fund — Premier Class, 2.31%⁽¹⁰⁾				3,821,877		3,821,877


Total Money Market Investments

(Cost: $3,821,877)						3,821,877


Issues	Maturity Date		Principal Amount

SHORT TERM INVESTMENTS—5.0%

U.S. TREASURY SECURITIES—5.0%

U.S. Treasury Bill

1.77% ⁽¹¹⁾		07/18/19	$	3,601,000	$	3,597,520

2.00% ⁽¹¹⁾		07/11/19		740,000		739,474

2.00% ⁽¹¹⁾		07/16/19		5,833,000		5,827,130

2.00% ⁽¹¹⁾		10/24/19		1,781,000		1,769,500

2.10% ⁽¹¹⁾		07/23/19		1,306,000		1,304,138

2.10% ^(11)(12)		09/26/19		616,000		612,774


Total U.S. Treasury Securities

(Cost: $13,848,266)						13,850,536


Total Short Term Investments

(Cost: $13,848,266)						13,850,536


Total Investments (101.2%)

(Cost: $266,127,775)						280,579,233

Liabilities In Excess Of Other Assets (-1.2%)						(3,218,804	)


Net Assets (100.0%)					$	277,360,429

The following is a summary of the fair valuations according to the inputs used as of June 30, 2019 in valuing the Fund’s investments:

TCW Strategic Income Fund, Inc. (the “Fund”) was incorporated in Maryland on January 13, 1987 as a diversified, closed-end investment management company and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”). Its shares are traded on the New York Stock Exchange under the symbol TSI. The Fund commenced operations on March 5, 1987. The Fund’s investment objective is to seek a total return comprised of current income and capital appreciation, and it seeks to achieve its investment objective by investing in a wide range of securities including convertible securities, marketable equity securities, investment-grade debt securities, high-yield debt securities, securities issued or guaranteed 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 be consistent 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 of 1940, as amended.

The following is a summary of significant accounting policies, which are in conformity with accounting principles generally accepted in the United States of America (“GAAP”) and which are consistently followed by the Fund in the preparation of its financial statements. The Fund is considered an investment company under the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) No. 946, Financial Services — Investment Companies.

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

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 as reported by NASDAQ, which may not be the last sale price. Other securities, including short-term investments, 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 or by dealer quotations. Futures contracts are valued at the official settlement prices of the exchanges on which they are traded.

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

Fair value is defined as the price that the Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market for the investment. In accordance with the authoritative guidance on fair value measurements and disclosures under GAAP, the Fund discloses investments in a three-tier hierarchy. This hierarchy is utilized to establish classification of fair value measurement broadly based on inputs that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the inputs market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.

The three-tier hierarchy of inputs is summarized in the three broad levels listed below.

Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy. The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy is determined based on the lowest level input that is significant to the fair value measurement.

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

Asset-backed securities (“ABS”) and mortgage-backed securities (“MBS”). The fair value of ABS and MBS is estimated based on pricing models that consider the estimated cash flows of each debt tranche of the issuer, establish a benchmark yield, and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche including, but not limited to, the prepayment speed assumptions and attributes of the collateral. To the extent the inputs are observable and timely, the values would be categorized 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 any basis difference between cash and derivative instruments. Corporate bonds are generally categorized in Level 2 of the fair value hierarchy.

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

Government and agency securities. Government and agency securities are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields,

bids, offers, quoted market prices, and reference data. Accordingly, government and agency securities are normally categorized in Level 1 or 2 of the fair value hierarchy depending on the liquidity and transparency of the market.

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

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

Municipal bonds. Municipal bonds are fair valued based on pricing models that take into account, among other factors, information received from market makers and broker-dealers, current trades, bid wants lists, offerings, market movements, the callability of the bond, state of issuance, benchmark yield curves, and bond insurance. To the extent that these inputs are observable and timely, the fair values of municipal bonds are categorized in Level 2; otherwise, the fair values are categorized in Level 3.

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

Short-term investments. Short-term investments are valued using market price quotations, and are reflected in Level 2 of the fair value hierarchy.

The summary of the inputs used as of June 30, 2019 is listed after the Investments by Sector table.

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

Significant unobservable valuation inputs of Level 3 investments as of June 30, 2019 are as follows:

Security Transactions and Related Investment Income: Security transactions are recorded as of the trade date. Dividend income is recorded on the ex-dividend date. Interest income is recognized on an accrual basis. 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 to make estimates and assumptions that affect the reported amount of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from these estimates.

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

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

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

For the period ended June 30, 2019, the Fund had derivatives and transactions in derivatives, grouped in the following risk categories (amounts in thousands except notional amounts or number of contracts):

Counterparty Credit Risk: Derivative contracts may expose the Fund to counterparty risk. Losses can occur 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 Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, the counterparty credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing

broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a 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 the aggregate unrealized gain netted against any collateral held by the Fund. For OTC derivatives, the Fund entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) with each counterparty. An ISDA Master Agreement is a bilateral agreement between the Fund 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 an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment 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 against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.

Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement 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 the Statement of Assets and Liabilities. Non-cash collateral pledged by the Fund, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold, typically $250,000 or $500,000, before a transfer is required, which is 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 otherwise, the Fund bears the risk of loss from counterparty non-performance. The Fund attempts to mitigate counterparty risk by entering into agreements only with counterparties that the Advisor believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities. The Fund has implemented the disclosure requirements pursuant to FASB ASU No. 2013-01, Disclosures about Offsetting Assets and Liabilities that requires disclosures to make financial statements that are prepared under 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 June 30, 2019.

Mortgage-Backed and Other Asset-Backed Securities: The Fund may invest in mortgage pass-through securities, which represent interests in pools of mortgages. Payments of both principal and interest on the securities are generally made monthly, in effect “passing through” monthly payments made by borrowers on the residential or commercial mortgage loans that underlie the securities (net of any fees paid to the

issuer or guarantor of the securities). Mortgage pass-through securities differ from other forms of debt securities, which normally provide for periodic payment of interest in fixed amounts with principal payments at maturity or specified call dates. The Fund may also invest in collateralized mortgage obligations (“CMOs”). CMOs are debt obligations collateralized by residential or commercial mortgage loans or residential or commercial mortgage pass-through securities. Interest and principal are generally paid monthly. CMOs may be collateralized by whole mortgage loans or private mortgage pass-through securities but are more typically collateralized by portfolios of mortgage pass-through securities guaranteed by the Government National Mortgage Association (Ginnie Mae), Federal Home Loan Mortgage Corporation (Freddie Mac) or Federal National Mortgage Corporation (Fannie Mae). The issuer of a series of CMOs may elect to be treated for tax purposes as a Real Estate Mortgage Investment Conduit. CMOs are structured into multiple classes, each bearing a different stated maturity. Monthly payment of principal received from the pool of underlying mortgages, including prepayments, is first returned to investors holding the shortest maturity class. Investors holding the longer maturity classes usually receive principal only after shorter classes have been retired. An investor may be partially protected against a sooner than desired return of principal because of the sequential payments. The Fund may invest in stripped MBS. Stripped MBS are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. In certain cases, one class will receive all of the interest (the interest only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). The yield to maturity on IOs is sensitive to the rate of principal prepayments (including prepayments) on the related underlying mortgage assets, and principal payments may have a material effect on yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, the Fund may not fully recoup its initial investment in IOs. Mortgage-backed and other asset-backed securities held by the Fund at June 30, 2019 are listed in the Fund’s Schedule of Investment.

Repurchase Agreements: The Fund may enter into repurchase agreements under the terms of a Master Repurchase Agreement (“MRA”). In a repurchase agreement transaction, the Fund will purchase a security from a counterparty who agrees to repurchase the same security at a mutually agreed upon date and price. The MRA permits the Fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, the Fund receives securities as collateral with a market value in excess of the repurchase price. Upon a bankruptcy or insolvency of the MRA counterparty, the Fund recognizes a liability with respect to such excess collateral to reflect the Fund’s obligation under bankruptcy law to return the excess to the counterparty. The Fund had no repurchase agreements outstanding at June 30, 2019.

When-Issued, Delayed-Delivery, and Forward Commitment Transactions: The Fund may enter into when issued, delayed-delivery or forward commitment transactions in order to lock in the purchase price of the underlying security or 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 securities or start earning interest on them until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If the Fund’s counterparty fails to deliver a security purchased on a

when issued, delayed-delivery or forward commitment basis, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.

Prior to settlement of these transactions, the value of the subject securities will fluctuate. In addition, because the Fund is not required to pay for when-issued, delayed-delivery or forward commitment securities until the delivery date, they may result in a form of leverage. To guard against this deemed leverage, the Fund monitors the obligations under these transactions and ensures that the Fund has sufficient liquid assets to cover them.

Security Lending: The Fund may lend its securities to qualified brokers. The loans must be collateralized at all times primarily with cash although the Fund can accept money market instruments or U.S. government securities with a market value at least equal to the market value of the securities on loan. As with any extensions of credit, the Fund may bear the risk of delay in recovery or even loss of rights in the collateral if the borrowers of the securities fail financially. The Fund earns additional income for lending its securities by investing the cash collateral in short-term investments. The Fund did not lend any securities during the period ended June 30, 2019.

Forward Foreign Currency Contracts: The Fund enters into forward foreign currency contracts as a hedge against fluctuations in foreign exchange rates. Forward foreign currency contracts are marked to market daily and the change in market value is recorded by the Fund as unrealized gains or losses in the Statement of Assets and Liabilities. When a contract is closed or delivery is taken, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of the foreign currency relative to the U.S. dollar. There were no outstanding foreign currency forward contracts as of June 30, 2019.

Futures Contracts: The Fund seeks to manage a variety of different risks or obtain exposure through the use of futures contracts. The Fund may use index futures to hedge against broad market risks to its portfolio or to gain broad market exposure when it holds uninvested cash or as an inexpensive substitute for cash investments directly in securities or other assets. Securities index futures contracts are contracts to buy or sell units of a securities index at a specified future date at a price agreed upon when the contract is made and are settled in cash. Positions in futures may be closed out only on an exchange or board of trade which provides a secondary market for such futures. Because futures contracts are exchange-traded, they typically have minimal exposure to counterparty risk. Parties to a futures contract are not required to post the entire notional amount of the contract, but rather a small percentage of that amount (by way of margin), both at the time they enter into futures transactions, and then on a daily basis if their positions decline in value; as a result, futures contracts are highly leveraged. Such payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Because futures markets are highly leveraged, they can be extremely volatile, and there can be no assurance that the pricing of a futures contract will correlate precisely with the pricing of the asset or index underlying it or the asset or liability of the Fund that is the subject of the hedge. It may not always be possible for the Fund to enter into a closing transaction with respect to a futures contract it has entered into at a favorable time or price. When the Fund enters into a futures transaction, it is subject to the risk that the value of the futures contract will move in a direction unfavorable to it.

When the Fund uses futures contracts for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part. When a futures contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. During the period ended June 30, 2019, the Fund used S&P 500 Index futures to gain exposure to the equity market. The Fund also utilized treasury futures to help manage interest rate duration and credit market exposure. Futures contracts outstanding at June 30, 2019 are listed in the Fund’s Schedule of Investments.

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

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

During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking to market to reflect the market value of the swap. When the swap is terminated, the Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from (or cost of) the closing transaction and the Fund’s basis in the agreement. Upfront swap premium payments paid or received by the Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gain or loss on the Fund’s Statement of Operations upon termination or maturity of the swap agreement.

During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security. These periodic payments received or made by the Fund are recorded as realized gains and losses, respectively. During the period ended June 30, 2019, the Fund entered into interest rate swaps to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed-rate bonds which may decrease when interest rates rise (interest rate risk). Swap agreements outstanding at June 30, 2019 are listed in the Fund’s Schedule of Investments.

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

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

Interest Rate Risk: The values of the Fund’s investments fluctuate in response to movements in interest rates. If rates rise, the values of debt securities generally fall. The longer the average duration of a Fund’s investment 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 a lower rate of return upon reinvestment of principal. When interest rates rise, the value of mortgage-related securities generally will decline; however, when interest rates are declining, the value of mortgage related-securities with prepayment features may not increase as much as other fixed-income securities. The rate of prepayments on underlying mortgages will affect the price and volatility of a mortgage related security, and may shorten or extend the effective maturity of the security beyond what was anticipated at the time of purchase. The value of these securities may fluctuate in response to the market’s perception of the creditworthiness of the issuers. Additionally, although mortgages and mortgage- related securities are generally supported by some form of government or private guarantee and/or insurance, there is no assurance 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 investment strategy, involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Investments in derivatives could cause the Fund to lose more than the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances and there can be no assurance that the Fund will achieve its objective with these transactions to reduce exposure to other risks when that would be beneficial.

Credit Risk: The values of any of the Fund’s investments may also decline in response to events affecting the issuer or its credit rating. The lower rated debt securities in which the Fund may invest are considered speculative 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 which the Fund invests also may fall because of unanticipated levels of principal prepayments that can occur when interest rates decline. The Fund invests a material portion of its assets in securities of issuers that hold mortgage- and asset-backed securities and direct investments in securities backed by commercial and residential mortgage loans and other financial assets. The value and related income of these securities are sensitive to changes in economic conditions, including delinquencies and/or defaults. Continuing shifts in the market’s perception of credit quality on securities backed by commercial and residential mortgage loans and other financial assets may result in increased volatility of market prices and periods of illiquidity which 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 a view of the securities’ cash flow structure (pass through, sequential pay, prepayment-protected, interest only, principal-only, etc.), the security of the claim on the underlying assets (senior, mezzanine and subordinated), as well as types of underlying collateral (prime conforming loans, prime non-conforming

loans, Alt-A loans, subprime loans, commercial loans, etc.). In many cases, the classification incorporates a degree of subjectivity — a particular loan might be categorized as “prime” by the underwriting standards of one mortgage issuer while another might classify the loan as “subprime.” The level of risk associated with an investment in a mortgage loan can be impacted by, among other factors, the nature of the collateral, the form and the level of credit enhancement, the vintage of the loan, the geography of the loan, the purpose of the loan (e.g. refinance versus purchase versus equity take-out), the borrower’s credit quality (e.g., FICO score), 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 the Fund has unsettled or open transactions may not fulfill its obligations.

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

At June 30, 2019, net unrealized appreciation for federal income tax purposes is comprised of the following components:

The Fund did not have any unrecognized tax benefits at June 30, 2019, nor were there any increases or decreases in unrecognized tax benefits for the period then ended; and therefore no interest or penalties were accrued. The Fund is subject to examination by U.S. federal and state tax authorities for returns filed for the prior three and four fiscal years, respectively.

The following table shows the character of distributed and undistributed amounts on a tax basis for the year ended December 31, 2018.

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 million of the Fund’s average managed assets and 0.50% of the Fund’s average managed assets in excess of $100 million.

For the period ended June 30, 2019, purchases and sales or maturities of investment securities (excluding short-term investments) aggregated to $34,756,624 and $55,596,412, respectively, for non-U.S. Government securities, and aggregated to $4,498,608 and $2,336,900 respectively, for U.S. Government securities.

Purchases during the period ended June 30, 2019 include the Fund’s purchase of a security from an affiliated investment account for a total of $1,302,492 in accordance with the provisions set forth in SEC Rule 17a-7.

Directors who are not affiliated with the Advisor received, as a group, fees and expenses of $47,214 from the Fund for the period ended June 30, 2019. Directors may elect to defer receipt of their fees in accordance with the terms of a Non-Qualified Deferred Compensation Plan. Deferred compensation is included within Accrued Directors’ Fees and Expenses in the Statement of Assets and Liabilities. Certain Officers and/or Directors of the Fund are also Officers and/or Directors of the Advisor but do not receive any compensation from the Fund.

The Fund is permitted to invest in securities that have legal or contractual restrictions on resale. These securities may be sold privately, but are required to be registered before being sold to the public (exemption rules apply). Private placement securities are generally considered to be restricted except for those securities traded between qualified institutional investors under the provisions of Rule 144A of the Securities Act of 1933, as amended (the “Securities Act”). However, the Fund considers 144A securities to be restricted if those securities have been deemed illiquid by the Advisor. Disposal of these securities may involve time consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Restricted securities held by the Fund at June 30, 2019 are listed below:

The Fund is permitted to have borrowings for investment purposes. The Fund has entered into a line of credit agreement, renewed annually, with The Bank of New York Mellon which permits the Fund to borrow up to $70 million at a rate, per annum, equal to the Federal Funds Rate plus 1.00%. There is also an annual facility fee of $56,000 for the contract period. The Fund did not have any borrowings during the period ended June 30, 2019.

Under the Fund’s organizational documents, its Officers and Directors may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Fund. In addition, the Fund entered into an agreement with each of the Directors which provides that the Fund will indemnify and hold harmless each Director against any expenses actually and reasonably incurred by such Director in any proceeding arising out of or in connection with the Director’s services to the Fund, to the fullest extent permitted by the Fund’s Articles of Incorporation and By-Laws, the Maryland General Corporation Law, the Securities Act, and the 1940 Act, each as now or hereinafter in force. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. The Fund has not accrued any liability in connection with such indemnification.

In August 2018, the FASB released an accounting standards update (“ASU”) 2018-13, which changes the fair value measurement disclosure requirements of Topic 820. The amendments in this ASU are the result of a broader disclosure project called FASB Concept Statement, Conceptual Framework for Financial Reporting — Chapter 8: Notes to Financial Statements. The objective and primary focus of the project are to improve the effectiveness of disclosures in the notes to the financial statements by facilitating clear communication of the information required by GAAP that is most important to users of the financial statements. This ASU will go effective for all entities for fiscal years beginning after December 15, 2019, including interim periods therein. Early adoption is permitted for any eliminated or modified disclosures upon issuance of this ASU. As of June 30, 2019, the Fund has early adopted the removal of applicable disclosures.

The Fund has adopted FASB ASU 2017-08 to amend the amortization period for certain purchased callable debt securities held at a premium. Under the new standard, the Fund has changed the amortization period for the premium on certain purchased callable debt securities with non-contingent call features to the earliest call date. In accordance with the transition provisions of the standard, the Fund applied the amendments on a modified retrospective basis beginning with the fiscal year ended December 31, 2018. The cost basis of securities at December 31, 2018 has been adjusted to $268,053,794. This change in accounting policy has been made to comply with the newly issued accounting standard and had no impact on total accumulated earnings (loss) or the net asset value of the Fund.

The policies and procedures that the Fund uses to determine how to vote proxies are available without charge. The Board of the Fund has delegated the Fund’s proxy voting authority to the Advisor.

When the Fund receives a request for a description of the Advisor’s proxy voting guidelines, it will deliver the description that is disclosed in the Fund’s Statement of Additional Information. This information will be sent out via first class mail (or other means designed to ensure equally prompt delivery) within three business 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 31 of each year, which must include the Fund’s proxy voting record for the most recent twelve-month period ended June 30 of that year. The Fund’s proxy voting record for the most recent twelve-month period ended June 30, 2019 is available without charge:

When the Fund receives a request for the Fund’s proxy voting record, it will send the information disclosed in the Fund’s most recently filed report on Form N-PX via first class mail (or other means designed to ensure 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 its report on Form N-PX is filed with the SEC.

The Fund files a complete schedule of its portfolio holdings with the SEC for the first and third quarters of its fiscal year on Form N-PORT-EX. Such filings occur no later than 60 days after the end of the Funds’ first and third quarters and are available on the SEC’s website at www.sec.gov.

In accordance with Section 303A.12 (a) of the New York Stock Exchange Listed Company Manual, the Fund’s Annual CEO Certification certifying compliance with NYSE’s Corporate Governance Listing Standards was submitted to the Exchange on October 19, 2018 as part of its Annual Written Affirmation. Also in accordance with Section 303A.12 of the New York Stock Exchange Listed Company Manual, the Fund submitted an Interim Written Affirmation on March 28, 2018 and December 19, 2018.

Shareholders who wish to add to their investment may do so by making an election to participate in the Dividend Reinvestment Plan (the “Plan”). Under the Plan, your dividend is used to purchase Fund shares on the open market whenever shares, including the related sales commission, are selling below the Fund’s net asset value per share. You will be charged a pro-rata portion of brokerage commissions on open-market purchases under the Plan. If the market price, including commission, of Fund shares is above the Fund’s net asset value per share, you will receive shares at a price equal to the higher of the Fund’s net asset value per 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 a distribution 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 #505000, Louisville, KY 40233, or call toll free at (866) 227-8179. If your shares are held by a brokerage firm, please call your broker. If you participate in the Plan through a broker, you may not be able to transfer your shares to another broker and continue to participate in the Plan if your new broker does not permit such participation. 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 and receive 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. As always, we would be pleased to accommodate your investment needs.

The Fund has a net investment income-based distribution policy. The policy is to pay quarterly distributions out of the Fund’s accumulated undistributed net investment income and/or other sources subject to the requirements 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 time without prior notice. Any such change or termination may have an adverse effect on the market price for the Fund’s shares.

You should not draw any conclusions about the Fund’s investment performance from the amount of the quarterly distribution or from the terms of the Fund’s distribution policy.

INVESTMENT ADVISOR

TCW Investment Management Company LLC

865 South Figueroa Street

Los Angeles, California 90017

TRANSFER AGENT, DIVIDEND REINVESTMENT AND DISBURSEMENT AGENT AND REGISTRAR

Computershare

P.O. Box 50500

Louisville, KY 40233

INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

Deloitte & Touche LLP

555 West 5th Street

Los Angeles, California 90013

CUSTODIAN & ADMINISTRATOR

State Street Bank & Trust Company

One Lincoln Street

Boston, Massachusetts 02111

LEGAL COUNSEL

Paul Hastings LLP

101 California Street, 48th Floor

San Francisco, California 94111

DIRECTORS

Samuel P. Bell

Director

David S. DeVito

Director, President, and Chief Executive Officer

Patrick C. Haden

Director and Chairman

David B. Lippman

Director

Peter McMillan

Director

Victoria B. Rogers

Director

Andrew Tarica

Director

OFFICERS

Meredith S. Jackson

Senior Vice President, General Counsel and Secretary

Richard M. Villa

Treasurer and Principal Financial and Accounting Officer

Jeffrey A. Engelsman

Chief Compliance Officer

and Anti-Money Laundering Officer

Lisa Eisen

Tax Officer

Eric W. Chan

Assistant Treasurer

Patrick W. Dennis

Assistant Secretary

There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Directors.

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.


FUTURES CONTRACTS

Number of Contracts	Type	Expiration Date		Notional Contract Value			Market Value			Net Unrealized Appreciation (Depreciation)
Long Futures
32	S&P 500 E-Mini Index Futures		09/20/19	$	4,506,061		$	4,710,720		$	204,659
5	5-Year U.S. Treasury Note Futures		09/30/19		590,674			590,781			107

				$	5,096,735		$	5,301,501		$	204,766

Short Futures
87	10-Year U.S. Treasury Note Futures		09/19/19	$	(11,781,378	)	$	(12,016,875	)	$	(235,497	)
46	U.S. Ultra Long Bond Futures		09/19/19		(7,934,843	)		(8,167,875	)		(233,032	)

				$	(19,716,221	)	$	(20,184,750	)	$	(468,529	)


CENTRALLY CLEARED-INTEREST RATE SWAP AGREEMENTS
Notional Amount		Expiration Date		Payment Frequency	Payment Made by Fund	Payment Received by Fund	Unrealized Appreciation (Depreciation)			Premium Paid		Value
	15,025,000⁽¹³⁾		04/11/22	Quarterly	3 Month USD LIBOR	2.26%	$	192,242		$	—	$	192,242
	7,070,000⁽¹³⁾		05/08/22	Quarterly	3 Month USD LIBOR	2.28%		92,920			—		92,920
	6,180,000⁽¹³⁾		04/11/25	Quarterly	2.34%	3 Month USD LIBOR		(177,801	)		—		(177,801	)
	2,895,000⁽¹³⁾		05/08/25	Quarterly	2.37%	3 Month USD LIBOR		(85,844	)		—		(85,844	)

							$	21,517		$	—	$	21,517


ASSETS:
Investments, at Value (Cost: $266,127,775)	$	280,579,233
Cash		3,367
Interest Receivable		2,012,247
Receivable for Securities Sold		1,645,067
Cash Collateral Held for Broker for Swaps		95,934
Receivable for Variation Margin on Open Futures Contracts to Broker		28,130

Total Assets		284,363,978

LIABILITIES:
Distributions Payable		3,934,174
Payable for When-Issued Securities		1,405,160
Payables for Securities Purchased		1,328,402
Accrued Other Expenses		167,469
Accrued Investment Advisory Fees		135,521
Accrued Directors’ Fees and Expenses		17,269
Commitment Fee Payable on Open Line of Credit		12,475
Payable for Variation Margin on Centrally Cleared Interest Rate Swap Agreements to Broker		3,079

Total Liabilities		7,003,549

NET ASSETS	$	277,360,429

NET ASSETS CONSIST OF:
Common Stock, par value $0.01 per share (75,000,000 shares authorized, 47,686,957 shares issued and outstanding)	$	476,870
Paid-in Capital		268,963,511
Accumulated Earnings (Loss)		7,920,048

NET ASSETS	$	277,360,429

NET ASSET VALUE PER SHARE	$	5.82

MARKET PRICE PER SHARE	$	5.75


INVESTMENT INCOME:
Income
Interest	$	8,539,255

Total Investment Income		8,539,255

Expenses
Investment Advisory Fees		807,881
Audit and Tax Service Fees		82,190
Directors’ Fees and Expenses		47,214
Legal Fees		32,382
Commitment Fee on Open Line of Credit		28,432
Transfer Agent Fees		28,277
Proxy Expense		25,161
Insurance Expense		24,674
Listing Fees		24,239
Printing and Distribution Costs		14,792
Accounting Fees		13,360
Custodian Fees		11,004
Administration Fees		9,928
Miscellaneous Expense		8,070

Total Expenses		1,157,604

Net Investment Income		7,381,651

NET REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION ON Investments, Futures Contracts and Swap Agreements:
Net Realized Gain (Loss) on:
Investments		1,165,793
Futures Contracts		(915,642	)
Swap Agreements		863
Change in Unrealized Appreciation on:
Investments		7,211,801
Futures Contracts		507,067
Swap Agreements		11,002

Net Realized Gain (Loss) and Change in Unrealized Appreciation on Investments, Futures Contracts and Swap Agreements		7,980,884

INCREASE IN NET ASSETS FROM OPERATIONS	$	15,362,535


	Six Months Ended June 30, 2019 (Unaudited)			Year Ended December 31, 2018
OPERATIONS:
Net Investment Income	$	7,381,651		$	14,342,728
Net Realized Gain on Investments, Futures Contracts, Swap Agreements and Foreign Currency		251,014			1,119,835
Change in Unrealized Appreciation (Depreciation) on Investments, Futures Contracts, Swap Agreements and Foreign Currency		7,729,870			(10,128,898	)

Increase in Net Assets Resulting from Operations		15,362,535			5,333,665

DISTRIBUTIONS TO SHAREHOLDERS:
Distributions to Shareholders		(7,596,533	)		(17,772,928	)

Total Increase (Decrease) in Net Assets		7,766,002			(12,439,263	)

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

End of Period	$	277,360,429		$	269,594,427


Sector	Percentage of Net Assets
Residential Mortgage-Backed Securities — Non-Agency		40.9	%
Corporate Bonds		28.8
Asset-Backed Securities		12.1
U.S. Treasury Bills		5.0
Commercial Mortgage-Backed Securities — Agency		4.1
Commercial Mortgage-Backed Securities — Non-Agency		4.1
Municipal Bonds		2.1
Residential Mortgage-Backed Securities — Agency		1.6
Foreign Government Bonds		1.1
Money Market Investments		1.4
Other*		(1.2	)

Total		100.0	%


Description	Quoted Prices in Active Markets for Identical Assets (Level 1)			Other Significant Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Total
Fixed Income Securities
Asset-Backed Securities	$	—		$	33,153,455		$	381,994	$	33,535,449
Mortgage-Backed Securities
Commercial Mortgage-Backed Securities — Agency		—			11,446,824			—		11,446,824
Commercial Mortgage-Backed Securities — Non-Agency		—			11,281,631			—		11,281,631
Residential Mortgage-Backed Securities — Agency		—			4,507,934			—		4,507,934
Residential Mortgage-Backed Securities — Non-Agency		—			105,840,811			7,479,204		113,320,015

Total Mortgage-Backed Securities		—			133,077,200			7,479,204		140,556,404

Corporate Bonds*		—			79,958,133			—		79,958,133
Municipal Bonds		—			5,871,932			—		5,871,932
Foreign Government Bonds		—			2,984,902			—		2,984,902

Total Fixed Income Securities		—			255,045,622			7,861,198		262,906,820

Money Market Investments		3,821,877			—			—		3,821,877
Short-Term Investments		13,850,536			—			—		13,850,536

Total Investments	$	17,672,413		$	255,045,622		$	7,861,198	$	280,579,233

Asset Derivatives
Futures Contracts
Equity Risk		204,659			—			—		204,659
Interest Rate Risk		107			—			—		107
Swap Agreements
Interest Rate Risk		—			285,162			—		285,162

Total	$	17,877,179		$	255,330,784		$	7,861,198	$	281,069,161

Liability Derivatives
Futures Contracts
Interest Rate Risk	$	(468,529	)	$	—		$	—	$	(468,529	)
Swap Agreements
Interest Rate Risk		—			(263,645	)		—		(263,645	)

Total	$	(468,529	)	$	(263,645	)	$	—	$	(732,174	)


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).


	Asset- Backed Securities			Residential Mortgage-Backed Securities — Non-Agency			Total
Balance as of December 31, 2018	$	400,385		$	5,016,324		$	5,416,709
Accrued Discounts (Premiums)		—			(352,168	)		(352,168	)
Realized Gain (Loss)		—			—			—
Change in Unrealized Appreciation (Depreciation)		(18,391	)		664,950			646,559
Purchases		—			2,150,098			2,150,098
Sales		—			—			—
Transfers in to Level 3 ⁽¹⁾		—			—			—
Transfers out of Level 3 ⁽¹⁾		—			—			—

Balance as of June 30, 2019	$	381,994		$	7,479,204		$	7,861,198

Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2019	$	(18,391	)	$	664,950		$	646,559


	Equity Risk		Interest Rate Risk			Total
Asset Derivatives
Futures Contracts ⁽¹⁾	$	204,659	$	107		$	204,766
Swaps Agreements ⁽²⁾		—		285,162			285,162

Total Value	$	204,659	$	285,269		$	489,928

Liability Derivatives
Futures Contracts ⁽¹⁾	$	—	$	(468,529	)	$	(468,529	)
Swaps Agreements ⁽²⁾		—		(263,645	)		(263,645	)

Total Value	$	—	$	(732,174	)	$	(732,174	)

Statement of Operations:
Realized Gain (Loss)
Futures Contracts	$	196,018	$	(1,111,660	)	$	(915,642	)
Swaps Agreements		—		863			863

Total Realized Gain (Loss)	$	196,018	$	(1,110,797	)	$	(914,779	)

Change in Appreciation (Depreciation)
Futures Contracts	$	491,370	$	15,697		$	507,067
Swaps Agreements		—		11,002			11,002

Total Change in Appreciation (Depreciation)	$	491,370	$	26,699		$	518,069

Number of Contracts or Notional Amounts *⁽³⁾*
Futures Contracts		32		142			174
Swaps Agreements	$	—	$	24,526,667		$	24,526,667


Unrealized appreciation	$	22,607,549
Unrealized (depreciation)		(13,962,827	)

Net unrealized appreciation	$	8,644,722

Cost of Investments for Federal Income Tax Purposes	$	271,934,511


	Amount Distributed During the		Undistributed Amount at
	Year Ended December 31, 2018		Year Ended December 31, 2018
Ordinary Income	$	17,346,285	$	10,517
Capital Gain		426,643		—

	$	17,772,928	$	10,517


Issuer Description	Acquisition Date	Acquisition Cost		Aggregate Value		Percentage of Net Assets
Citigroup Commercial Mortgage Trust, (12-GC8-XA), 1.814%, due 09/10/45	2/13/2015-2/26/2015	$	323,009	$	148,086		0.1	%
Four Times Square Trust Commercial Mortgage Pass-Through Certificates (06-4TS-X) , 0.364% due 12/13/28	3/22/2018-6/19/2018		294,305		174,399		0.1	%
GS Mortgage Securities Trust GSMS (12-GC6-XB), 0.257% due 01/10/2045	2/1/2018		141,354		99,838		0.0	%
JPMorgan Chase Commercial Mortgage Securities Trust, (09-IWST-XA), 1.873%, due 12/05/27	3/23/2017		531,426		94,396		0.0	%
JPMorgan Chase Commercial Mortgage Securities Trust, (12-HSBC-XA), 1.431%, due 07/05/2032	10/11/2017		270,060		173,983		0.1	%
Morgan Stanley Capital I Trust (12-C4-XA), 2.271% due 03/15/45	5/16/2018		350,627		244,740		0.1	%
UBS Commercial Mortgage Trust (12-C1-XA) , 2.271%, due 05/10/45	6/27/2017		418,393		261,807		0.1	%
WFRBS Commercial Mortgage Trust (12-C8-XA) 1.8514% due 08/15/2045	12/22/2017		302,405		199,648		0.1	%

		$	2,631,579	$	1,396,897		0.6	%


	Six Months Ended June 30, 2019 (Unaudited)			Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014
Net Asset Value Per Share, Beginning of Period	$	5.65		$	5.91		$	5.81		$	5.83		$	5.95		$	5.82

Income from Operations:

Net Investment Income ⁽¹⁾		0.15			0.30			0.27			0.26			0.22			0.24

Net Realized and Unrealized Gain (Loss) on Investments		0.18			(0.19	)		0.14			0.00	⁽²⁾		(0.13	)		0.14


Total from Investment Operations		0.33			0.11			0.41			0.26			0.09			0.38

Less Distributions:

Distributions from Net Investment Income		(0.16	)		(0.34	)		(0.28	)		(0.21	)		(0.21	)		(0.25	)

Distributions from Net Realized Gains		—			(0.03	)		(0.03	)		(0.07	)		—			—


Total Distributions		(0.16	)		(0.37	)		(0.31	)		(0.28	)		(0.21	)		(0.25	)

Net Asset Value Per Share, End of Period	$	5.82		$	5.65		$	5.91		$	5.81		$	5.83		$	5.95

Market Value Per Share, End of Period	$	5.75		$	5.27		$	5.87		$	5.33		$	5.27		$	5.39

Net Asset Value Total Return ⁽³⁾		5.86	% ⁽⁴⁾		1.86	%		7.22	%		4.49	%		1.60	%		6.66	%
Market Price Return ⁽⁵⁾		12.26	% ⁽⁴⁾		(3.88	)%		16.36	%		6.56	%		1.83	%		5.66	%

Ratios/Supplemental Data:
Net Assets, End of Period (in thousands)	$	277,360		$	269,594		$	282,034		$	277,132		$	277,932		$	283,835
Ratio of Expenses Before Interest Expense to Average Net Assets		0.83	% ⁽⁶⁾		0.81	%		0.81	%		0.84	%		0.87	%		0.85	%
Ratio of Interest Expense to Average Net Assets		0.02	% ⁽⁶⁾		0.02	%		0.01	%		0.01	%		0.01	%		0.02	%
Ratio of Total Expenses to Average Net Assets		0.85	% ⁽⁶⁾		0.83	%		0.82	%		0.85	%		0.88	%		0.87	%
Ratio of Net Investment Income to Average Net Assets		5.40	% ⁽⁶⁾		5.13	%		4.47	%		4.38	%		3.70	%		4.05	%
Portfolio Turnover Rate		14.99	% ⁽⁴⁾		31.16	%		32.46	%		29.20	%		24.81	%		12.09	%


(a)(1)		Not required for this filing.

(a)(2)		EX-99.CERT – The certifications required by Rule 30a-2(a) of the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 (“Sarbanes-Oxley Act”) are filed herewith.

(a)(3)		Not applicable.

(a)(4)		Not applicable.

(b)		EX-99.906CERT – The certifications required by Rule 30a-2(b) of the 1940 Act and Section 906 of the Sarbanes-Oxley Act are filed herewith.

(c)		Not required for this filing.


(Registrant)				TCW Strategic Income Fund, Inc.

By (Signature and Title)				/s/ David S. DeVito
				David S. DeVito
				President and Chief Executive Officer

Date				August 23, 2019