DOS

NPORT-EX 2 NPORT_A_I7B1_684953_0921.htm DOS

TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS September 30, 2021 (Unaudited)


Issues	Maturity Date		Principal Amount		Value

FIXED INCOME SECURITIES—94.6% of Net Assets
ASSET-BACKED SECURITIES—11.7%
321 Henderson Receivables LLC (17-1A-A) 3.99% ⁽¹⁾		08/16/60	$	206,786	$	235,081
Aimco CLO, Ltd. (20-11A-A2) 1.43% (3 mo. USD LIBOR + 1.300%)^(1),(2)		10/15/31		1,000,000		1,000,150
Allegro CLO XII, Ltd. (20-1A-B) 1.83% (3 mo. USD LIBOR + 1.700%)^(1),(2)		01/21/32		475,000		475,332
AMSR Trust (20-SFR1-I) 8.19%⁽¹⁾		04/17/37		685,000		739,326
Bayview Commercial Asset Trust (03-2-A) 0.96% (1 mo. USD LIBOR + 0.870%)^(1),(2)		12/25/33		240,141		236,693
Bayview Commercial Asset Trust (04-1-A) 0.63% (1 mo. USD LIBOR + 0.540%)^(1),(2)		04/25/34		138,783		138,854
Bayview Commercial Asset Trust (04-2-A) 0.73% (1 mo. USD LIBOR + 0.645%)^(1),(2)		08/25/34		214,946		214,145
Bayview Commercial Asset Trust (04-3-A1) 0.64% (1 mo. USD LIBOR + 0.555%)^(1),(2)		01/25/35		114,810		113,578
Blackrock Rainier CLO VI, Ltd. (21-6A-A) 1.83% (3 mo. USD LIBOR + 1.700%)^(1),(2)		04/20/33		700,000		700,889
Brazos Higher Education Authority, Inc. (10-1-A2) 1.33% (3 mo. USD LIBOR + 1.200%)⁽²⁾		02/25/35		2,200,000		2,239,322
Cedar Funding CLO, Ltd. (20-12A-A) 1.40% (3 mo. USD LIBOR + 1.270%)^(1),(2)		10/25/32		1,375,000		1,375,257
CIFC Funding, Ltd. (18-1A-SUB) 1.00%^(1),(3)		04/18/31		650,000		495,221
CIT Education Loan Trust (07-1-A) 0.22% (3 mo. USD LIBOR + 0.090%)^(1),(2)		03/25/42		547,619		532,739
CoreVest American Finance Trust (19-1-XA) (I/O) 2.33%^(1),(3)		03/15/52		1,649,241		99,661
CoreVest American Finance Trust (20-1-A2) 2.30%⁽¹⁾		03/15/50		470,000		479,244
CoreVest American Finance Trust (20-3-XA) (I/O) 3.82%^(1),(3)		08/15/53		1,706,850		255,707
CoreVest American Finance Trust (20-3-XB) (I/O) 2.76%^(1),(3)		08/15/53		1,650,000		280,353
Dryden CLO, Ltd. (20-85A-A1) 1.48% (3 mo. USD LIBOR + 1.350%)^(1),(2)		10/15/32		1,375,000		1,375,007
Dryden CLO, Ltd. (20-85A-AR) 1.23% (3 mo. USD LIBOR + 1.150%)^(1),(2),(4)		10/15/35		1,375,000		1,375,687
Eaton Vance CLO, Ltd. (20-1A-AR) 1.25% (3 mo. USD LIBOR + 1.170%)^(1),(2)		10/15/34		850,000		850,586
Education Loan Asset-Backed Trust I (13-1-A2) 0.89% (1 mo. USD LIBOR + 0.800%)^(1),(2),(5)		04/26/32		1,072,672		1,073,179
EFS Volunteer No 2 LLC (12-1-A2) 1.44% (1 mo. USD LIBOR + 1.350%)^(1),(2)		03/25/36		1,042,089		1,055,297
Global SC Finance SRL (14-1A-A2) 3.09%⁽¹⁾		07/17/29		123,250		125,723
Goal Capital Funding Trust (06-1-B) 0.58% (3 mo. USD LIBOR + 0.450%)⁽²⁾		08/25/42		190,862		178,599
Harvest Commercial Capital Loan Trust (19-1-A) 3.29%^(1),(3)		09/25/46		643,621		647,179
HPS Loan Management, Ltd. (0A-16-A1RR) 1.27% (3 mo. USD LIBOR + 1.140%)^(1),(2)		04/20/34		875,000		875,980
ITE Rail Fund Levered LP (21-1A-A) 2.25%⁽¹⁾		02/28/51		407,933		409,953
LMREC Inc. (19-CRE3-A) 1.48% (1 mo. USD LIBOR + 1.400%)^(1),(2)		12/22/35		890,000		890,794
Magnetite VII, Ltd. (12-7A-A1R2) 0.93% (3 mo. USD LIBOR + 0.800%)^(1),(2)		01/15/28		405,034		404,366
Nelnet Student Loan Trust (14-4A-A2) 1.04% (1 mo. USD LIBOR + 0.950%)^(1),(2)		11/25/48		575,000		586,248
Neuberger Berman Loan Advisers CLO, Ltd. (21-43A-A) 1.24% (3 mo. USD LIBOR + 1.130%)^(1),(2)		07/17/35		800,000		800,825
North Carolina State Education Assistance Authority (11-1-A3) 1.08% (3 mo. USD LIBOR + 0.900%)⁽²⁾		10/25/41		1,332,546		1,336,846
OCP CLO, Ltd. (21-21A-B) 1.83% (3 mo. USD LIBOR + 1.700%)^(1),(2)		07/20/34		400,000		400,556
OHA Credit Funding, Ltd. (20-7A-A) 1.38% (3 mo. USD LIBOR + 1.250%)^(1),(2)		10/19/32		1,400,000		1,400,238
Palmer Square CLO, Ltd. (18-1A-A1) 1.16% (3 mo. USD LIBOR + 1.030%)^(1),(2)		04/18/31		600,000		600,048
Palmer Square Loan Funding Ltd. (20-2A-A2) 1.68% (3 mo. USD LIBOR + 1.550%)^(1),(2)		04/20/28		350,000		350,088
Park Avenue Institutional Advisers CLO, Ltd. (21-1A-A2) 1.88% (3 mo. USD LIBOR + 1.750%)^(1),(2)		01/20/34		420,000		420,318
Regata XII Funding, Ltd. (19-1A-BR) 1.68% (3 mo. USD LIBOR + 1.600%)^(1),(2),(4)		10/15/32		725,000		725,362
Rockford Tower CLO, Ltd. (20-1A-D) 3.88% (3 mo. USD LIBOR + 3.750%)^(1),(2)		01/20/32		900,000		902,325
Scholar Funding Trust (12-B-A2) 1.19% (1 mo. USD LIBOR + 1.100%)^(1),(2)		03/28/46		616,930		627,867
SLC Student Loan Trust (04-1-B) 0.41% (3 mo. USD LIBOR + 0.290%)⁽²⁾		08/15/31		249,599		233,554
SLC Student Loan Trust (06-1-B) 0.33% (3 mo. USD LIBOR + 0.210%)⁽²⁾		03/15/55		342,447		318,608
SLM Student Loan Trust (04-2-B) 0.60% (3 mo. USD LIBOR + 0.470%)⁽²⁾		07/25/39		291,160		280,579
SLM Student Loan Trust (05-9-B) 0.43% (3 mo. USD LIBOR + 0.300%)⁽²⁾		01/25/41		353,696		336,072
SLM Student Loan Trust (07-6-B) 0.98% (3 mo. USD LIBOR + 0.850%)⁽²⁾		04/27/43		126,205		120,242

TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS September 30, 2021 (Unaudited) (Cont’d)


Issues	Maturity Date		Principal Amount		Value
SLM Student Loan Trust (07-7-B) 0.88% (3 mo. USD LIBOR + 0.750%)⁽²⁾		10/27/70	$	150,000	$	137,012
SLM Student Loan Trust (08-2-B) 1.33% (3 mo. USD LIBOR + 1.200%)⁽²⁾		01/25/83		225,000		216,120
SLM Student Loan Trust (08-3-B) 1.33% (3 mo. USD LIBOR + 1.200%)⁽²⁾		04/26/83		225,000		212,551
SLM Student Loan Trust (08-4-B) 1.98% (3 mo. USD LIBOR + 1.850%)⁽²⁾		04/25/73		515,000		517,633
SLM Student Loan Trust (08-5-B) 1.98% (3 mo. USD LIBOR + 1.850%)⁽²⁾		07/25/73		260,000		257,519
SLM Student Loan Trust (08-6-B) 1.98% (3 mo. USD LIBOR + 1.850%)⁽²⁾		07/26/83		225,000		226,292
SLM Student Loan Trust (08-7-B) 1.98% (3 mo. USD LIBOR + 1.850%)⁽²⁾		07/26/83		305,000		306,263
SLM Student Loan Trust (08-8-B) 2.38% (3 mo. USD LIBOR + 2.250%)⁽²⁾		10/25/75		260,000		261,919
SLM Student Loan Trust (08-9-B) 2.38% (3 mo. USD LIBOR + 2.250%)⁽²⁾		10/25/83		260,000		262,744
Structured Receivables Finance LLC (10-A-B) 7.61%⁽¹⁾		01/16/46		530,720		597,693
Structured Receivables Finance LLC (10-B-B) 7.97%⁽¹⁾		08/15/36		337,584		404,095
Student Loan Consolidation Center (02-2-B2) 1.65% (28 day Auction Rate)^(1),(2)		07/01/42		1,050,000		968,753
TCI-Flatiron CLO, Ltd. (16-1A-BR2) 1.73% (3 mo. USD LIBOR + 1.600%)^(1),(2)		01/17/32		280,000		280,168


Total Asset-backed Securities (Cost: $32,254,041)						32,962,440

MORTGAGE-BACKED SECURITIES—53.4%
Commercial Mortgage-backed Securities—Agency—3.0%
BMO SBA COOF Trust (19-1-A) (I/O) 1.62%^(1),(3)		10/25/45		8,368,867		499,929
COOF Securitization Trust II (15-2-A1) (I/O) 1.89%^(1),(3)		08/25/41		4,406,100		303,952
Fannie Mae, Pool #464398 5.97%		01/01/40		548,219		626,535
Fannie Mae, Pool #464400 5.97%		01/01/40		415,317		474,648
Fannie Mae, Pool #AN3542 3.41%		11/01/46		1,116,696		1,235,790
Fannie Mae (16-M11-X2) (ACES) (I/O) 2.97%⁽³⁾		07/25/39		1,479,996		51,811
Fannie Mae (19-M29-X4) (ACES) (I/O) 0.70%⁽³⁾		03/25/29		7,900,000		317,014
Freddie Mac Multifamily Structured Pass Through Certificates (K023-X3) (I/O) 1.75%⁽³⁾		10/25/40		12,555,000		177,643
Freddie Mac Multifamily Structured Pass Through Certificates (K032-X3) (I/O) 1.71%⁽³⁾		10/25/41		4,020,000		112,551
Freddie Mac Multifamily Structured Pass Through Certificates (K039-X3) (I/O) 2.18%⁽³⁾		08/25/42		3,110,000		200,442
Freddie Mac Multifamily Structured Pass Through Certificates (K057-X1) (I/O) 1.31%⁽³⁾		07/25/26		5,225,113		251,397
Freddie Mac Multifamily Structured Pass Through Certificates (K722-X1) (I/O) 1.44%⁽³⁾		03/25/23		15,464,665		198,789
Freddie Mac Multifamily Structured Pass Through Certificates (K735-X3) (I/O) 2.23%⁽³⁾		05/25/47		3,750,000		335,888
Freddie Mac Multifamily Structured Pass Through Certificates (Q013-XPT2) (I/O) 1.81%		05/25/27		3,911,739		143,696
Freddie Mac Multifamily Structured Pass-Through Certificates (19-P002-X) (I/O) 1.14%⁽³⁾		07/25/33		1,295,000		138,222
Freddie Mac Multifamily Structured Pass-Through Certificates (K021-X3) (I/O) 2.03%⁽³⁾		07/25/40		3,475,000		47,831
Freddie Mac Multifamily Structured Pass-Through Certificates (K022-X3) (I/O) 1.87%⁽³⁾		08/25/40		2,500,000		37,445
Freddie Mac Multifamily Structured Pass-Through Certificates (K025-X3) (I/O) 1.81%⁽³⁾		11/25/40		5,400,000		95,569
Freddie Mac Multifamily Structured Pass-Through Certificates (K027-X3) (I/O) 1.76%⁽³⁾		01/25/41		4,095,000		85,481
Freddie Mac Multifamily Structured Pass-Through Certificates (K031-X1) (I/O) 0.30%⁽³⁾		04/25/23		55,246,707		156,826
Freddie Mac Multifamily Structured Pass-Through Certificates (K031-X3) (I/O) 1.72%⁽³⁾		07/25/41		4,500,000		112,148
Freddie Mac Multifamily Structured Pass-Through Certificates (K034-X1) (I/O) 0.19%⁽³⁾		07/25/23		26,400,686		37,613
Freddie Mac Multifamily Structured Pass-Through Certificates (K040-X3) (I/O) 2.10%⁽³⁾		11/25/42		4,875,000		284,502
Freddie Mac Multifamily Structured Pass-Through Certificates (K049-X3) (I/O) 1.60%⁽³⁾		10/25/43		2,330,000		124,578
Freddie Mac Multifamily Structured Pass-Through Certificates (K060-X3) (I/O) 1.96%⁽³⁾		12/25/44		2,500,000		216,911
Freddie Mac Multifamily Structured Pass-Through Certificates (K726-X1) (I/O) 1.02%⁽³⁾		04/25/24		12,366,446		213,934
Freddie Mac Multifamily Structured Pass-Through Certificates (K728-X3) (I/O) 2.01%⁽³⁾		11/25/45		3,455,000		188,652
Freddie Mac Multifamily Structured Pass-Through Certificates (K732-X3) (I/O) 2.25%⁽³⁾		05/25/46		2,400,000		180,406
Freddie Mac Multifamily Structured Pass-Through Certificates (KC05-X1) (I/O) 1.34%⁽³⁾		06/25/27		7,966,482		376,224
Freddie Mac Multifamily Structured Pass-Through Certificates (KIR1-X) (I/O) 1.19%⁽³⁾		03/25/26		8,461,057		337,105
Freddie Mac Multifamily Structured Pass-Through Certificates (KLU2-X1) (I/O) 1.17%⁽³⁾		08/25/29		4,955,732		338,438
Freddie Mac Multifamily Structured Pass-Through Certificates (KS11-XFX) (I/O) 1.76%⁽³⁾		06/25/29		2,290,000		226,286

TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS September 30, 2021 (Unaudited) (Cont’d)


Issues	Maturity Date		Principal Amount		Value
Freddie Mac Multifamily Structured Pass-Through Certificates (KW01-X3) (I/O) 4.22%⁽³⁾		03/25/29	$	690,000	$	105,906
Freddie Mac Multifamily Structured Pass-Through Certificates (Q010-XPT2) (I/O) 0.36%		08/25/24		4,297,035		25,814
Ginnie Mae (12-139-IO) (I/O) 0.68%⁽³⁾		02/16/53		3,285,345		81,825
Ginnie Mae (13-52-IO) (I/O) 0.20%⁽³⁾		02/16/55		7,888,328		37,864
Ginnie Mae (09-114-IO) (I/O) 0.03%⁽³⁾		10/16/49		5,179,031		485
Ginnie Mae (10-148-IO) (I/O) 0.29%⁽³⁾		09/16/50		5,506,221		63,663
Ginnie Mae (11-105-IO) (I/O) 0.00%⁽³⁾		09/16/51		4,532,655		7
Ginnie Mae (11-152-IO) (I/O) 0.02%⁽³⁾		08/16/51		1,889,027		1,097
Ginnie Mae (11-42-IO) (I/O) 0.00%⁽³⁾		08/16/50		2,219,220		11
Ginnie Mae (12-4-IO) (I/O) 0.04%⁽³⁾		05/16/52		6,719,614		4,518
Ginnie Mae (14-103-IO) (I/O) 0.26%⁽³⁾		05/16/55		2,682,612		40,260
Ginnie Mae (14-125-IO) (I/O) 0.90%⁽³⁾		11/16/54		1,812,247		66,017


Total Commercial Mortgage-backed Securities—Agency (Cost: $12,449,290)						8,555,723

Commercial Mortgage-backed Securities—Non-Agency—11.4%
BAMLL Commercial Mortgage Securities Trust (18-PARK-A) 4.23%^(1),(3)		08/10/38		590,000		670,106
BBCMS Mortgage Trust (17-C1-XA) (I/O) 1.61%⁽³⁾		02/15/50		3,840,007		239,083
BBCMS Mortgage Trust (20-BID-D) 4.71% (1 mo. USD LIBOR + 4.630%)^(1),(2)		10/15/37		705,000		711,901
BCRR Trust (16-FRR3-E) 2.02% (-1 mo. USD LIBOR + 18.348%)^(1),(2)		05/26/26		695,789		644,792
Benchmark Mortgage Trust (19-B14-225D) 3.40%^(1),(3)		12/15/62		535,000		504,262
Benchmark Mortgage Trust (20-B17-A5) 2.29%		03/15/53		1,040,000		1,058,780
Benchmark Mortgage Trust (20-IG3-BXC) 3.65%^(1),(3)		09/15/48		555,000		543,605
BF Mortgage Trust (19-NYT-E) 2.58% (1 mo. USD LIBOR + 2.500%)^(1),(2)		12/15/35		525,000		518,182
BX Commercial Mortgage Trust (18-IND-G) 2.13% (1 mo. USD LIBOR + 2.050%)^(1),(2)		11/15/35		360,500		361,275
BX Commercial Mortgage Trust (20-FOX-E) 3.68% (1 mo. USD LIBOR + 3.600%)^(1),(2)		11/15/32		877,655		881,496
BX Commercial Mortgage Trust (20-FOX-G) 4.83% (1 mo. USD LIBOR + 4.750%)^(1),(2)		11/15/32		1,138,058		1,154,635
BX Trust (19-OC11-A) 3.20%⁽¹⁾		12/09/41		265,000		283,925
CALI Mortgage Trust (19-101C-A) 3.96%⁽¹⁾		03/10/39		680,000		769,512
CALI Mortgage Trust (19-101C-E) 4.47%^(1),(3)		03/10/39		315,000		315,812
Citigroup Commercial Mortgage Trust (12-GC8-XA) (I/O) 1.89%^(1),(3),(6)		09/10/45		2,899,730		26,671
Citigroup Commercial Mortgage Trust (14-GC21-XD) (I/O) 1.52%^(1),(3)		05/10/47		4,702,111		141,563
Citigroup Commercial Mortgage Trust (15-GC35-XA) (I/O) 0.87%⁽³⁾		11/10/48		6,460,814		166,011
Citigroup Commercial Mortgage Trust (19-PRM-X) (I/O) 1.33%^(1),(3)		05/10/36		14,000,000		354,571
COMM Mortgage Trust (12-LC4-XB) (I/O) 0.63%^(1),(3)		12/10/44		18,671,016		25,010
COMM Mortgage Trust (13-CR11-XA) (I/O) 1.08%⁽³⁾		08/10/50		9,638,654		152,414
COMM Mortgage Trust (13-CR12-XA) (I/O) 1.29%⁽³⁾		10/10/46		9,115,052		174,231
COMM Mortgage Trust (13-LC13-XA) (I/O) 1.18%⁽³⁾		08/10/46		6,111,707		96,429
COMM Mortgage Trust (14-CR18-XA) (I/O) 1.16%⁽³⁾		07/15/47		6,309,045		144,721
COMM Mortgage Trust (14-CR21-XA) (I/O) 1.03%⁽³⁾		12/10/47		17,069,529		389,269
COMM Mortgage Trust (20-CBM-XCP) (I/O) 0.72%^(1),(3)		02/10/37		5,644,863		107,207
COMM Mortgage Trust (20-CX-E) 2.77%^(1),(3)		11/10/46		370,000		350,663
CPT Mortgage Trust (19-CPT-A) 2.87%⁽¹⁾		11/13/39		1,165,000		1,230,606
CSMC (20-FACT-F) 6.24% (1 mo. USD LIBOR + 6.157%)^(1),(2)		10/15/37		1,017,000		1,030,501
DBGS Mortgage Trust (18-5BP-E) 2.13% (1 mo. USD LIBOR + 2.050%)^(1),(2)		06/15/33		685,000		679,457
DBWF Mortgage Trust (16-85T-A) 3.79%⁽¹⁾		12/10/36		615,000		675,979
DC Office Trust (19-MTC-A) 2.97%⁽¹⁾		09/15/45		550,000		583,674
Grace Trust (20-GRCE-A) 2.35%⁽¹⁾		12/10/40		1,350,000		1,369,770
Grace Trust (20-GRCE-D) 2.77%^(1),(3)		12/10/40		1,249,000		1,225,362
Grace Trust (20-GRCE-F) 2.77%^(1),(3)		12/10/40		376,000		342,085
Grace Trust (20-GRCE-X) (I/O) 0.39%^(1),(3)		12/10/40		10,620,000		275,515
GS Mortgage Securities Corp. Trust (20-UPTN-XA) (I/O) 0.45%^(1),(3)		02/10/37		3,150,000		35,819
GS Mortgage Securities Trust (11-GC3-X) (I/O) 0.29%^(1),(3)		03/10/44		723,925		2,198
GS Mortgage Securities Trust (12-GC6-XB) (I/O) 0.32%^(1),(3),(6)		01/10/45		17,385,898		10,704
GS Mortgage Securities Trust (12-GCJ7-XB) (I/O) 0.51%^(1),(3)		05/10/45		34,082,467		61,631
GS Mortgage Securities Trust (14-GC18-XB) (I/O) 0.26%⁽³⁾		01/10/47		66,563,000		221,185
GS Mortgage Securities Trust (16-GS2-XA) (I/O) 1.90%⁽³⁾		05/10/49		4,188,737		281,143
Hudson Yards Mortgage Trust (19-30HY-A) 3.23%⁽¹⁾		07/10/39		560,000		606,480
Hudson Yards Mortgage Trust (19-55HY-A) 3.04%^(1),(3)		12/10/41		550,000		585,727
Hudson Yards Mortgage Trust (19-55HY-F) 3.04%^(1),(3)		12/10/41		150,000		143,487
ILPT Trust (19-SURF-A) 4.15%⁽¹⁾		02/11/41		240,000		272,966
JPMBB Commercial Mortgage Securities Trust (14-C24-XA) (I/O) 1.05%⁽³⁾		11/15/47		7,827,797		157,942

TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS September 30, 2021 (Unaudited) (Cont’d)


Issues	Maturity Date		Principal Amount		Value
JPMBB Commercial Mortgage Securities Trust (14-C21-XA) (I/O) 1.12%⁽³⁾		08/15/47	$	1,690,760	$	39,606
JPMBB Commercial Mortgage Securities Trust (14-C23-XA) (I/O) 0.76%⁽³⁾		09/15/47		9,619,544		147,345
JPMBB Commercial Mortgage Securities Trust (15-C29-XD) (I/O) 0.50%^(1),(3)		05/15/48		26,458,000		431,355
JPMCC Commercial Mortgage Securities Trust (17-JP5-XA) (I/O) 1.12%⁽³⁾		03/15/50		12,511,467		505,493
JPMorgan Chase Commercial Mortgage Securities Trust (11-C3-XB) (I/O) 0.51%^(1),(3)		02/15/46		52,289,644		522,421
JPMorgan Chase Commercial Mortgage Securities Trust (12-HSBC-XA) (I/O) 1.58%^(1),(3),(6)		07/05/32		4,261,523		31,165
JPMorgan Chase Commercial Mortgage Securities Trust (12-LC9-XA) (I/O) 1.54%⁽³⁾		12/15/47		5,564,856		66,345
JPMorgan Chase Commercial Mortgage Securities Trust (13-LC11-XA) (I/O) 1.38%⁽³⁾		04/15/46		21,653,520		309,774
JPMorgan Chase Commercial Mortgage Securities Trust (19-OSB-A) 3.40%⁽¹⁾		06/05/39		585,000		642,427
JPMorgan Chase Commercial Mortgage Securities Trust (19-OSB-C) 3.75%^(1),(3)		06/05/39		150,000		163,241
Manhattan West Mortgage Trust (20-1MW-A) 2.13%⁽¹⁾		09/10/39		695,000		709,371
MFT Mortgage Trust (20-B6-C) 3.39%^(1),(3)		08/10/40		220,000		218,525
MFT Trust (20-ABC-C) 3.59%^(1),(3)		02/10/42		175,000		173,923
MFT Trust (20-ABC-D) 3.59%^(1),(3)		02/10/42		180,000		172,409
MKT Mortgage Trust (20-525M-A) 2.69%⁽¹⁾		02/12/40		335,000		349,448
Morgan Stanley Bank of America Merrill Lynch Trust (15-C22-XA) (I/O) 1.16%⁽³⁾		04/15/48		8,683,351		236,231
Morgan Stanley Bank of America Merrill Lynch Trust (15-C24-XA) (I/O) 0.86%⁽³⁾		05/15/48		9,825,309		231,370
Morgan Stanley Bank of America Merrill Lynch Trust (16-C31-XA) (I/O) 1.46%⁽³⁾		11/15/49		7,241,793		360,731
Morgan Stanley Capital I Trust (12-C4-XA) (I/O) 2.05%^(1),(3),(6)		03/15/45		2,089,915		1,174
Morgan Stanley Capital I Trust (19-L2-A3) 3.81%		03/15/52		460,000		506,209
Morgan Stanley Capital I Trust (19-L2-A4) 4.07%		03/15/52		980,000		1,113,655
Morgan Stanley Capital I Trust (20-CNP-A) 2.51%^(1),(3)		04/05/42		650,000		665,895
One Bryant Park Trust (19-OBP-A) 2.52%⁽¹⁾		09/15/54		1,295,000		1,337,769
SFAVE Commercial Mortgage Securities Trust (15-5AVE-A2A) 3.66%^(1),(3)		01/05/43		805,000		884,497
SFAVE Commercial Mortgage Securities Trust (15-5AVE-A2B) 4.14%^(1),(3)		01/05/43		65,000		72,008
SFAVE Commercial Mortgage Securities Trust (15-5AVE-D) 4.53%^(1),(3)		01/05/43		880,000		725,712
UBS Commercial Mortgage Trust (12-C1-XA) (I/O) 2.20%^(1),(3),(6)		05/10/45		4,284,051		26,858
UBS Commercial Mortgage Trust (17-C5-XA) (I/O) 1.13%⁽³⁾		11/15/50		7,179,625		309,743
UBS-Barclays Commercial Mortgage Trust (12-C3-XA) (I/O) 1.98%^(1),(3)		08/10/49		12,188,716		137,324
UBS-Barclays Commercial Mortgage Trust (13-C5-XA) (I/O) 1.04%^(1),(3)		03/10/46		12,343,791		102,060
Wells Fargo Commercial Mortgage Trust (12-LC5-XA) (I/O) 1.89%^(1),(3)		10/15/45		4,947,340		54,579
WFRBS Commercial Mortgage Trust (12-C8-XA) (I/O) 1.94%^(1),(3),(6)		08/15/45		4,084,817		25,765
WFRBS Commercial Mortgage Trust (12-C9-XA) (I/O) 2.02%^(1),(3)		11/15/45		2,360,540		29,362
WFRBS Commercial Mortgage Trust (13-C14-XA) (I/O) 0.81%⁽³⁾		06/15/46		7,052,976		55,264
WFRBS Commercial Mortgage Trust (13-C16-XA) (I/O) 0.79%⁽³⁾		09/15/46		11,384,971		114,148
WFRBS Commercial Mortgage Trust (14-C24-XA) (I/O) 1.00%⁽³⁾		11/15/47		5,268,107		118,491

Total Commercial Mortgage-backed Securities—Non-Agency (Cost: $37,779,063)						32,170,050

Residential Mortgage-backed Securities—Agency—12.1%
Fannie Mae (07-42-SE) (I/O) (I/F) 6.02% (-1 mo. USD LIBOR + 6.110%)⁽²⁾		05/25/37		65,375		8,835
Fannie Mae (07-48-SD) (I/O) (I/F) 6.01% (-1 mo. USD LIBOR + 6.100%)⁽²⁾		05/25/37		1,055,182		181,885
Fannie Mae (09-69-CS) (I/O) (I/F) 6.66% (-1 mo. USD LIBOR + 6.750%)⁽²⁾		09/25/39		205,524		31,667
Freddie Mac (1673-SD) (I/F) (PAC) 16.68% (-2.15 x T10Y + 19.391%)⁽²⁾		02/15/24		24,107		27,040
Freddie Mac (1760-ZD) 0.76% (1 x T10Y - 0.500%)⁽²⁾		02/15/24		52,055		52,188
Freddie Mac (2990-JK) (I/F) 21.67% (-1 mo. USD LIBOR + 22.004%)⁽²⁾		03/15/35		60,861		68,702
Freddie Mac (3122-SG) (I/O) (I/F) (TAC) (PAC) 5.55% (-1 mo. USD LIBOR + 5.630%)⁽²⁾		03/15/36		1,733,806		311,679
Freddie Mac (3239-SI) (I/O) (I/F) (PAC) 6.57% (-1 mo. USD LIBOR + 6.650%)⁽²⁾		11/15/36		398,345		87,470
Freddie Mac (3323-SA) (I/O) (I/F) 6.03% (-1 mo. USD LIBOR + 6.110%)⁽²⁾		05/15/37		90,742		10,072
Freddie Mac (3459-JS) (I/O) (I/F) 6.17% (-1 mo. USD LIBOR + 6.250%)⁽²⁾		06/15/38		123,156		22,433
Freddie Mac (4030-HS) (I/O) (I/F) 6.53% (-1 mo. USD LIBOR + 6.610%)⁽²⁾		04/15/42		748,414		153,807
Ginnie Mae (06-35-SA) (I/O) (I/F) 6.51% (-1 mo. USD LIBOR + 6.600%)⁽²⁾		07/20/36		1,093,613		211,753

TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS September 30, 2021 (Unaudited) (Cont’d)


Issues	Maturity Date		Principal Amount		Value
Ginnie Mae (06-61-SA) (I/O) (I/F) (TAC) 4.66% (-1 mo. USD LIBOR + 4.750%)⁽²⁾		11/20/36	$	1,786,848	$	204,568
Ginnie Mae (08-58-TS) (I/O) (I/F) (TAC) 6.31% (-1 mo. USD LIBOR + 6.400%)⁽²⁾		05/20/38		829,507		74,848
Ginnie Mae (16-153-IO) (I/O) 3.50%		11/20/46		2,061,573		276,988
Uniform Mortgage-Backed Securities TBA, 30 Year
2.00%⁽⁷⁾		07/01/51		14,700,000		14,710,573
2.50%⁽⁷⁾		07/01/51		17,075,000		17,570,551

Total Residential Mortgage-backed Securities—Agency (Cost: $33,547,337)						34,005,059

Residential Mortgage-backed Securities—Non-Agency—26.9%
ACE Securities Corp. (04-IN1-A1) 0.73% (1 mo. USD LIBOR + 0.640%)⁽²⁾		05/25/34		403,470		395,751
ACE Securities Corp. (07-ASP1-A2C) 0.35% (1 mo. USD LIBOR + 0.260%)⁽²⁾		03/25/37		1,322,517		787,265
Adjustable Rate Mortgage Trust (05-4-6A22) 2.87%^(3),(5)		08/25/35		482,338		340,357
Adjustable Rate Mortgage Trust (06-1-2A1) 3.49%^(3),(5)		03/25/36		360,146		251,968
Ajax Mortgage Loan Trust (19-F-A2) 3.50%⁽¹⁾		07/25/59		1,300,000		1,305,135
Alternative Loan Trust (05-46CB-A20) (TAC) 5.50%⁽⁵⁾		10/25/35		670,175		620,010
Asset-Backed Funding Certificates (07-NC1-A2) 0.39% (1 mo. USD LIBOR + 0.300%)^(1),(2)		05/25/37		1,115,934		1,078,167
Asset-Backed Securities Corp. Home Equity (06-HE3-A5) 0.63% (1 mo. USD LIBOR + 0.540%)⁽²⁾		03/25/36		1,352,523		1,357,713
Asset-Backed Securities Corp. Home Equity (07-HE1-A1B) 0.24% (1 mo. USD LIBOR + 0.150%)⁽²⁾		12/25/36		417,517		408,387
Banc of America Alternative Loan Trust (05-10-1CB1) 0.49% (1 mo. USD LIBOR + 0.400%)^(2),(5)		11/25/35		425,638		366,177
Banc of America Funding Corp. (15-R3-6A2) 0.25%^(1),(3)		05/27/36		1,671,967		1,581,947
Banc of America Funding Trust (06-3-4A14) 6.00%		03/25/36		202,377		202,385
Banc of America Funding Trust (06-3-5A3) 5.50%⁽⁵⁾		03/25/36		137,361		137,034
Banc of America Funding Trust (14-R5-1A1) 1.65% (6 mo. USD LIBOR + 1.500%)^(1),(2)		09/26/45		351,999		350,844
Banc of America Funding Trust (15-R4-2A1) 0.29% (1 mo. USD LIBOR + 0.205%)^(1),(2)		02/25/37		612,720		605,370
BCMSC Trust (00-A-A4) 8.29%⁽³⁾		06/15/30		3,316,690		783,115
Bear Stearns Adjustable Rate Mortgage Trust (03-7-9A) 2.77%⁽³⁾		10/25/33		282,546		289,223
Bear Stearns Adjustable Rate Mortgage Trust (05-9-A1) 2.38% (1 year Treasury Constant Maturity Rate + 2.300%)⁽²⁾		10/25/35		152,694		157,116
Bear Stearns Adjustable Rate Mortgage Trust (07-4-22A1) 3.29%^(3),(5)		06/25/47		809,468		814,550
Bear Stearns ALT-A Trust (05-3-4A3) 2.48%⁽³⁾		04/25/35		396,752		406,810
Bear Stearns Asset-Backed Securities Trust (05-AC6-1A3) 5.50%⁽³⁾		09/25/35		400,417		409,677
Bear Stearns Asset-Backed Securities Trust (06-IM1-A1) 0.55% (1 mo. USD LIBOR + 0.460%)⁽²⁾		04/25/36		192,854		311,421
Bear Stearns Mortgage Funding Trust (07-AR3-1X) (I/O) 0.50%⁽⁸⁾		03/25/37		30,860,388		771,383
CIM Trust (19-R1-A) 3.25%^(1),(3)		10/25/58		955,821		892,134
CIM Trust (21-NR3-A1) 2.57%^(1),(5)		06/25/57		523,151		524,151
CIM Trust (21-R3-A1A) 1.95%^(1),(3)		06/25/57		1,220,620		1,226,153
CIM Trust (21-R4-A1A) 2.00%^(1),(3)		05/01/61		1,196,954		1,201,287
CIM Trust (21-R5-A1B) 2.00%^(1),(3)		08/25/61		1,096,000		985,050
Citigroup Mortgage Loan Trust, Inc. (05-11-A2A) 2.47% (1 year Treasury Constant Maturity Rate + 2.400%)⁽²⁾		10/25/35		248,909		255,925
Citigroup Mortgage Loan Trust, Inc. (05-8-1A1A) 2.51%^(3),(5)		10/25/35		506,842		459,239
Citigroup Mortgage Loan Trust, Inc. (14-10-2A2) 0.33% (1 mo. USD LIBOR + 0.250%)^(1),(2)		07/25/37		1,180,099		1,157,071
CitiMortgage Alternative Loan Trust (06-A3-1A7) 6.00%⁽⁵⁾		07/25/36		758,185		765,199
CitiMortgage Alternative Loan Trust (06-A5-1A8) 6.00%⁽⁵⁾		10/25/36		655,631		657,238
Conseco Finance Securitizations Corp. (99-6-A1) 7.36%^(1),(3),(5)		06/01/30		1,370,788		718,654
Conseco Financial Corp. (96-6-M1) 7.95%⁽³⁾		09/15/27		100,747		105,751
Conseco Financial Corp. (96-7-M1) 7.70%⁽³⁾		09/15/26		10,888		10,921
Conseco Financial Corp. (98-4-A5) 6.18%		04/01/30		28,945		28,952
Conseco Financial Corp. (98-4-A6) 6.53%⁽³⁾		04/01/30		17,609		17,701
Conseco Financial Corp. (98-4-A7) 6.87%⁽³⁾		04/01/30		18,646		18,752
Countrywide Alternative Loan Trust (05-20CB-4A1) (I/F) 5.25%		07/25/20		683		673
Countrywide Alternative Loan Trust (06-8T1-1A2) (I/O) 5.41% (-1 mo. USD LIBOR + 5.500%)^(2),(8)		04/25/36		5,378,900		1,070,671
Countrywide Asset-Backed Certificates (07-13-2A1) 0.99% (1 mo. USD LIBOR + 0.900%)⁽²⁾		10/25/47		544,490		546,047
Countrywide Home Loans (04-HYB4-B1) 2.75%⁽³⁾		09/20/34		557,710		267,588
Countrywide Home Loans (06-14-X) (I/O) 0.15%^(3),(8)		09/25/36		11,191,027		50,588
Countrywide Home Loans (06-HYB2-1A1) 3.20%^(3),(5)		04/20/36		740,745		577,441
Credit Suisse First Boston Mortgage Securities Corp. (04-AR5-11A2) 0.83% (1 mo. USD LIBOR + 0.740%)⁽²⁾		06/25/34		117,051		118,046
Credit Suisse First Boston Mortgage Securities Corp. (05-12-1A1) 6.50%⁽⁵⁾		01/25/36		1,029,144		440,827
Credit Suisse Mortgage Capital Certificates (06-6-1A8) 6.00%⁽⁵⁾		07/25/36		544,847		406,606
Credit-Based Asset Servicing and Securitization LLC (03-CB3-AF1) 3.38%		12/25/32		396,277		394,520

TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS September 30, 2021 (Unaudited) (Cont’d)


Issues	Maturity Date		Principal Amount		Value
Credit-Based Asset Servicing and Securitization LLC (06-CB1-AF2) 2.92%		01/25/36	$	1,077,070	$	878,203
Credit-Based Asset Servicing and Securitization LLC (06-CB2-AF2) 3.10%		12/25/36		2,095,454		2,080,882
Credit-Based Asset Servicing and Securitization LLC (07-CB2-A2B) 3.66%		02/25/37		930,640		743,123
Credit-Based Asset Servicing and Securitization LLC (07-CB2-A2C) 3.66%		02/25/37		914,365		730,041
Credit-Based Asset Servicing and Securitization LLC (07-CB3-A3) 3.40%		03/25/37		1,267,181		670,242
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust (06-AB2-A2) 4.98%^(3),(5)		06/25/36		1,242,453		1,239,469
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust (06-AR6-A6) 0.47% (1 mo. USD LIBOR + 0.380%)⁽²⁾		02/25/37		412,236		403,633
DSLA Mortgage Loan Trust (06-AR2-2A1A) 0.29% (1 mo. USD LIBOR + 0.200%)⁽²⁾		10/19/36		387,165		331,927
First Franklin Mortgage Loan Asset-Backed Certificates (06-FF11-2A3) 0.39% (1 mo. USD LIBOR + 0.300%)⁽²⁾		08/25/36		778,937		765,481
First Franklin Mortgage Loan Asset-Backed Certificates (06-FF13-A2C) 0.41% (1 mo. USD LIBOR + 0.320%)⁽²⁾		10/25/36		710,665		576,562
First Franklin Mortgage Loan Asset-Backed Certificates (06-FF18-A2D) 0.30% (1 mo. USD LIBOR + 0.210%)⁽²⁾		12/25/37		665,860		639,567
First Horizon Alternative Mortgage Securities Trust (05-AA10-2A1) 2.34%^(3),(5)		12/25/35		276,130		237,012
Greenpoint Manufactured Housing (00-1-A4) 8.14%⁽³⁾		03/20/30		580,719		505,656
GSAA Home Equity Trust (06-13-AF6) 6.54%		07/25/36		1,258,514		546,343
GSC Capital Corp. Mortgage Trust (06-2-A1) 0.45% (1 mo. USD LIBOR + 0.360%)⁽²⁾		05/25/36		245,496		243,619
GSR Mortgage Loan Trust (05-AR3-6A1) 2.90%⁽³⁾		05/25/35		192,171		173,727
HSI Asset Loan Obligation Trust (07-2-2A12) 6.00%		09/25/37		377,490		352,100
Indymac INDX Mortgage Loan Trust (04-AR6-5A1) 2.89%⁽³⁾		10/25/34		343,088		350,860
Indymac INDX Mortgage Loan Trust (05-AR19-A1) 2.76%⁽³⁾		10/25/35		454,974		433,588
Indymac INDX Mortgage Loan Trust (06-AR13-A4X) (I/O) 2.27%^(3),(8)		07/25/36		237,435		3,048
Indymac INDX Mortgage Loan Trust (06-AR9-1A1) 2.92%⁽³⁾		06/25/36		568,825		421,392
Indymac INDX Mortgage Loan Trust (07-AR5-2A1) 2.98%⁽³⁾		05/25/37		789,941		748,935
Indymac INDX Mortgage Loan Trust (07-FLX2-A1C) 0.28% (1 mo. USD LIBOR + 0.190%)⁽²⁾		04/25/37		1,745,072		1,679,314
JPMorgan Alternative Loan Trust (06-A2-5A1) 3.01%^(3),(5)		05/25/36		438,804		311,521
JPMorgan Mortgage Acquisition Trust (06-WF1-A5) 6.91%		07/25/36		2,117,117		892,402
JPMorgan Mortgage Trust (04-A6-5A1) 2.56%⁽³⁾		12/25/34		203,886		205,698
JPMorgan Mortgage Trust (07-S2-1A1) 5.00%		06/25/37		147,334		87,028
JPMorgan Resecuritization Trust (15-4-1A5) 0.27% (1 mo. USD LIBOR + 0.190%)^(1),(2)		06/26/47		1,863,000		1,782,438
JPMorgan Resecuritization Trust (15-4-2A2) 3.59%^(1),(3),(5)		06/26/47		3,611,560		2,032,236
Legacy Mortgage Asset Trust (19-GS4-A1) 3.44%⁽¹⁾		05/25/59		923,629		925,502
Lehman Mortgage Trust (06-7-2A5) (I/O) (I/F) 6.46% (-1 mo. USD LIBOR + 6.550%)^(2),(8)		11/25/36		3,050,058		921,436
Lehman XS Trust (06-10N-1A3A) 0.51% (1 mo. USD LIBOR + 0.420%)⁽²⁾		07/25/46		542,156		561,521
Lehman XS Trust (06-12N-A31A) 0.49% (1 mo. USD LIBOR + 0.400%)⁽²⁾		08/25/46		721,175		726,961
Long Beach Mortgage Loan Trust (04-4-M1) 0.99% (1 mo. USD LIBOR + 0.900%)⁽²⁾		10/25/34		601,400		599,363
MASTR Alternative Loan Trust (06-2-2A2) (I/O) (I/F) 7.01% (-1 mo. USD LIBOR + 7.100%)^(2),(8)		03/25/36		5,923,794		1,127,764
MASTR Alternative Loans Trust (07-HF1-4A1) 7.00%⁽⁵⁾		10/25/47		1,060,984		676,720
MASTR Asset-Backed Securities Trust (07-HE1-A4) 0.37% (1 mo. USD LIBOR + 0.280%)⁽²⁾		05/25/37		2,000,000		1,843,154
Merrill Lynch Alternative Note Asset Trust (07-OAR2-A2) 0.51% (1 mo. USD LIBOR + 0.420%)⁽²⁾		04/25/37		822,818		777,707
Merrill Lynch First Franklin Mortgage Loan Trust (07-3-A2B) 0.22% (1 mo. USD LIBOR + 0.130%)⁽²⁾		06/25/37		557,569		527,175
Merrill Lynch First Franklin Mortgage Loan Trust (07-3-A2C) 0.27% (1 mo. USD LIBOR + 0.180%)⁽²⁾		06/25/37		1,138,543		1,081,291
Merrill Lynch Mortgage-Backed Securities Trust (07-2-1A1) 2.48% (1 year Treasury Constant Maturity Rate + 2.400%)^(2),(5)		08/25/36		173,071		164,740
Mid-State Trust (04-1-B) 8.90%		08/15/37		173,429		193,629
Mid-State Trust (04-1-M1) 6.50%		08/15/37		173,429		186,872
Morgan Stanley ABS Capital I, Inc. Trust (06-HE3-A1) 0.37% (1 mo. USD LIBOR + 0.280%)⁽²⁾		04/25/36		111,984		111,780
Morgan Stanley ABS Capital I, Inc. Trust (07-15AR-4A1) 2.88%⁽³⁾		11/25/37		353,001		356,551
Nomura Asset Acceptance Corp. (06-AR1-1A) 3.85%⁽³⁾		02/25/36		335,842		309,192
Oakwood Mortgage Investors, Inc. (00-A-A4) 8.15%⁽³⁾		09/15/29		1,743,272		721,942
Oakwood Mortgage Investors, Inc. (00-D-A4) 7.40%⁽³⁾		07/15/30		692,971		258,035
Oakwood Mortgage Investors, Inc. (01-C-A3) 6.61%⁽³⁾		06/15/31		1,671,028		319,038

TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS September 30, 2021 (Unaudited) (Cont’d)


Issues	Maturity Date		Principal Amount		Value
Oakwood Mortgage Investors, Inc. (01-D-A3) 5.90%⁽³⁾		09/15/22	$	661,941	$	464,189
Oakwood Mortgage Investors, Inc. (01-D-A4) 6.93%⁽³⁾		09/15/31		383,514		293,450
Oakwood Mortgage Investors, Inc. (02-A-A3) 6.03%⁽³⁾		05/15/24		108,114		110,156
Oakwood Mortgage Investors, Inc. (99-B-A4) 6.99%		12/15/26		78,721		79,559
Oakwood Mortgage Investors, Inc. (99-E-A1) 7.61%⁽³⁾		03/15/30		715,891		552,871
Popular ABS Mortgage Pass-Through Trust (05-6-A4) 3.45%		01/25/36		100,075		100,184
RALI Series Trust (06-QS13-1A2) (I/O) (I/F) 7.07% (-1 mo. USD LIBOR + 7.160%)^(2),(8)		09/25/36		2,943,763		528,357
RALI Series Trust (06-QS7-A2) 6.00%⁽⁵⁾		06/25/36		402,539		401,437
RBSSP Resecuritization Trust (12-6-4A2) 0.74% (1 mo. USD LIBOR + 0.330%)^(1),(2)		01/26/36		1,162,706		1,145,815
Residential Accredit Loans, Inc. (05-QA7-A1) 3.35%^(3),(5)		07/25/35		758,101		643,991
Residential Accredit Loans, Inc. (05-QA8-CB21) 3.42%^(3),(5)		07/25/35		389,587		277,942
Residential Accredit Loans, Inc. (06-QA10-A2) 0.44% (1 mo. USD LIBOR + 0.360%)⁽²⁾		12/25/36		537,178		536,706
Residential Accredit Loans, Inc. (06-QS1-A3) (PAC) 5.75%⁽⁵⁾		01/25/36		308,381		299,757
Residential Accredit Loans, Inc. (06-QS11-AV) (I/O) 0.36%^(3),(8)		08/25/36		8,084,966		105,020
Residential Accredit Loans, Inc. (06-QS6-1AV) (I/O) 0.76%^(3),(8)		06/25/36		3,555,535		80,878
Residential Accredit Loans, Inc. (06-QS8-A3) 6.00%⁽⁵⁾		08/25/36		677,635		666,310
Residential Accredit Loans, Inc. (07-QS2-AV) (I/O) 0.33%^(3),(8)		01/25/37		8,958,387		101,853
Residential Accredit Loans, Inc. (07-QS3-AV) (I/O) 0.35%^(3),(8)		02/25/37		9,599,013		114,780
Residential Accredit Loans, Inc. (07-QS6-A62) (TAC) 5.50%⁽⁵⁾		04/25/37		208,188		198,469
Residential Asset Securitization Trust (05-A15-4A1) 6.00%⁽⁵⁾		02/25/36		968,449		474,641
Residential Asset Securitization Trust (07-A5-AX) (I/O) 6.00%⁽⁸⁾		05/25/37		1,651,375		321,442
Residential Funding Mortgage Securities (06-S9-AV) (I/O) 0.36%^(3),(8)		09/25/36		22,177,453		261,241
Saxon Asset Securities Trust (07-3-2A4) 0.58% (1 mo. USD LIBOR + 0.490%)⁽²⁾		09/25/47		2,926,000		2,713,201
Securitized Asset-Backed Receivables LLC Trust (07-NC2-A2C) 0.31% (1 mo. USD LIBOR + 0.220%)⁽²⁾		01/25/37		4,614,000		3,737,590
Soundview Home Loan Trust (06-1-A4) 0.69% (1 mo. USD LIBOR + 0.600%)⁽²⁾		02/25/36		191,554		191,519
Structured Adjustable Rate Mortgage Loan Trust (05-20-1A1) 2.80%^(3),(5)		10/25/35		138,697		132,380
Structured Adjustable Rate Mortgage Loan Trust (07-9-2A1) 3.15%^(3),(5)		10/25/47		281,495		225,396
Structured Asset Mortgage Investments II Trust (06-AR4-5A1) 0.45% (1 mo. USD LIBOR + 0.360%)⁽²⁾		06/25/36		825,248		730,639
WAMU Asset-Backed Certificates (07-HE1-2A3) 0.24% (1 mo. USD LIBOR + 0.150%)⁽²⁾		01/25/37		1,786,824		1,136,211
Wells Fargo Alternative Loan Trust (07-PA2-2A2) (I/O) (I/F) 5.98% (-1 mo. USD LIBOR + 6.070%)^(2),(8)		06/25/37		2,013,838		230,779
Wells Fargo Mortgage-Backed Securities Trust (07-AR3-A4) 2.67%^(3),(5)		04/25/37		143,829		140,894


Total Residential Mortgage-backed Securities—Non-Agency (Cost: $70,484,121)						76,083,067


Total Mortgage-backed Securities (Cost: $154,259,811)						150,813,899


CORPORATE BONDS—27.4%

Advertising—0.1%
National CineMedia LLC 5.88%⁽¹⁾		04/15/28		317,000		290,622


Aerospace/Defense—0.3%
Boeing Co. (The) 1.43%		02/04/24		705,000		706,051


Agriculture—0.6%
BAT Capital Corp. 4.54%		08/15/47		135,000		140,076
Imperial Brands Finance PLC 3.13%⁽¹⁾		07/26/24		270,000		283,875
Reynolds American, Inc. 5.85%		08/15/45		975,000		1,189,500

						1,613,451


Airlines—0.4%
JetBlue Pass-Through Certificates (20-1A) 4.00%		05/15/34		773,825		847,478
US Airways Group, Inc. Pass-Through Certificates (10-1A) (EETC) 6.25%		10/22/24		318,967		328,804

						1,176,282


Auto Manufacturers—1.0%
Daimler Finance North America LLC 1.02% (3 mo. USD LIBOR + 0.900%)^(1),(2)		02/15/22		350,000		351,122
Ford Motor Credit Co. LLC
1.40% (3 mo. USD LIBOR + 1.270%)⁽²⁾		03/28/22		345,000		345,268
3.22%		01/09/22		1,150,000		1,154,312
3.34%		03/28/22		645,000		650,695
General Motors Co. 4.88%		10/02/23		150,000		162,191
General Motors Financial Co., Inc.
3.15%		06/30/22		180,000		183,130
3.45%		04/10/22		55,000		55,593

						2,902,311


Banks—6.0%
Bank of America Corp.
1.66% (SOFR + 0.910%)⁽²⁾		03/11/27		1,085,000		1,092,299
1.73% (SOFR + 0.960%)⁽²⁾		07/22/27		675,000		678,699
2.09% (SOFR + 1.060%)⁽²⁾		06/14/29		570,000		569,618
3.56% (3 mo. USD LIBOR + 1.060%)⁽²⁾		04/23/27		55,000		59,875
3.82% (3 mo. USD LIBOR + 1.575%)⁽²⁾		01/20/28		120,000		132,523

TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS September 30, 2021 (Unaudited) (Cont’d)


Issues	Maturity Date		Principal Amount		Value
Citigroup, Inc.
1.46% (SOFR+ 0.770%)⁽²⁾		06/09/27	$	430,000	$	427,867
4.41% (SOFR + 3.914%)⁽²⁾		03/31/31		440,000		508,283
Comerica, Inc. 5.63% (U.S. 5 year Treasury Constant Maturity Rate + 5.291%)^(2),(9)		12/31/99		395,000		435,981
Credit Suisse Group AG
1.31% (SOFR + 0.980%)^(1),(2)		02/02/27		190,000		186,002
2.19% (SOFR + 2.044%)^(1),(2)		06/05/26		480,000		489,656
3.09% (SOFR + 1.730%)^(1),(2)		05/14/32		270,000		277,082
3.75%		03/26/25		330,000		356,035
4.55%		04/17/26		75,000		84,292
DNB Bank ASA 1.61% (U.S. 1 year Treasury Constant Maturity Rate + 0.680%)⁽¹⁾		03/30/28		430,000		428,227
Goldman Sachs Group, Inc. (The)
1.09% (SOFR + 0.789%)⁽²⁾		12/09/26		215,000		211,956
1.43% (SOFR + 0.798%)⁽²⁾		03/09/27		705,000		703,167
1.54% (SOFR + 0.818%)⁽²⁾		09/10/27		430,000		428,869
HSBC Holdings PLC
1.59% (SOFR + 1.290%)⁽²⁾		05/24/27		285,000		283,211
2.10% (SOFR + 1.929%)⁽²⁾		06/04/26		430,000		439,577
2.21% (SOFR + 1.285%)⁽²⁾		08/17/29		1,075,000		1,067,583
JPMorgan Chase & Co.
0.77% (SOFR + 0.490%)⁽²⁾		08/09/25		270,000		268,979
0.97% (SOFR + 0.580%)⁽²⁾		06/23/25		65,000		65,090
1.47% (SOFR + 0.765%)⁽²⁾		09/22/27		430,000		427,158
1.58% (SOFR + 0.885%)⁽²⁾		04/22/27		425,000		425,965
2.01% (SOFR + 1.585%)⁽²⁾		03/13/26		505,000		517,766
3.56% (3 mo. USD LIBOR + 0.730%)⁽²⁾		04/23/24		385,000		403,162
Lloyds Banking Group PLC (United Kingdom)
1.63% (U.S. 1 year Treasury Constant Maturity Rate + 0.850%)⁽²⁾		05/11/27		395,000		394,806
2.86% (3 mo. USD LIBOR + 1.249%)⁽²⁾		03/17/23		275,000		278,081
3.87% (1 year Treasury Constant Maturity Rate + 3.500%)⁽²⁾		07/09/25		285,000		307,367
Macquarie Group, Ltd. 2.69% (SOFR + 1.440%)^(1),(2)		06/23/32		160,000		159,858
Morgan Stanley
1.51% (SOFR + 0.858%)⁽²⁾		07/20/27		840,000		836,430
1.59% (SOFR + 0.879%)⁽²⁾		05/04/27		425,000		426,347
NatWest Group PLC (United Kingdom) 4.27% (3 mo. USD LIBOR + 1.762%)⁽²⁾		03/22/25		530,000		572,029
Santander UK Group Holdings PLC (United Kingdom)
1.09% (SOFR + 0.787%)⁽²⁾		03/15/25		565,000		566,226
1.53% (U.S. 1 year Treasury Constant Maturity Rate + 1.250%)⁽²⁾		08/21/26		55,000		54,912
3.37% (3 mo. USD LIBOR + 1.080%)⁽²⁾		01/05/24		275,000		284,195
4.80% (3 mo. USD LIBOR + 1.570%)⁽²⁾		11/15/24		335,000		362,779
UBS AG/London 0.70%⁽¹⁾		08/09/24		425,000		424,086
Wells Fargo & Co.
2.16% (3 mo. USD LIBOR + 0.750%)⁽²⁾		02/11/26		115,000		118,668
2.39% (SOFR+ 2.100%)⁽²⁾		06/02/28		885,000		913,541
2.88% (SOFR+ 1.432%)⁽²⁾		10/30/30		205,000		214,508

						16,882,755

Beverages—0.5%
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc.
4.70%		02/01/36		250,000		302,538
4.90%		02/01/46		454,000		558,916
Bacardi, Ltd. 5.30%⁽¹⁾		05/15/48		205,000		267,794
Primo Water Holdings, Inc. 4.38%⁽¹⁾		04/30/29		415,000		414,421

						1,543,669

Biotechnology—0.1%
HCRX Investments Holdco LP 4.50%⁽¹⁾		08/01/29		280,000		281,751

Commercial Services—0.4%
Adtalem Global Education, Inc. 5.50%⁽¹⁾		03/01/28		190,000		192,101
HealthEquity, Inc. 4.50%^(1),(4)		10/01/29		285,000		289,876
IHS Markit, Ltd.
4.00%⁽¹⁾		03/01/26		243,000		267,655
4.75%⁽¹⁾		02/15/25		370,000		409,801

						1,159,433

Computers—0.1%
NCR Corp. 5.13%⁽¹⁾		04/15/29		285,000		294,234

Diversified Financial Services—0.8%
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Ireland)
3.65%		07/21/27		120,000		127,553
3.88%		01/23/28		130,000		138,871
3.95%		02/01/22		415,000		418,495
4.13%		07/03/23		135,000		142,263
Air Lease Corp. 3.50%		01/15/22		490,000		494,252
Avolon Holdings Funding, Ltd.
2.53%⁽¹⁾		11/18/27		406,000		399,639
2.88%⁽¹⁾		02/15/25		305,000		313,811
3.95%⁽¹⁾		07/01/24		85,000		90,261

TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS September 30, 2021 (Unaudited) (Cont’d)


Issues	Maturity Date		Principal Amount		Value
Park Aerospace Holdings, Ltd.
4.50%⁽¹⁾		03/15/23	$	110,000	$	114,970
5.50%⁽¹⁾		02/15/24		132,000		144,082

						2,384,197


Electric—0.4%
FirstEnergy Corp. 3.40%		03/01/50		450,000		433,737
FirstEnergy Transmission LLC 4.35%⁽¹⁾		01/15/25		750,000		820,032

						1,253,769


Engineering & Construction—0.1%
PowerTeam Services LLC 9.03%⁽¹⁾		12/04/25		254,000		275,831


Entertainment—0.2%
Caesars Entertainment, Inc. 6.25%⁽¹⁾		07/01/25		273,000		287,999
Cinemark USA, Inc. 5.25%⁽¹⁾		07/15/28		300,000		296,250

						584,249


Environmental Control—0.1%
GFL Environmental, Inc. (Canada)
4.75%⁽¹⁾		06/15/29		140,000		144,001
5.13%⁽¹⁾		12/15/26		157,000		164,880

						308,881


Food—0.9%
JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc.
3.75%⁽¹⁾		12/01/31		550,000		576,867
5.50%⁽¹⁾		01/15/30		25,000		27,837
Kraft Heinz Foods Co.
4.38%		06/01/46		210,000		239,780
5.00%		06/04/42		303,000		372,227
6.38%		07/15/28		210,000		259,772
Lamb Weston Holdings, Inc. 4.63%⁽¹⁾		11/01/24		120,000		122,200
Pilgrim’s Pride Corp.
4.25%⁽¹⁾		04/15/31		285,000		304,956
5.88%⁽¹⁾		09/30/27		250,000		265,545
Post Holdings, Inc. 4.50%⁽¹⁾		09/15/31		425,000		421,621

						2,590,805


Health Care-Products—0.1%
Mozart Debt Merger Sub, Inc. 3.88%^(1),(4)		04/01/29		284,000		284,000


Health Care-Services—1.4%
Centene Corp.
2.45%		07/15/28		635,000		638,461
3.00%		10/15/30		248,000		254,510
CommonSpirit Health 2.78%		10/01/30		135,000		139,073
HCA, Inc.
4.13%		06/15/29		208,000		232,486
5.00%		03/15/24		315,000		345,722
5.25%		06/15/49		312,000		398,910
5.63%		09/01/28		100,000		119,345
7.05%		12/01/27		235,000		293,235
Humana, Inc. 4.95%		10/01/44		125,000		160,335
ModivCare, Inc. 5.88%⁽¹⁾		11/15/25		270,000		285,863
Molina Healthcare, Inc.
3.88%⁽¹⁾		11/15/30		520,000		549,037
5.38%		11/15/22		140,000		144,508
Prime Healthcare Services, Inc. 7.25%⁽¹⁾		11/01/25		455,000		487,987

						4,049,472


Household Products/Wares—0.1%
Spectrum Brands, Inc. 3.88%⁽¹⁾		03/15/31		135,000		136,601


Insurance—1.2%
Acrisure LLC / Acrisure Finance, Inc. 4.25%⁽¹⁾		02/15/29		280,000		277,175
Athene Global Funding
1.61%⁽¹⁾		06/29/26		285,000		284,915
1.99%⁽¹⁾		08/19/28		425,000		420,312
Farmers Exchange Capital 7.05%⁽¹⁾		07/15/28		500,000		614,077
Farmers Insurance Exchange 4.75% (3 mo. USD LIBOR + 3.231%)^(1),(2)		11/01/57		5,000		5,684
Nationwide Mutual Insurance Co. 2.41% (3 mo. USD LIBOR + 2.290%)^(1),(2)		12/15/24		1,000,000		1,001,187
Teachers Insurance & Annuity Association of America 4.38% (3 mo. USD LIBOR + 2.661%)^(1),(2)		09/15/54		675,000		708,750

						3,312,100


Internet—0.1%
Tencent Holdings, Ltd. 3.68%⁽¹⁾		04/22/41		285,000		296,040


Machinery-Diversified—0.1%
Titan Acquisition, Ltd. / Titan Co-Borrower LLC 7.75%⁽¹⁾		04/15/26		140,000		143,427


Media—0.9%
Cable One, Inc. 4.00%⁽¹⁾		11/15/30		415,000		412,925
Charter Communications Operating LLC / Charter Communications Operating Capital
2.30%		02/01/32		165,000		157,337
5.38%		05/01/47		125,000		150,089
5.75%		04/01/48		150,000		190,490
CSC Holdings LLC 5.38%⁽¹⁾		02/01/28		25,000		26,156
Diamond Sports Group LLC / Diamond Sports Finance Co.
5.38%⁽¹⁾		08/15/26		522,000		346,926
6.63%⁽¹⁾		08/15/27		420,000		186,980
DIRECTV Holdings LLC / DIRECTV Financing Co., Inc. 5.88%⁽¹⁾		08/15/27		225,000		235,121
Scripps Escrow II, Inc. 5.38%⁽¹⁾		01/15/31		290,000		285,541
Sinclair Television Group, Inc. 4.13%⁽¹⁾		12/01/30		285,000		278,944
Virgin Media Secured Finance PLC (United Kingdom) 5.50%⁽¹⁾		05/15/29		225,000		237,431

						2,507,940


Mining—0.3%
Corp. Nacional del Cobre de Chile 3.15%⁽¹⁰⁾		01/14/30		350,000		362,215
Indonesia Asahan Aluminium Persero PT 6.53%⁽¹⁾		11/15/28		300,000		366,000

						728,215

TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS September 30, 2021 (Unaudited) (Cont’d)


Issues	Maturity Date		Principal Amount		Value
Miscellaneous Manufacturers—0.7%
General Electric Co. 0.60% (3 mo. USD LIBOR + 0.480%)⁽²⁾		08/15/36	$	2,400,000	$	2,095,139


Oil & Gas—1.0%
Endeavor Energy Resources LP / EER Finance, Inc. 5.50%⁽¹⁾		01/30/26		52,000		54,237
Hess Corp. 4.30%		04/01/27		380,000		422,290
KazMunayGas National Co. JSC 3.50%⁽¹⁰⁾		04/14/33		200,000		206,840
Occidental Petroleum Corp. 0.00%⁽¹¹⁾		10/10/36		513,000		283,432
Pertamina Persero PT (Indonesia) 3.10%⁽¹⁾		08/27/30		200,000		205,300
Petroleos Mexicanos
6.63%		06/15/35		385,000		367,194
6.75%		09/21/47		75,000		65,528
6.95%		01/28/60		130,000		113,120
7.69%		01/23/50		170,000		161,205
Petronas Capital, Ltd. 3.50%⁽¹⁾		04/21/30		200,000		217,080
Sunoco LP / Sunoco Finance Corp. 4.50%		05/15/29		425,000		433,455
Transocean Pontus, Ltd. 6.13%⁽¹⁾		08/01/25		68,340		68,556
Transocean Poseidon, Ltd. 6.88%⁽¹⁾		02/01/27		314,000		312,918

						2,911,155


Oil & Gas Services—0.2%
Archrock Partners LP / Archrock Partners Finance Corp. 6.25%⁽¹⁾		04/01/28		140,000		145,250
Transocean Proteus, Ltd. 6.25%⁽¹⁾		12/01/24		107,250		107,748
USA Compression Partners LP / USA Compression Finance Corp.
6.88%		04/01/26		162,000		168,885
6.88%		09/01/27		127,000		134,634

						556,517


Packaging & Containers—0.5%
Amcor Finance USA, Inc. 3.63%		04/28/26		400,000		436,460
Ball Corp. 4.00%		11/15/23		90,000		95,063
Berry Global, Inc.
1.57%⁽¹⁾		01/15/26		335,000		335,301
4.88%⁽¹⁾		07/15/26		85,000		89,361
Graphic Packaging International LLC 4.75%⁽¹⁾		07/15/27		130,000		141,212
Intertape Polymer Group, Inc. 4.38%⁽¹⁾		06/15/29		268,000		272,808
Sealed Air Corp. 4.00%⁽¹⁾		12/01/27		25,000		26,719

						1,396,924


Pharmaceuticals—1.5%
AbbVie, Inc.
4.05%		11/21/39		65,000		74,751
4.50%		05/14/35		816,000		976,465
Bayer US Finance II LLC
4.38%⁽¹⁾		12/15/28		590,000		668,493
4.63%⁽¹⁾		06/25/38		515,000		608,328
4.88%⁽¹⁾		06/25/48		285,000		349,350
Cigna Corp. 3.88%		10/15/47		170,000		189,429
CVS Health Corp. 5.05%		03/25/48		750,000		967,590
Endo Dac / Endo Finance LLC / Endo Finco, Inc. 6.00%⁽¹⁾		06/30/28		475,000		343,187
Endo Luxembourg Finance Co. I Sarl / Endo US, Inc. 6.13%⁽¹⁾		04/01/29		110,000		110,097

						4,287,690


Pipelines—1.6%
Enbridge Energy Partners LP 5.88%		10/15/25		50,000		58,289
Energy Transfer LP
5.15%		03/15/45		325,000		372,286
5.40%		10/01/47		831,000		991,931
6.63% (3 mo. USD LIBOR + 4.155%)^(2),(9)		12/31/99		634,000		618,942
NGL Energy Operating LLC / NGL Energy Finance Corp. 7.50%⁽¹⁾		02/01/26		225,000		229,723
Plains All American Pipeline LP / PAA Finance Corp. 3.80%		09/15/30		500,000		534,184
Rockies Express Pipeline LLC
4.80%⁽¹⁾		05/15/30		125,000		129,375
4.95%⁽¹⁾		07/15/29		425,000		442,663
Texas Eastern Transmission LP 2.80%⁽¹⁾		10/15/22		300,000		304,986
TransMontaigne Partners LP / TLP Finance Corp. 6.13%		02/15/26		265,000		272,288
Venture Global Calcasieu Pass LLC 3.88%⁽¹⁾		08/15/29		425,000		438,362

						4,393,029


REIT—1.3%
CyrusOne LP / CyrusOne Finance Corp.
2.90%		11/15/24		280,000		293,784
3.45%		11/15/29		1,045,000		1,089,496
GLP Capital LP / GLP Financing II, Inc.
5.30%		01/15/29		210,000		244,556
5.38%		04/15/26		621,000		706,822
5.75%		06/01/28		345,000		405,203
Hudson Pacific Properties LP 3.95%		11/01/27		275,000		301,371
Lexington Realty Trust 2.70%		09/15/30		275,000		278,634
Piedmont Operating Partnership LP 3.40%		06/01/23		425,000		439,863

						3,759,729


Retail—0.3%
1011778 BC ULC / New Red Finance, Inc. 3.50%⁽¹⁾		02/15/29		270,000		267,543
Michaels Cos, Inc. (The)
5.25%⁽¹⁾		05/01/28		175,000		180,731
7.88%⁽¹⁾		05/01/29		415,000		431,797

						880,071


Savings & Loans—0.2%
Nationwide Building Society (United Kingdom) 3.77% (3 mo. USD LIBOR + 1.064%)^(1),(2)		03/08/24		520,000		542,257

TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS September 30, 2021 (Unaudited) (Cont’d)


Issues	Maturity Date		Principal Amount		Value
Semiconductors—0.2%
Intel Corp. 3.05%		08/12/51	$	644,000	$	645,005


Software—0.2%
Change Healthcare Holdings LLC / Change Healthcare Finance, Inc. 5.75%⁽¹⁾		03/01/25		25,000		25,312
Oracle Corp.
2.88%		03/25/31		105,000		108,267
3.95%		03/25/51		497,000		527,103

						660,682


Telecommunications—3.4%
AT&T, Inc.
3.80%		12/01/57		503,000		515,639
4.75%		05/15/46		530,000		635,121
4.85%		03/01/39		348,000		417,416
5.25%		03/01/37		705,000		874,524
Frontier Communications Holdings LLC 5.00%⁽¹⁾		05/01/28		350,000		367,773
Intelsat Jackson Holdings S. A. (Luxembourg)
8.50%^(1),(12)		10/15/24		535,000		310,300
9.75%^(1),(12)		07/15/25		621,000		350,269
Level 3 Financing, Inc.
3.40%⁽¹⁾		03/01/27		75,000		79,018
3.88%⁽¹⁾		11/15/29		225,000		240,874
4.63%⁽¹⁾		09/15/27		176,000		181,289
Lumen Technologies, Inc. 5.38%⁽¹⁾		06/15/29		425,000		434,184
Qwest Corp. 7.25%		09/15/25		250,000		297,855
SES Global Americas Holdings GP 5.30%⁽¹⁾		03/25/44		675,000		773,426
Sprint Corp. 7.88%		09/15/23		373,000		417,238
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC 4.74%⁽¹⁾		03/20/25		1,080,625		1,155,458
T-Mobile USA, Inc.
2.25%		02/15/26		75,000		75,940
2.63%		04/15/26		489,000		500,286
3.88%		04/15/30		235,000		259,603
4.38%		04/15/40		350,000		403,671
4.75%		02/01/28		186,000		197,625
Verizon Communications, Inc. 2.55%		03/21/31		135,000		136,976
Vmed O2 UK Financing I PLC 4.25%⁽¹⁾		01/31/31		260,000		259,675
Vodafone Group PLC (United Kingdom) 4.88%		06/19/49		529,000		660,824

						9,544,984


Transportation—0.1%
Empresa de Transporte de Pasajeros Metro S.A. 3.65%⁽¹⁾		05/07/30		200,000		217,220


Total Corporate Bonds (Cost: $74,830,996)						77,596,488


MUNICIPAL BONDS—0.8%
Alabama Economic Settlement Authority, Revenue Bond 4.26%		09/15/32		705,000		810,641
County of Miami-Dade FL Aviation Revenue, Revenue Bond 3.45%		10/01/30		130,000		139,809
Metropolitan Transportation Authority, Revenue Bond 5.18%		11/15/49		55,000		74,670
New York State Dormitory Authority, Revenue Bond 5.29%		03/15/33		1,000,000		1,231,367

Total Municipal Bonds (Cost: $2,080,579)						2,256,487


FOREIGN GOVERNMENT BONDS—1.3%
Abu Dhabi Government International Bond 2.50%⁽¹⁰⁾		09/30/29		200,000		209,100
Brazilian Government International Bond 3.88%		06/12/30		200,000		194,207
Colombia Government International Bond 3.00%		01/30/30		450,000		425,385
Dominican Republic International Bond 4.50%⁽¹⁾		01/30/30		200,000		204,120
Egypt Government International Bond 5.25%⁽¹⁰⁾		10/06/25		200,000		204,343
Mexico Government International Bond 2.66%		05/24/31		438,000		422,933
Panama Government International Bond 3.16%		01/23/30		250,000		257,990
Philippine Government International Bond 2.46%		05/05/30		200,000		204,661
Qatar Government International Bond 4.50%⁽¹⁰⁾		04/23/28		350,000		408,807
Saudi Government International Bond
3.25%⁽¹⁰⁾		10/26/26		200,000		216,000
3.63%⁽¹⁰⁾		03/04/28		300,000		329,958
South Africa Government Bond 4.88%		04/14/26		350,000		375,305
Uruguay Government International Bond 4.38%		01/23/31		200,000		231,620

Total Foreign Government Bonds (Cost: $3,645,719)						3,684,429

Total Fixed Income Securities (Cost: $267,071,146)						267,313,743



Security			Shares
COMMON STOCK—7.2%
Agriculture—0.4%
Altria Group, Inc.				12,670		576,738
British American Tobacco PLC				15,706		554,108

						1,130,846


Banks—1.5%
Bank of America Corp.				20,516		870,904
Comerica, Inc.				9,417		758,069
JPMorgan Chase & Co.				7,204		1,179,223
Wells Fargo & Co.				29,225		1,356,332

						4,164,528


Oil & Gas—1.7%
BP PLC (SP ADR) (United Kingdom)				25,680		701,834
Chevron Corp.				6,954		705,483
Exxon Mobil Corp.				19,680		1,157,578
Royal Dutch Shell PLC (SP ADR) (United Kingdom)				18,856		840,412
Sunoco LP				19,213		717,029
TOTAL SA (SP ADR) (France)				16,370		784,614

						4,906,950


Oil & Gas Services—0.3%
USA Compression Partners LP				44,244		733,123

TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS September 30, 2021 (Unaudited) (Cont’d)


Security	Shares		Value
Pharmaceuticals—0.3%
Pfizer, Inc.		16,874	$	725,751


Pipelines—0.3%
Energy Transfer LP		103,400		990,572


REIT—2.0%
AGNC Investment Corp.		144,641		2,280,989
Annaly Capital Management, Inc.		165,767		1,395,758
Chimera Investment Corp.		48,368		718,265
Gaming and Leisure Properties, Inc.		15,119		700,312
New Residential Investment Corp.		55,339		608,729
				5,704,053

Telecommunications—0.7%
AT&T, Inc.		29,535		797,740
Lumen Technologies, Inc.		46,584		577,176
Verizon Communications, Inc.		10,086		544,745

				1,919,661

Total Common Stock (Cost: $15,325,115)				20,275,484

PURCHASED OPTIONS⁽¹³⁾ (0.0%) (Cost: $42,499)				82,500

MONEY MARKET INVESTMENTS—2.8%
State Street Institutional U.S. Government Money Market Fund—Premier Class, 0.03%⁽¹⁴⁾		7,977,620		7,977,620

Total Money Market Investments (Cost: $7,977,620)				7,977,620


Issues	Maturity Date		Principal Amount
SHORT TERM INVESTMENTS—8.1%
U.S. TREASURY SECURITIES—8.1%
U.S. Treasury Bill
0.03%⁽¹⁵⁾		01/06/22	$	3,000,000		2,999,758
0.04%⁽¹⁵⁾		02/10/22		15,000,000		14,997,800
0.04%⁽¹⁵⁾		03/03/22		5,000,000		4,999,176

Total U.S. Treasury Securities (Cost: $22,996,278)						22,996,734

Total Short Term Investments (Cost: $22,996,278)						22,996,734


Total Investments (112.7%) (Cost: $313,412,658)						318,646,081
Liabilities In Excess Of Other Assets (-12.7%)						(36,027,297	)


Net Assets (100.0%)					$	282,618,784

TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS September 30, 2021 (Unaudited) (Cont’d)

FUTURES CONTRACTS


Number of Contracts	Type	Expiration Date		Notional Contract Value			Value			Net Unrealized Appreciation (Depreciation)
Long Futures
189	5-Year U.S. Treasury Note Futures		12/31/21	$	23,330,913		$	23,198,274		$	(132,639	)

				$	23,330,913		$	23,198,274		$	(132,639	)

Short Futures
269	10-Year U.S. Ultra Treasury Note Futures		12/21/21	$	(39,773,567	)	$	(39,072,250	)	$	701,317
72	U.S. Ultra Long Bond Futures		12/21/21		(14,162,659	)		(13,756,500	)		406,159

				$	(53,936,226	)	$	(52,828,750	)	$	1,107,476

CENTRALLY CLEARED — INTEREST RATE SWAP AGREEMENTS


Notional Amount		Expiration Date		Payment Frequency		Payment Made by Fund	Payment Received by Fund	Unrealized Appreciation			Premium Paid		Value
	$6,380,000⁽¹⁶⁾		07/24/25		Quarterly	3-Month USD LIBOR	1.026%	$	(38,658	)	$	—	$	(38,658	)
	4,725,000⁽¹⁶⁾		07/24/25		Quarterly	3-Month USD LIBOR	1.034%		(27,886	)		—		(27,886	)
	3,190,000⁽¹⁶⁾		07/24/25		Quarterly	3-Month USD LIBOR	1.073%		(16,378	)		—		(16,378	)
	7,515,000⁽¹⁶⁾		09/28/25		Quarterly	3-Month USD LIBOR	1.390%		(3,305	)		—		(3,305	)
	530,000⁽¹⁶⁾		07/24/53		Quarterly	1.772%	3-Month USD LIBOR		25,033			—		25,033
	265,000⁽¹⁶⁾		07/24/53		Quarterly	1.081%	3-Month USD LIBOR		10,346			—		10,346
	400,000⁽¹⁶⁾		07/24/53		Quarterly	1.785%	3-Month USD LIBOR		17,722			—		17,722
	640,000⁽¹⁶⁾		09/28/53		Quarterly	1.870%	3-Month USD LIBOR		16,639			—		16,639

								$	(16,487	)	$	—	$	(16,487	)

PURCHASED OPTIONS — EXCHANGE TRADED


Description	Exercise Price		Expiration Date		Number of Contracts		Notional Amount		Market Value		Premiums Paid (Received) by Fund		Unrealized Appreciation (Depreciation)
Put
Eurodollar Futures	$	99.13		12/10/21		275,000	$	275,000	$	82,500	$	42,499	$	40,001

WRITTEN OPTIONS — EXCHANGE TRADED


Description	Exercise Price		Expiration Date		Number of Contracts			Notional Amount			Market Value			Premiums Paid (Received) by Fund			Unrealized Appreciation (Depreciation)
Put
Eurodollar Futures	$	98.75		12/10/21		(550,000	)	$	(550,000	)	$	(42,625	)	$	(32,753	)	$	(9,872	)

TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS September 30, 2021 (Unaudited) (Cont’d)

WRITTEN OPTIONS — EXCHANGE TRADED


Description	Exercise Price		Expiration Date		Number of Contracts			Notional Amount			Market Value			Premiums Paid (Received) by Fund			Unrealized Appreciation (Depreciation)
Call
AGNC Investment Corp.	$	18.00		12/17/21		(596	)	$	(939,892	)	$	(1,788	)	$	(18,217	)	$	16,429
Bank Of America Corp.		42.00		6/17/22		(103	)		(437,235	)		(42,488	)		(35,686	)		(6,802	)
Bank Of America Corp.		45.00		1/21/22		(102	)		(432,990	)		(15,606	)		(12,899	)		(2,707	)
JPMorgan Chase & Co.		170.00		3/18/22		(24	)		(392,856	)		(19,080	)		(14,195	)		(4,885	)
Pfizer, Inc.		50.00		3/18/22		(168	)		(722,568	)		(11,508	)		(81,726	)		70,218
Wells Fargo & Co.		47.50		10/15/21		(97	)		(450,177	)		(9,894	)		(9,551	)		(343	)
Wells Fargo & Co.		55.00		6/17/22		(97	)		(450,177	)		(19,254	)		(29,242	)		9,988

											$	(119,618	)	$	(201,516	)	$	81,898


Notes to the Schedule of Investments:
ABS				Asset-Backed Securities.
ACES				Alternative Credit Enhancement Securities.
CLO				Collateralized Loan Obligation.
EETC				Enhanced Equipment Trust Certificate.
I/F				Inverse Floating rate security whose interest rate moves in the opposite direction of prevailing interest rates.
I/O				Interest Only Security.
PAC				Planned Amortization Class.
SOFR				Secured Overnight Financing Rate.
TAC				Target Amortization Class.
TBA				To Be Announced.
(1)				Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only to qualified institutional buyers. At September 30, 2021, the value of these securities amounted to $98,383,161 or 34.8% of net assets. These securities are determined to be liquid by the Fund’s investment advisor, unless otherwise noted, under procedures established by and under the general supervision of the Fund’s Board of Directors.
(2)				Floating or variable rate security. The interest shown reflects the rate in effect at September 30, 2021.
(3)				Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.
(4)				This security is purchased on a when-issued, delayed-delivery or forward commitment basis.
(5)				A portion of the principal balance has been written-off during the period due to defaults in the underlying loans. Cost basis has been adjusted.
(6)				Restricted security (Note 2).
(7)				Security purchased on a forward commitment with an approximate principal amount. The actual principal amount and maturity date will be determined upon settlement when the security is delivered.
(8)				For fair value measurement disclosure purposes, security is categorized as Level 3. Security is valued using significant unobservable inputs.
(9)				Perpetual maturity.
(10)				Investments issued under Regulation S of the Securities Act of 1933, as amended, may not be offered, sold, or delivered within the United States except under special exemptions. At September 30, 2021, the value of these securities amounted to $1,937,263 or 0.7% of net assets.
(11)				Security is not accruing interest.
(12)				Security is currently in default due to bankruptcy or failure to make payment of principal or interest of the issuer. Income is not being accrued.
(13)				See options table for description of purchased options.
(14)				Rate disclosed is the 7-day net yield as of September 30, 2021.
(15)				Rate shown represents yield-to-maturity.
(16)				This instrument has a forward starting effective date.

TCW Strategic Income Fund, Inc.


Investments by Sector (Unaudited)		September 30, 2021


Sector	Percentage of Net Assets
Corporate Bonds		27.4	%
Residential Mortgage-Backed Securities—Non-Agency		26.9
Residential Mortgage-Backed Securities—Agency		12.1
Asset-Backed Securities		11.7
Commercial Mortgage-Backed Securities—Non-Agency		11.4
U.S. Treasury Securities		8.1
Common Stock		7.2
Commercial Mortgage-Backed Securities—Agency		3.0
Money Market Investments		2.8
Foreign Government Bonds		1.3
Municipal Bonds		0.8
Purchased Options		0.0	*
Other*		(12.7	)**

Total		100.0	%

*	Value rounds to less than 0.1% of net assets.

**	Includes capstock, futures, options, swap agreements, pending trades, interest receivable and accrued expenses payable.

TCW Strategic Income Fund, Inc.


Fair Valuation Summary (Unaudited)		September 30, 2021

The following is a summary of the fair valuations according to the inputs used as of September 30, 2021 in valuing the Fund’s investments:


Description	Quoted Prices in Active Markets for Identical Assets (Level 1)			Other Significant Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Total
Fixed Income Securities
Asset-Backed Securities	$	—		$	32,962,440		$	—	$	32,962,440
Mortgage-Backed Securities
Commercial Mortgage-Backed Securities—Agency		—			8,555,723			—		8,555,723
Commercial Mortgage-Backed Securities—Non-Agency		—			32,170,050			—		32,170,050
Residential Mortgage-Backed Securities—Agency		—			34,005,059			—		34,005,059
Residential Mortgage-Backed Securities—Non-Agency		—			70,393,827			5,689,240		76,083,067

Total Mortgage-Backed Securities		—			145,124,659			5,689,240		150,813,899

Corporate Bonds*		—			77,596,488			—		77,596,488
Municipal Bonds		—			2,256,487			—		2,256,487
Foreign Government Bonds		—			3,684,429			—		3,684,429

Total Fixed Income Securities		—			261,624,503			5,689,240		267,313,743

Common Stock*		20,275,484			—			—		20,275,484
Purchased Options		82,500			—			—		82,500
Money Market Investments		7,977,620			—			—		7,977,620
Short Term Investments		22,996,734			—			—		22,996,734

Total Investments	$	51,332,338		$	261,624,503		$	5,689,240	$	318,646,081

Asset Derivatives
Futures Contracts
Interest Rate Risk		1,107,476			—			—		1,107,476
Swap Agreements
Interest Rate Risk		—			69,740			—		69,740

Total	$	52,439,814		$	261,694,243		$	5,689,240	$	319,823,297

Liability Derivatives
Futures Contracts
Interest Rate Risk	$	(132,639	)	$	—		$	—	$	(132,639	)
Swap Agreements
Interest Rate Risk		—			(86,227	)		—		(86,227	)
Written Options
Interest Rate Risk		(42,625	)		—			—		(42,625	)
Equity Risk		(119,618	)		—			—		(119,618	)

Total	$	(294,882	)	$	(86,227	)	$	—	$	(381,109	)

*	See Schedule of Investments for corresponding industries.

Note 1 — Security Valuations

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

Securities for which market quotations are not readily available, including in 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 each member thereof, a “Director”) 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 its financial statements in a three-tier hierarchy. This hierarchy is utilized to establish classification of fair value measurements based on inputs. Inputs that go into fair value measurement refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability, developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the inputs market participants would use in pricing the asset or liability, developed based on the best information available in the circumstances.

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

Level 1 — quoted prices in active markets for identical investments.

Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).

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

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

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

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

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

Asset-backed securities (“ABS”) and mortgage-backed securities (“MBS”). The fair value of ABS and MBS is estimated based on pricing models that consider the estimated cash flows of each debt tranche of the issuer, establish a benchmark yield, and develop an estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche including, but not limited to, the prepayment speed assumptions and attributes of the collateral. To the extent the inputs are observable and timely, the values would be categorized 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; in instances where prices, spreads, or any of the other aforementioned key inputs are unobservable, they are categorized in Level 3 of the hierarchy.

Equity securities. Securities are generally valued based on quoted prices from the applicable exchange. To the extent these securities are actively traded and valuation adjustments are not applied, they are generally categorized in Level 1 of the fair value hierarchy. Restricted securities issued by publicly held companies are generally categorized in Level 2 of the fair value hierarchy; if a discount is applied and significant, they are categorized in Level 3. Restricted securities held in non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and therefore the inputs are unobservable. Certain foreign securities that are fair valued using a pricing service that considers the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets are categorized 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 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-wanted lists, offerings, market movements, the callability of the bond, state of issuance, benchmark yield curves, and bond insurance. To the extent that these inputs are observable and timely, the fair values of municipal bonds are categorized in Level 2; otherwise, the fair values are categorized in Level 3.

Options contracts. Option contracts traded on securities exchanges are fair valued using market mid prices; as such, they are categorized in Level 1. Option contracts traded OTC are fair valued based on pricing models and incorporate various inputs such as interest rate, credit spreads, currency exchange rates and volatility measurements for in-the-money, at the-money, and out-of-money contracts on a given strike price. To the extent that these inputs are observable and timely, the fair value of OTC option contracts would be categorized in Level 2; otherwise, the fair values would be categorized in Level 3.

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

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

The summary of the inputs used as of September 30, 2021 in valuing the Fund’s investments 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:


	Residential Mortgage-Backed Securities — Non- Agency
Balance as of December 31, 2020	$	7,225,731
Accrued Discounts (Premiums)		(607,195	)
Realized Gain (Loss)		—
Change in Unrealized Appreciation (Depreciation)		(929,296	)
Purchases		—
Sales		—
Transfers in to Level 3		—
Transfers out of Level 3		—

Balance as of September 30, 2021	$	5,689,240

Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2021	$	(929,296	)

Significant unobservable valuation inputs for Level 3 investments as of September 30, 2021, are as follows:


Description	Fair Value at September 30, 2021		Valuation Techniques		Unobservable Input		Price or Price Range		Weighted Average Price
Residential Mortgage-Backed Securities— Non-Agency (Interest Only Collateral Strip Rate Securities)	$	717,409		Third-party Vendor		Vendor Prices	$	0.452 to $2.274	$	1.029
Residential Mortgage-Backed Securities— Non-Agency (Interest Only Securities)	$	4,971,831		Third-party Vendor		Vendor Prices	$	2.500 to $30.210	$	9.594

Derivative Instruments: Derivatives are financial instruments which are valued based on the values of one or more indicators, such as a security, asset, currency, interest rate, or index. Derivative transactions can create investment leverage and may be highly volatile. A derivative contract may result in a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. It is possible that a derivative transaction will result in a loss greater than the principal amount invested. The Fund may not be able to close out a derivative transaction at a favorable time or price.

For the quarter ended September 30, 2021, the Fund had derivatives and transactions in derivatives, grouped in the following risk categories:

Asset Derivatives


	Equity Risk			Interest Rate Risk			Total
Investments⁽¹⁾	$	—		$	82,500		$	82,500
Swaps Agreements		—			69,740			69,740
Futures Contracts		—			1,107,476			1,107,476

Total Value	$	—		$	1,259,716		$	1,259,716

Liability Derivatives
Written Options	$	(119,618	)	$	(42,625	)	$	(162,243	)
Swap Agreements		—			(86,227	)		(86,227	)
Futures Contracts		—			(132,639	)		(132,639	)

Total Value	$	(119,618	)	$	(261,491	)	$	(381,109	)

Number of Contracts⁽²⁾
Futures Contracts		—			152			152
Options Purchased		—			308,333			308,333
Swaps Agreements	$	—		$	18,208,333		$	18,208,333
Written Options		247			616,666			619,913

(1)

Represents purchased options at value.

(2)

Amount disclosed represents average number of contracts or notional amounts, which are representative of the volume traded for the period ended September 30, 2021.

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

Mortgage pass-through securities differ from other forms of debt securities which normally provide for periodic payment of interest in fixed amounts with principal payments at maturity or specified call dates. The Fund may also invest in Collateralized Mortgage Obligations (“CMOs”). CMOs are debt obligations collateralized by residential or commercial mortgage loans or residential or commercial mortgage pass-through securities. Interest and principal are generally paid monthly. CMOs may be collateralized by whole mortgage loans or private mortgage pass-through securities but are more typically collateralized by portfolios of mortgage pass-through securities guaranteed by the Government National Mortgage Association (Ginnie Mae), Federal Home Loan Mortgage Corporation (Freddie Mac) or Federal National Mortgage Corporation (Fannie Mae). The issuer of a series of CMOs may elect to be treated for tax purposes as a Real Estate Mortgage Investment Conduit. CMOs are structured into multiple classes, each bearing a different stated maturity. Monthly payment of principal received from the pool of underlying mortgages, including prepayments, is first returned to investors holding the shortest maturity class. Investors holding the longer maturity classes usually receive principal only after shorter classes have been retired. An investor may be partially protected against a sooner than desired return of principal because of the sequential payments. The Fund may invest in stripped MBS. Stripped MBS are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. In certain cases, one class will receive all of the interest (the interest only or “IO” class), while the other class will receive all of the principal (the principal only or “PO” class). The yield to maturity on IOs is sensitive to the rate of principal repayments (including prepayments) on the related underlying mortgage assets, and principal payments may have a material effect on yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, the Fund may not fully recoup its initial investment in IOs. Mortgage-backed securities held by the fund at September 30, 2021 are listed in the Fund’s Schedule of Investments.

Repurchase Agreements: The Fund may enter into repurchase agreements under the terms of a Master Repurchase Agreement (“MRA”). In a repurchase agreement, the Fund purchases a security from a counterparty who agrees to repurchase the same security at a mutually agreed upon date and price. The MRA permits the Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, the Fund receives securities as collateral with a market value in excess of the repurchase price. Upon a bankruptcy or insolvency of the MRA counterparty, the Fund recognizes a liability with respect to such excess collateral to reflect the Fund’s obligation under bankruptcy law to return the excess to the counterparty. The Fund had no repurchase agreements outstanding at September 30, 2021.

When-Issued, Delayed-Delivery, To Be Announced (“TBA”) and Forward Commitment Transactions: The Fund may enter into when-issued, delayed-delivery, TBA or forward commitment transactions in order to lock in the purchase price of the underlying security or to adjust the interest rate exposure of the Fund’s existing portfolio. In when-issued, delayed-delivery, TBA or forward commitment transactions, the Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. Although the Fund does not pay for the securities or start earning interest on them until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If the Fund’s counterparty fails to deliver a security purchased on a when-issued, delayed-delivery, TBA or forward commitment basis, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.

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

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 September 30, 2021.

Derivatives:

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 may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of the foreign currency relative to the U.S. dollar. The Fund did not have any foreign currency forward contracts as of September 30, 2021.

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

When the Fund uses futures contracts for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part. When a futures contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. During the period ended September 30, 2021, the Fund utilized treasury futures to help manage interest rate duration and credit market exposure. Futures contracts outstanding at September 30, 2021 are listed in the Fund’s Schedule of Investments.

Options: The Fund may purchase and sell put and call options on a security or an index of securities to enhance investment performance and/or to protect against changes in market prices. The Fund may also enter into currency options to hedge against or to take advantage of currency fluctuations.

A call option gives the holder the right to purchase, and obligates the writer to sell, a security at the strike price at any time before the expiration date. A put option gives the holder the right to sell, and obligates the writer to buy, a security at the exercise price at any time before the expiration date. A Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. A Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If a Fund holds the security underlying the option, the option premium and any transaction costs will reduce any profit the Fund might have realized had it sold the underlying security instead of buying the put option. A Fund may purchase call options to hedge against an increase in the price of securities that the Fund ultimately wants to buy. A Fund may also purchase a call option as a long directional investment hoping to profit from an anticipated increase in the value of the underlying security. In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit a Fund might have realized had it bought the underlying security at the time it purchased the call option.

Purchasing foreign currency options gives a Fund the right, but not the obligation, to buy or sell specified amounts of currency at a rate of exchange that may be exercised by a certain date. These currency options may be used as a short or long hedge against possible variations in foreign exchange rates or to gain exposure to foreign currencies.

When a Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the underlying security does not rise (in the case of a call) or fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. Premiums paid for purchasing options that expire are treated as realized losses.

Options purchased or sold by a Fund may be traded on a securities or options exchange. Such options typically have minimal exposure to counterparty risk. However, an exchange or market may at times find it necessary to impose restrictions on particular types of options transactions, such as opening transactions. If an underlying security ceases to meet qualifications imposed by an exchange or the Options Clearing Corporation, new series of options on that security will no longer be opened to replace the expiring series, and opening transactions in existing series may be prohibited.

OTC options are options not traded on exchanges or backed by clearinghouses. Rather, they are entered into directly between a Fund and the counterparty to the option. In the case of an OTC option purchased by a Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result a Fund may be required to remain obligated on an unfavorable OTC option until its expiration. During the period ended September 30, 2021, the Fund entered into written option contracts to gain exposure to the equity market.

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

In a total return swap, one party typically agrees to pay to the other a short-term interest rate in return for a payment at one or more times in the future based on the increase in the value of an underlying security or other asset, or index of securities or assets; if the underlying security, asset, or index declines in value, the party that pays the short-term interest rate must also pay to its counterparty a payment based on the amount of the decline. The Fund may take either side of such a swap, and so may take a long or short position in the underlying security, asset, or index. The Fund may enter into a total return swap to hedge against an exposure in its portfolio — such as interest rate risk (including to adjust the duration or credit quality of the Fund’s bond portfolio), equity risk, or credit risk — or generally to put cash to work efficiently in the markets in anticipation of, or as a replacement for, cash investments. The Fund may also enter into a total return swap to gain exposure to securities or markets in which it might not be able to invest directly (in so-called market access transactions).

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

The Fund may enter into credit default swap transactions as a “buyer” or “seller” of credit protection. In a credit default swap, one party provides what is in effect insurance against a default or other adverse credit event affecting an issuer of debt securities (typically referred to as a “reference entity”). In general, the buyer of credit protection is obligated to pay the protection seller an upfront amount or a periodic stream of payments over the term of the swap. If a “credit event” occurs, the buyer has the right to deliver to the seller bonds (or other obligations of the reference entity with a value up to the full notional value of the swap), and to receive a payment equal to the par value of the bonds or other obligations. Credit events that would trigger a request that the seller make payment are specific to each credit default swap agreement, but generally include bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium. When the Fund buys protection, it may or may not own securities of the reference entity. When the Fund sells protection under a credit default swap, the position may have the effect of creating leverage in the Fund’s portfolio through the Fund’s indirect long exposure to the issuer or securities on which the swap is written. When the Fund sells protection, it may do so either to earn additional income or to create such a “synthetic” long position.

Whenever the Fund enters into a swap agreement, it takes on counterparty risk — the risk that its counterparty will be unable or unwilling to meet its obligations under the swap agreement. The Fund also takes the risk that the market will move against its position in the swap agreement. In the case of a total return swap, the swap will change in value depending on the change in value of the asset or index on which the swap is written. When the Fund enters into any type of swap for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the swap, at least in part. Swap agreements may be non-transferable or otherwise highly illiquid, and the Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.

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

During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security. These periodic payments received or made by the Fund are recorded as realized gains and losses, respectively. During the period ended September 30, 2021, 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). The swap agreements outstanding at September 30, 2021 are listed on the Schedule of Investments.

Note 2 — Restricted Securities

The Fund is permitted to invest in securities that have legal or contractual restrictions on resale. These securities may be sold privately, but are required to be registered before being sold to the public (exemption rules apply). Private placement securities are generally considered to be restricted except for those securities traded between qualified institutional investors under the provisions of Rule 144A of the Securities Act of 1933, as amended (the “Securities Act”). However, the Fund considers 144A securities to be restricted if those securities have been deemed illiquid. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Restricted securities held by the Fund at September 30, 2021 are listed below:


Issuer Description	Acquisition Date		Acquisition Cost		Aggregate Value		Percentage of Net Assets
Citigroup Commercial Mortgage Trust (12-GC8-XA), 1.89%, due 09/10/45		2/13/2015-2/26/2015	$	286,779	$	26,671		0.01	%
GS Mortgage Securities Trust (12-GC6-XB), 0.32%, due 01/10/2045		2/1/2018		141,260		10,704		0.00	%
JPMorgan Chase Commercial Mortgage Securities Trust (12-HSBC-XA), 1.58%, due 07/05/2032		10/11/2017		253,694		31,165		0.01	%
Morgan Stanley Capital I Trust (12-C4-XA), 2.05%, due 03/15/45		5/16/2018		132,252		1,174		0.00	%
UBS Commercial Mortgage Trust (12-C1-XA), 2.20%, due 05/10/45		6/27/2017		319,452		26,858		0.01	%
WFRBS Commercial Mortgage Trust (12-C8-XA), 1.94%, due 08/15/2045		12/22/2017		275,087		25,765		0.01	%

			$	1,408,524	$	122,337		0.04	%