UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
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Investment Company Act file number |
811-4980 |
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TCW Strategic Income Fund, Inc. |
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(Exact name of registrant as specified in charter) |
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865 South Figueroa Street, Suite 1800, Los Angeles, CA |
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90017 |
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(Address of principal executive offices) |
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(Zip code) |
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Philip K. Holl, Esq. |
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(Name and address of agent for service) |
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Registrant’s telephone number, including area code: |
(213) 244-0000 |
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Date of fiscal year end: |
December 31, 2009 |
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Date of reporting period: |
March 31, 2009 |
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Item 1. Schedule of Investments. The schedule of investments for the period ending January 1, 2009 through March 31, 2009 is filed herewith.
TCW Strategic Income Fund, Inc.
SCHEDULE OF INVESTMENTS–MARCH 31, 2009 (UNAUDITED)
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Principal |
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Value |
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Fixed Income Securities |
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Asset Backed Securities (0.2% of Net Assets) |
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Banking (0.2%) |
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$ |
2,500,000 |
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Ameriquest Mortgage Securities, Inc., (06-R2-M10), 3.022%, due 04/25/36 (1) (2) |
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$ |
31,250 |
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2,000,000 |
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Carrington Mortgage Loan Trust, (06-FRE2-M10), (144A), 2.522%, due 10/25/36 (Cost $1,762,231, Acquired 10/05/2006) (1) (2) (3) (4) |
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15,000 |
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2,000,000 |
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Carrington Mortgage Loan Trust, (06-NC1-M10), (144A), 3.522%, due 01/25/36 (Cost $1,882,813, Acquired 05/19/2006) (1) (2) (3) (4) |
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185,000 |
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1,500,000 |
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Countrywide Asset-Backed Certificates, (06-26-B), (144A), 2.272%, due 06/25/37 (Cost $1,229,772, Acquired 12/19/2006) (1) (2) (3) (4) |
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7,050 |
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2,000,000 |
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Countrywide Asset-Backed Certificates, (07-6-M8), 2.522%, due 09/25/37 (1) (2) |
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20,000 |
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763,129 |
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Countrywide Asset-Backed Certificates, (06-5-B), 2.922%, due 08/25/36 (1) (2) (5) |
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992 |
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483,266 |
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HSI Asset Securitization Corp. Trust, (06-OPT3-M9), 2.522%, due 02/25/36 (1) (2) (5) |
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302 |
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1,740,000 |
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HSI Asset Securitization Corp. Trust, (07-HE2-M8), 3.022%, due 04/25/37 (1) (2) |
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34,800 |
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1,000,000 |
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Saxon Asset Securities Trust, (07-1-B2), 2.772%, due 01/25/47 (1) (2) |
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30,000 |
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2,000,000 |
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Saxon Asset Securities Trust, (06-2-B4), 3.022%, due 09/25/36 (1) (2) |
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15,000 |
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2,000,000 |
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Structured Asset Securities Corp., (06-WF1-M9), 2.522%, due 02/25/36 (1) (2) |
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15,000 |
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2,700,000 |
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Structured Asset Securities Corp., (07-EQ1-M9), 3.022%, due 03/25/37 (1) (2) |
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20,250 |
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Total Banking |
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374,644 |
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Total Asset Backed Securities (Cost: $18,424,472) |
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374,644 |
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Collateralized Debt Obligations (0.6%) |
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Banking (0.0%) |
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1,000,000 |
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FM Leveraged Capital Fund, (06-2A-E), (144A), 4.98%, due 11/15/20 (Cost $1,000,000, Acquired 10/31/2006) (1) (2) (3) (4) (6) |
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30,000 |
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Diversified Financial Services-Multi-Sector Holdings (0.0%) |
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1,500 |
(9) |
Mantoloking CDO, Ltd., (144A), 0%, due 09/28/46 (Cost $1,417,500, Acquired 11/21/2006) (1) (2) (3) (4) (6) (7) (8) |
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— |
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487,728 |
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Mantoloking CDO, Ltd., (06-1A-E), (144A), 0%, due 08/28/46 (Cost $487,728, Acquired 11/21/2006) (1) (2) (3) (4) (6) (7) (8) |
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— |
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Total Diversified Financial Services-Multi-Sector Holdings |
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— |
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Diversified Financial Services-Specialized Finance (0.6%) |
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1,500 |
(9) |
ACA CLO, Ltd., (06-2), (144A), 11.42%, due 01/09/21 (Cost $1,395,000, Acquired 11/28/2006) (1) (2) (3) (4) |
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30,000 |
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4,000,000 |
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ARES CLO, (06-5RA), (144A), 0%, due 02/24/18 (Cost $3,840,000, Acquired 03/08/2006) (1) (2) (3) (4) (6) |
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20,000 |
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2,000,000 |
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Avenue CLO, Ltd., (07-6A), (144A), 0%, due 07/17/19 (Cost $1,840,000, Acquired 04/24/2007) (1) (2) (3) (4) (6) |
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20,000 |
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1,000 |
(9) |
Centurion CDO VII, Ltd., (144A), 15.67%, due 01/30/16 (Cost $760,000, Acquired 11/01/2006) (1) (2) (3) (4) |
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50,000 |
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2,000,000 |
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Clydesdale CLO, Ltd., (06-1A), (144A), 14.33%, due 12/19/18 (Cost $1,860,000, Acquired 01/16/2007) (1) (2) (3) (4) (8) |
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80,000 |
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1,000,000 |
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CW Capital Cobalt, (06-2A-K), (144A), 7.06%, due 04/26/50 (Cost $1,000,000, Acquired 04/12/2006) (1) (2) (3) (4) (6) |
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40,000 |
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1,000,000 |
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CW Capital Cobalt II, (06-2A-PS), (144A), 6.49%, due 04/26/50 (Cost $940,000, Acquired 04/12/2006) (1) (2) (3) (4) (8) |
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115,000 |
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857,103 |
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De Meer Middle Market CLO, Ltd., (06-1A-E), (144A), 4.41%, due 10/20/18 (Cost $918,497, Acquired 08/03/2006) (1) (2) (3) (4) (6) |
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42,855 |
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See accompanying Notes to Schedule of Investments.
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Principal |
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Value |
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$ |
1,771,501 |
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De Meer Middle Market CLO, Ltd., (06-1A), (144A), 17.65%, due 10/20/18 (Cost $1,734,261, Acquired 08/03/2006) (1) (3) (4) (6) |
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$ |
53,145 |
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2,000,000 |
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Duane Street CLO, (06-3-A), (144A), 18.09%, due 01/11/21 (Cost $1,860,000, Acquired 11/15/2006) (1) (3) (4) (6) |
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20,000 |
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2,000 |
(9) |
FM Leveraged Capital Fund II, (06-1A-PS), (144A), 0%, due 11/20/20 (Cost $1,860,000, Acquired 10/31/2006) (1) (2) (3) (4) (6) |
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20,000 |
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2,000,000 |
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Galaxy CLO, Ltd., (06-6I), 0%, due 06/13/18 (1) (8) |
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60,000 |
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2,000,000 |
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Galaxy CLO, Ltd., (06-7A), (144A), 0%, due 10/13/18 (Cost $1,900,000, Acquired 08/04/2006) (1) (3) (4) |
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20,000 |
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2,000,000 |
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LCM CDO, LP, (5I), 11.12%, due 03/21/19 (1) (6) (8) |
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80,000 |
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3,500,000 |
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Octagon Investment Partners X, Ltd., (06-10A), (144A), 9.29%, due 10/18/20 (Cost $3,325,000, Acquired 08/10/2006) (1) (3) (4) (6) |
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175,000 |
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3,000,000 |
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Prospect Park CDO, Ltd., (06-1I), 17.24%, due 07/15/20 (1) (6) (8) |
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90,000 |
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1,750,000 |
(9) |
Vertical CDO, Ltd., (06-1), (144A), 0%, due 04/22/46 (Cost $1,697,500, Acquired 05/16/2006) (1) (2) (3) (4) (6) |
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17,500 |
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1,000,000 |
(9) |
Whitehorse
III, Ltd., (144A), 0%, due 05/01/18 (Cost $900,000, Acquired |
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50,000 |
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Total Diversified Financial Services-Specialized Finance |
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983,500 |
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Thrifts & Mortgage Finance (0.0%) |
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10,000 |
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Bering CDO, Ltd., (06-1A), (144A), 0%, due 09/07/46 (Cost $870,000, Acquired 08/03/2006) (1) (2) (3) (4) (6) (7) (8) |
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— |
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1,144,518 |
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Bering CDO, Ltd., (06-1A-C), (144A), 0%, due 09/07/46 (Cost $1,000,000, Acquired 08/03/2006) (1) (2) (3) (4) (6) (7) (8) |
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— |
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2,000,000 |
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Fortius Funding, Ltd., (06-2-A), (144A), 0%, due 02/03/42 (Cost $1,900,000, Acquired 11/03/2006) (1) (2) (3) (4) (6) (7) |
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— |
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1,055,060 |
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Fortius Funding, Ltd., (06-2-AE), (144A), 0%, due 02/03/42 (Cost $955,559, Acquired 11/06/2006) (1) (2) (3) (4) (6) (7) |
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106 |
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1,000 |
(9) |
Fortius I Funding, Ltd., (144A), 0%, due 07/12/41 (Cost $970,000, Acquired 03/13/2006) (1) (2) (3) (4) (6) (7) |
|
100 |
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1,744,763 |
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Hudson Mezzanine Funding, (06-1-AE), (144A), 0%, due 04/12/42 (Cost $1,553,359, Acquired 10/25/2006) (1) (2) (3) (4) (6) (7) |
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— |
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1,500,000 |
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Hudson Mezzanine Funding, (06-1A-INC), (144A), 0%, due 04/12/42 (Cost $1,395,000, Acquired 10/25/2006) (1) (2) (3) (4) (6) (7) |
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— |
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2,000,000 |
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Vertical CDO, Ltd., (06-2A), (144A), 0%, due 05/09/46 (Cost $1,860,000, Acquired 05/19/2006) (1) (2) (3) (4) (6) (7) (8) |
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— |
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2,269,605 |
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Vertical CDO, Ltd., (06-2A-C), (144A), 0%, due 05/09/46 (Cost $2,171,422, Acquired 05/19/2006) (1) (2) (3) (4) (6) (7) (8) |
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— |
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Total Thrifts & Mortgage Finance |
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206 |
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Total Collateralized Debt Obligations (Cost: $1,013,706) |
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1,013,706 |
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Collateralized Mortgage Obligations (119.6%) |
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Banking (3.2%) |
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2,278,766 |
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Bear Stearns Asset-Backed Securities Trust, (06-IM1-A1), 0.752%, due 04/25/36 (2) |
|
921,238 |
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|
4,640,000 |
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Countrywide Asset-Backed Certificates, (06-15-A6), 5.826%, due 10/25/46 |
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2,427,067 |
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|
5,000,000 |
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Soundview Home Equity Loan Trust, (06-WF1-A3), 5.655%, due 10/25/36 |
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2,210,384 |
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Total Banking |
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5,558,689 |
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Private Mortgage-Backed Securities (53.8%) |
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|
5,250,000 |
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Adjustable Rate Mortgage Trust, (05-11-2A3), 5.323%, due 02/25/36 (2) |
|
3,100,128 |
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See accompanying Notes to Schedule of Investments.
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Principal |
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Value |
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$ |
3,038,423 |
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Adjustable Rate Mortgage Trust, (05-4-6A22), 5.289%, due 08/25/35 (2) |
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$ |
1,654,407 |
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|
4,065,093 |
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American Home Mortgage Assets, (05-2-2A1A), 5.901%, due 01/25/36 (2) |
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2,958,843 |
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3,824,260 |
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Banc of America Funding Corp., (07-6-A2), 0.802%, due 07/25/37 (2) |
|
1,984,192 |
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|
2,555,485 |
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Bear Stearns Alternative Loan Trust, (06-2-22A1), 5.889%, due 03/25/36 (2) |
|
1,120,574 |
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|
3,500,000 |
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Citi Mortgage Alternative Loan Trust, (06-A3-1A7), 6%, due 07/25/36 |
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2,328,774 |
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|
2,745,399 |
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Citigroup Mortgage Loan Trust, Inc., (06-AR6-1A1), 6.057%, due 08/25/36 (2) |
|
1,626,234 |
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|
3,194,688 |
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Countrywide Alternative Loan Trust, (06-15CB-A1), 6.5%, due 06/25/36 |
|
1,609,244 |
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|
3,000,000 |
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Countrywide Alternative Loan Trust, (07-11T1-A21), 6%, due 05/25/37 |
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1,406,174 |
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|
4,000,000 |
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Countrywide Alternative Loan Trust, (07-12T1-A5), 6%, due 06/25/37 |
|
2,350,278 |
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|
1,833,750 |
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Countrywide Alternative Loan Trust, (07-19-1A34), 6%, due 08/25/37 |
|
854,958 |
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|
3,000,000 |
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Countrywide Alternative Loan Trust, (07-19-1A4), 6%, due 08/25/37 |
|
1,450,703 |
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|
2,737,655 |
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Countrywide Alternative Loan Trust, (07-9T1-2A3), 6%, due 05/25/37 |
|
1,340,398 |
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|
2,280,543 |
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Countrywide Home Loans, (04-HYB4-B1), 4.587%, due 09/20/34 (2) |
|
1,370,958 |
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|
194,412,266 |
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Countrywide Home Loans, (06-14-X), 0.341%, due 09/25/36 (I/O) (2) |
|
1,722,376 |
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|
240,728,248 |
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Countrywide Home Loans, (06-15-X), 0.388%, due 10/25/36 (I/O) (2) |
|
2,135,789 |
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|
4,501,092 |
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Countrywide Home Loans, (06-HYB2-1A1), 5.302%, due 04/20/36 (2) |
|
2,070,101 |
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|
3,900,000 |
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Countrywide Home Loans, (07-J2-2A6), 6%, due 07/25/37 |
|
1,332,509 |
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|
3,686,789 |
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Credit Suisse First Boston Mortgage Securities Corp., (05-12-1A1), 6.5%, due 01/25/36 |
|
3,051,408 |
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|
35,601,882 |
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Credit Suisse Mortgage Capital Certificates, (06-9-7A2), 6.028%, due 11/25/36 (I/O) (I/F) (2) |
|
2,213,234 |
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|
2,473,939 |
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Credit Suisse Mortgage Capital Certificates, (07-5-DB1), 7.077%, due 08/25/37 (2) |
|
183,033 |
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|
3,106,994 |
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Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, (06-AR6-A6), 0.712%, due 02/25/37 (2) |
|
1,144,996 |
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|
2,533,174 |
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GSC Capital Corp. Mortgage Trust, (06-2-A1), 0.702%, due 05/25/36 (2) |
|
978,058 |
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|
6,728,034 |
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GSR Mortgage Loan Trust, (03-7F-1A4), 5.25%, due 06/25/33 |
|
4,583,471 |
|
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|
1,022,809 |
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GSR Mortgage Loan Trust, (04-3F-2A10), 16.44%, due 02/25/34 (I/F)(2) |
|
932,215 |
|
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|
2,170,385 |
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GSR Mortgage Loan Trust, (05-AR3-6A1), 5.02%, due 05/25/35 (2) |
|
1,105,849 |
|
||
|
3,907,812 |
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GSR Mortgage Loan Trust, (06-1F-1A5), 27.655%, due 02/25/36 (I/F) (TAC)(2) |
|
3,975,838 |
|
||
|
4,279,234 |
|
JP Morgan Alternative Loan Trust, (07-A1-2A1), 5.918%, due 03/25/37 (2) |
|
2,900,838 |
|
||
|
4,202,067 |
|
JP Morgan Mortgage Trust, (07-S2-1A1), 5%, due 06/25/37 |
|
2,708,638 |
|
||
|
4,156,481 |
|
Lehman XS Trust, (07-14H-A211), 0.782%, due 07/25/47 (2) |
|
2,564,527 |
|
||
|
3,599,837 |
|
MASTR Alternative Loans Trust, (07-HF1-4A1), 7%, due 10/25/47 |
|
1,909,039 |
|
||
|
3,874,533 |
|
Morgan Stanley Mortgage Loan Trust, (06-2-6A), 6.5%, due 02/25/36 |
|
2,349,283 |
|
||
|
3,684,684 |
|
Morgan Stanley Mortgage Loan Trust, (07-13-6A1), 6%, due 10/25/37 |
|
2,025,894 |
|
||
|
3,090,306 |
|
Morgan Stanley Mortgage Loan Trust, (07-14AR-6A1), 6.434%, due 11/25/37 (2) |
|
1,409,886 |
|
||
|
3,221,926 |
|
Morgan Stanley Mortgage Loan Trust, (07-15AR-4A1), 6.586%, due 11/25/37 (2) |
|
1,628,059 |
|
||
|
2,000,000 |
|
Nomura Asset Acceptance Corp., (07-1-1A2), 5.669%, due 03/25/47 (2) |
|
1,148,998 |
|
||
|
2,500,000 |
|
Novastar Home Equity Loan, (04-2-M4), 1.722%, due 09/25/34 (2) |
|
1,066,487 |
|
||
|
2,429,400 |
|
Residential Accredit Loans, Inc., (05-QA7-M1), 5.505%, due 07/25/35 (2) |
|
552,043 |
|
||
|
5,000,000 |
|
Residential Accredit Loans, Inc., (06-QS8-A3), 6%, due 08/25/36 |
|
2,223,064 |
|
||
|
3,016,529 |
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Residential Accredit Loans, Inc., (07-QS6-A62), 5.5%, due 04/25/37 (TAC) |
|
1,961,704 |
|
||
|
2,779,000 |
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Residential Asset Securitization Trust, (05-A8CB-A3), 5.5%, due 07/25/35 |
|
1,821,319 |
|
||
|
2,750,000 |
|
Residential Asset Securitization Trust, (07-A2-1A1), 6%, due 04/25/37 |
|
1,103,294 |
|
||
|
12,529,628 |
|
Residential Asset Securitization Trust, (07-A5-AX), 6%, due 05/25/37 (I/O) |
|
1,597,528 |
|
||
|
266,343,147 |
|
Residential Funding Mortgage Securities, (06-S9-AV), 0.298%, due 09/25/36 (I/O)(2) |
|
1,796,991 |
|
||
|
3,072,559 |
|
Structured Adjustable Rate Mortgage Loan Trust, (05-20-1A1), 5.885%, due 10/25/35 (2) |
|
1,606,696 |
|
||
|
3,496,111 |
|
Structured Adjustable Rate Mortgage Loan Trust, (05-23-3A1), 6.116%, due 01/25/36 (2) |
|
1,832,692 |
|
||
|
2,644,887 |
|
Structured Adjustable Rate Mortgage Loan Trust, (06-3-4A), 6%, due 04/25/36 |
|
1,173,700 |
|
||
|
1,931,124 |
|
Structured Adjustable Rate Mortgage Loan Trust, (07-9-2A1), 5.972%, due 10/25/47 (2) |
|
867,408 |
|
||
See accompanying Notes to Schedule of Investments.
|
Principal |
|
|
|
Value |
|
||
|
$ |
1,462,636 |
|
Terwin Mortgage Trust, (06-17HE-A2A), (144A), 0.602%, due 01/25/38 (2) (3) |
|
$ |
950,713 |
|
|
4,319,873 |
|
Washington Mutual Alternative Mortgage Pass-Through Certificates, (05-7-3CB), 6.5%, due 08/25/35 |
|
2,915,562 |
|
||
|
4,500,000 |
|
Wells Fargo Mortgage Backed Securities Trust, (07-8-2A10), 6%, due 07/25/37 (PAC) |
|
2,488,368 |
|
||
|
|
|
Total Private Mortgage-Backed Securities |
|
93,187,473 |
|
||
|
|
|
|
|
|
|
||
|
|
|
U.S. Government Agency Obligations (62.6%) |
|
|
|
||
|
4,460,936 |
|
Federal Home Loan Mortgage Corp., (2654-CO), 0%, due 08/15/33 (P/O)(6) |
|
2,306,562 |
|
||
|
3,258,000 |
|
Federal Home Loan Mortgage Corp., (2684-SN), 25.469%, due 10/15/33 (I/F)(2) |
|
3,290,320 |
|
||
|
5,688,598 |
|
Federal Home Loan Mortgage Corp., (2691-CO), 0%, due 10/15/33 (P/O)(6) |
|
4,580,668 |
|
||
|
1,950,546 |
|
Federal Home Loan Mortgage Corp., (2870-EO), 0%, due 10/15/34 (P/O)(6) |
|
1,424,407 |
|
||
|
3,232,560 |
|
Federal Home Loan Mortgage Corp., (2937-SW), 18.813%, due 02/15/35 (I/F) (TAC) (2) |
|
3,290,418 |
|
||
|
832,360 |
|
Federal Home Loan Mortgage Corp., (2950-GS), 19.469%, due 03/15/35 (I/F)(2) |
|
752,880 |
|
||
|
3,144,097 |
|
Federal Home Loan Mortgage Corp., (2951-NS), 19.469%, due 03/15/35 (I/F)(2) |
|
2,794,162 |
|
||
|
1,510,474 |
|
Federal Home Loan Mortgage Corp., (2962-GT), 16%, due 04/15/35 (I/F) (TAC)(2) |
|
1,515,181 |
|
||
|
987,732 |
|
Federal Home Loan Mortgage Corp., (2990-JK), 19.779%, due 03/15/35 (I/F)(2) |
|
929,724 |
|
||
|
3,352,068 |
|
Federal Home Loan Mortgage Corp., (3000-SR), 18.313%, due 03/15/35 (I/F) (TAC)(2) |
|
3,462,660 |
|
||
|
2,242,315 |
|
Federal Home Loan Mortgage Corp., (3014-SJ), 10.339%, due 08/15/35 (I/F)(2) |
|
1,772,007 |
|
||
|
1,607,354 |
|
Federal Home Loan Mortgage Corp., (3019-SQ), 31.875%, due 06/15/35 (I/F)(2) |
|
1,698,047 |
|
||
|
2,166,707 |
|
Federal Home Loan Mortgage Corp., (3035-TP), 6.5%, due 12/15/33 (I/F)(2) |
|
2,075,011 |
|
||
|
3,226,609 |
|
Federal Home Loan Mortgage Corp., (3063-JS), 25.981%, due 11/15/35 (I/F)(2) |
|
3,313,023 |
|
||
|
481,485 |
|
Federal Home Loan Mortgage Corp., (3076-ZQ), 5.5%, due 11/15/35 (PAC) |
|
466,708 |
|
||
|
2,688,465 |
|
Federal Home Loan Mortgage Corp., (3077-ZW), 4.5%, due 08/15/35 |
|
2,690,149 |
|
||
|
1,814,399 |
|
Federal Home Loan Mortgage Corp., (3092-CS), 17.745%, due 12/15/35 (I/F) (TAC)(2) |
|
1,845,840 |
|
||
|
1,889,065 |
|
Federal Home Loan Mortgage Corp., (3092-LO), 0%, due 12/15/35 (P/O) (TAC)(6) |
|
1,684,032 |
|
||
|
2,819,318 |
|
Federal Home Loan Mortgage Corp., (3092-OL), 0%, due 12/15/35 (P/O)(6) |
|
2,186,508 |
|
||
|
23,821,044 |
|
Federal Home Loan Mortgage Corp., (3122-SG), 5.074%, due 03/15/36 (I/O) (I/F) (TAC) (PAC)(2) |
|
1,202,186 |
|
||
|
2,542,913 |
|
Federal Home Loan Mortgage Corp., (3128-OJ), 0%, due 03/15/36 (P/O)(6) |
|
2,234,076 |
|
||
|
1,874,779 |
|
Federal Home Loan Mortgage Corp., (3146-SB), 21.61%, due 04/15/36 (I/F)(2) |
|
1,920,585 |
|
||
|
1,019,643 |
|
Federal Home Loan Mortgage Corp., (3153-NK), 21.537%, due 05/15/36 (I/F)(2) |
|
1,040,825 |
|
||
|
1,782,527 |
|
Federal Home Loan Mortgage Corp., (3161-SA), 21.427%, due 05/15/36 (I/F)(2) |
|
1,813,153 |
|
||
|
3,404,911 |
|
Federal Home Loan Mortgage Corp., (3185-SA), 10.159%, due 07/15/36 (I/F)(2) |
|
3,022,697 |
|
||
|
1,253,800 |
|
Federal Home Loan Mortgage Corp., (3186-SB), 20.694%, due 07/15/36 (I/F)(2) |
|
1,261,124 |
|
||
|
24,041,311 |
|
Federal Home Loan Mortgage Corp., (3323-SA), 5.554%, due 05/15/37 (I/O) (I/F)(2) |
|
1,483,772 |
|
||
|
1,982,894 |
|
Federal Home Loan Mortgage Corp., (3330-SB), 21.794%, due 06/15/37 (I/F) (TAC)(2) |
|
2,022,843 |
|
||
|
3,054,497 |
|
Federal Home Loan Mortgage Corp., (3349-SD), 20.51%, due 07/15/37 (I/F)(2) |
|
3,069,286 |
|
||
|
1,500,923 |
|
Federal Home Loan Mortgage Corp., (3457-PO), 0%, due 09/15/36 (P/O)(6) |
|
1,424,366 |
|
||
|
3,693,272 |
|
Federal National Mortgage Association, (05-1-GZ), 5%, due 02/25/35 |
|
3,695,614 |
|
||
|
3,704,674 |
|
Federal National Mortgage Association, (05-13-JS), 20.641%, due 03/25/35 (I/F)(2) |
|
3,399,438 |
|
||
|
1,896,727 |
|
Federal National Mortgage Association, (05-44-TS), 18.094%, due 03/25/35 (I/F) (TAC)(2) |
|
1,902,460 |
|
||
|
2,094,842 |
|
Federal National Mortgage Association, (05-62-BO), 0%, due 07/25/35 (P/O)(6) |
|
1,822,919 |
|
||
|
2,776,063 |
|
Federal National Mortgage Association, (05-69-HO), 0%, due 08/25/35 (P/O)(6) |
|
2,055,667 |
|
||
|
1,113,704 |
|
Federal National Mortgage Association, (05-87-ZQ), 4.5%, due 10/25/25 |
|
1,114,264 |
|
||
|
1,313,363 |
|
Federal National Mortgage Association, (05-92-DT), 6%, due 10/25/35 (I/F) (TAC) (2) |
|
1,272,088 |
|
||
|
860,983 |
|
Federal National Mortgage Association, (06-14-SP), 21.959%, due 03/25/36 (I/F) (TAC)(2) |
|
861,397 |
|
||
|
1,215,815 |
|
Federal National Mortgage Association, (06-15-LO), 0%, due 03/25/36 (P/O)(6) |
|
1,099,599 |
|
||
|
3,604,348 |
|
Federal National Mortgage Association, (06-45-SP), 21.296%, due 06/25/36 (I/F)(2) |
|
3,683,381 |
|
||
See accompanying Notes to Schedule of Investments.
|
Principal |
|
|
|
Value |
|
||
|
$ |
1,833,912 |
|
Federal National Mortgage Association, (06-57-SA), 21.076%, due 06/25/36 (I/F)(2) |
|
$ |
1,848,136 |
|
|
2,000,000 |
|
Federal National Mortgage Association, (06-67-DS), 23.004%, due 07/25/36 (I/F)(2) |
|
1,984,544 |
|
||
|
26,646,900 |
|
Federal National Mortgage Association, (07-48-SD), 5.578%, due 05/25/37 (I/O) (I/F)(2) |
|
1,547,772 |
|
||
|
20,398,668 |
|
Federal National Mortgage Association, (07-53-SG), 6.078%, due 06/25/37 (I/O) (I/F)(2) |
|
1,402,845 |
|
||
|
2,259,691 |
|
Federal National Mortgage Association, (07-58-SL), 14.82%, due 06/25/36 (I/F)(2) |
|
2,224,793 |
|
||
|
5,721,406 |
|
Government National Mortgage Association, (05-45-DK), 19.775%, due 06/16/35 (I/F) (2) |
|
5,677,796 |
|
||
|
38,377,779 |
|
Government National Mortgage Association, (06-35-SA), 6.055%, due 07/20/36 (I/O) (I/F)(2) |
|
2,328,533 |
|
||
|
69,811,869 |
|
Government National Mortgage Association, (06-61-SA), 4.205%, due 11/20/36 (I/O) (I/F) (TAC)(2) |
|
2,909,263 |
|
||
|
35,819,678 |
|
Government National Mortgage Association, (08-53-TS), 5.925%, due 05/20/38 (I/O) (I/F) (TAC)(2) |
|
2,326,420 |
|
||
|
45,000,465 |
|
Government National Mortgage Association, (08-58-TS), 5.855%, due 05/20/38 (I/O) (I/F) (TAC)(2) |
|
2,701,423 |
|
||
|
|
|
Total U.S. Government Agency Obligations |
|
108,431,572 |
|
||
|
|
|
Total Collateralized Mortgage Obligations (Cost: $201,122,340) |
|
207,177,734 |
|
||
|
|
|
Total Fixed Income Securities (Cost: $220,560,518) (120.4%) |
|
208,566,084 |
|
||
|
|
|
|
|
|
|
||
|
|
|
Convertible Securities |
|
|
|
||
|
|
|
Convertible Corporate Bonds (4.7%) |
|
|
|
||
|
|
|
|
|
|
|
||
|
|
|
Banking (0.7%) |
|
|
|
||
|
907,000 |
|
Euronet Worldwide, Inc., 3.5%, due 10/15/25 |
|
655,307 |
|
||
|
683,000 |
|
National City Corp., 4%, due 02/01/11 |
|
625,799 |
|
||
|
|
|
Total Banking |
|
1,281,106 |
|
||
|
|
|
|
|
|
|
||
|
|
|
Commercial Services (0.3%) |
|
|
|
||
|
865,000 |
|
Sotheby’s, (144A), 3.125%, due 06/15/13 (3) |
|
562,250 |
|
||
|
|
|
|
|
|
|
||
|
|
|
Communications (0.1%) |
|
|
|
||
|
227,000 |
|
Ciena Corp., 0.25%, due 05/01/13 |
|
138,883 |
|
||
|
|
|
|
|
|
|
||
|
|
|
Electronics (1.0%) |
|
|
|
||
|
736,000 |
|
Agere Systems, Inc., 6.5%, due 12/15/09 |
|
742,440 |
|
||
|
45,000 |
|
JA Solar Holdings Co., Ltd., 4.5%, due 05/15/13 |
|
22,387 |
|
||
|
751,000 |
|
LSI Logic Corp., 4%, due 05/15/10 |
|
718,144 |
|
||
|
339,000 |
|
Xilinx, Inc., (144A), 3.125%, due 03/15/37 (3) |
|
252,131 |
|
||
|
|
|
Total Electronics |
|
1,735,102 |
|
||
|
|
|
|
|
|
|
||
|
|
|
Healthcare Providers (0.5%) |
|
|
|
||
|
1,186,000 |
|
Omnicare, Inc., 3.25%, due 12/15/35 |
|
782,760 |
|
||
|
|
|
|
|
|
|
||
|
|
|
Medical Supplies (0.1%) |
|
|
|
||
|
160,000 |
|
Integra LifeSciences Holdings Corp., (144A), 2.375%, due 06/01/12 (3) |
|
114,800 |
|
||
|
160,000 |
|
Integra LifeSciences Holdings Corp., (144A), 2.75%, due 06/01/10 (3) |
|
147,200 |
|
||
|
|
|
Total Medical Supplies |
|
262,000 |
|
||
|
|
|
|
|
|
|
||
|
|
|
Metals (0.1%) |
|
|
|
||
|
370,000 |
|
Coeur d’Alene Mines Corp., 3.25%, due 03/15/28 |
|
164,188 |
|
||
|
|
|
|
|
|
|
||
|
|
|
Oil & Gas (0.7%) |
|
|
|
||
|
99,000 |
|
Hercules Offshore, Inc., (144A), 3.375%, due 06/01/38 (3) |
|
28,710 |
|
||
|
443,000 |
|
Transocean, Inc., Class A, 1.625%, due 12/15/37 |
|
409,221 |
|
||
|
442,000 |
|
Transocean, Inc., Class B, 1.5%, due 12/15/37 |
|
381,225 |
|
||
See accompanying Notes to Schedule of Investments.
|
Principal |
|
|
|
Value |
|
||
|
$ |
442,000 |
|
Transocean, Inc., Class C, 1.5%, due 12/15/37 |
|
$ |
364,098 |
|
|
|
|
Total Oil & Gas |
|
1,183,254 |
|
||
|
|
|
|
|
|
|
||
|
|
|
Pharmaceuticals (0.2%) |
|
|
|
||
|
357,000 |
|
United Therapeutics Corp., (144A), 0.5%, due 10/15/11 (3) |
|
372,619 |
|
||
|
|
|
|
|
|
|
||
|
|
|
Real Estate (0.9%) |
|
|
|
||
|
1,517,000 |
|
Affordable Residential Communities, Inc., (144A), 7.5%, due 08/15/25 (Cost $1,516,330, Acquired 08/03/2005-05/12/2006) (1) (3) (4) |
|
1,501,830 |
|
||
|
180,000 |
|
ProLogis, 2.625%, due 05/15/38 |
|
92,025 |
|
||
|
|
|
Total Real Estate |
|
1,593,855 |
|
||
|
|
|
|
|
|
|
||
|
|
|
Retailers (0.1%) |
|
|
|
||
|
140,000 |
|
RadioShack Corp., (144A), 2.5%, due 08/01/13 (3) |
|
116,025 |
|
||
|
|
|
Total Convertible Corporate Bonds (Cost: $9,554,039) |
|
8,192,042 |
|
||
|
|
|
|
|
|
|
||
|
Number of |
|
|
|
|
|
||
|
|
|
Convertible Preferred Stocks (2.4%) |
|
|
|
||
|
|
|
|
|
|
|
||
|
|
|
Commercial Banks (0.0%) |
|
|
|
||
|
1,542 |
|
Fifth Third Bancorp, Series G, $8.50 |
|
63,530 |
|
||
|
|
|
|
|
|
|
||
|
|
|
Commercial Services (0.1%) |
|
|
|
||
|
10,940 |
|
United Rentals Trust I, $3.25 |
|
121,024 |
|
||
|
|
|
|
|
|
|
||
|
|
|
Diversified Financial Services (0.3%) |
|
|
|
||
|
1,160 |
|
Bank of America Corp., $72.50 |
|
492,420 |
|
||
|
|
|
|
|
|
|
||
|
|
|
Electric Utilities (0.3%) |
|
|
|
||
|
16,500 |
|
AES Corp., $3.375 |
|
570,570 |
|
||
|
|
|
|
|
|
|
||
|
|
|
Energy Equipment & Services (0.3%) |
|
|
|
||
|
17,850 |
|
Bristow Group, Inc. $2.75 |
|
553,528 |
|
||
|
|
|
|
|
|
|
||
|
|
|
Financial Services (0.1%) |
|
|
|
||
|
2,724 |
|
Vale Capital, Ltd., Series A, $2.75 |
|
79,507 |
|
||
|
1,612 |
|
Vale Capital, Ltd., Series B, $2.75 |
|
46,345 |
|
||
|
|
|
Total Financial Services |
|
125,852 |
|
||
|
|
|
|
|
|
|
||
|
|
|
Food Products (0.1%) |
|
|
|
||
|
5,900 |
|
Archer-Daniels-Midland Co., $3.125 |
|
216,707 |
|
||
|
|
|
|
|
|
|
||
|
|
|
Insurance (0.3%) |
|
|
|
||
|
13,105 |
|
Reinsurance Group of America, Inc., $2.875 |
|
570,067 |
|
||
|
|
|
|
|
|
|
||
|
|
|
Media (0.2%) |
|
|
|
||
|
800 |
|
Interpublic Group of Cos., Inc., (144A), $52.50 (3) |
|
321,200 |
|
||
|
|
|
|
|
|
|
||
|
|
|
Oil, Gas & Consumable Fuels (0.3%) |
|
|
|
||
|
8,445 |
|
Chesapeake Energy Corp., $4.50 |
|
519,368 |
|
||
|
|
|
|
|
|
|
||
|
|
|
Pharmaceuticals (0.2%) |
|
|
|
||
|
330 |
|
Mylan, Inc., $65.00 |
|
281,305 |
|
||
See accompanying Notes to Schedule of Investments.
|
Number of |
|
|
|
Value |
|
|
|
|
|
Road & Rail (0.2%) |
|
|
|
|
|
660 |
|
Kansas City Southern, $51.25 |
|
$ |
373,065 |
|
|
|
|
Total Convertible Preferred Stocks (Cost: $7,441,174) |
|
4,208,636 |
|
|
|
|
|
Total Convertible Securities (Cost: $16,995,213) (7.1%) |
|
12,400,678 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stock |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Aerospace & Defense (0.0%) |
|
|
|
|
|
2,190 |
|
Honeywell International, Inc. |
|
61,013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Markets (0.1%) |
|
|
|
|
|
7,920 |
|
Blackstone Group, LP (The) |
|
57,420 |
|
|
|
1,920 |
|
Invesco, Ltd. |
|
26,611 |
|
|
|
|
|
Total Capital Markets |
|
84,031 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Chemicals (0.1%) |
|
|
|
|
|
5,500 |
|
Du Pont (E.I.) de Nemours & Co. |
|
122,815 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Services & Supplies (0.1%) |
|
|
|
|
|
2,200 |
|
Avery Dennison Corp. |
|
49,148 |
|
|
|
2,700 |
|
Waste Management, Inc. |
|
69,120 |
|
|
|
|
|
Total Commercial Services & Supplies |
|
118,268 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Communications Equipment (0.0%) |
|
|
|
|
|
12,900 |
|
Motorola, Inc. |
|
54,567 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Computers & Peripherals (0.2%) |
|
|
|
|
|
4,410 |
|
Dell, Inc. (7) |
|
41,807 |
|
|
|
1,880 |
|
Hewlett-Packard Co. |
|
60,273 |
|
|
|
1,850 |
|
International Business Machines Corp. |
|
179,246 |
|
|
|
|
|
Total Computers & Peripherals |
|
281,326 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Containers & Packaging (0.1%) |
|
|
|
|
|
7,990 |
|
Packaging Corp. of America |
|
104,030 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services (0.1%) |
|
|
|
|
|
5,600 |
|
JPMorgan Chase & Co. |
|
148,848 |
|
|
|
1,740 |
|
NYSE Euronext |
|
31,146 |
|
|
|
|
|
Total Diversified Financial Services |
|
179,994 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunication Services (0.2%) |
|
|
|
|
|
5,500 |
|
AT&T, Inc. |
|
138,600 |
|
|
|
33,720 |
|
Qwest Communications International, Inc. |
|
115,323 |
|
|
|
7,837 |
|
Windstream Corp. |
|
63,166 |
|
|
|
|
|
Total Diversified Telecommunication Services |
|
317,089 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities (0.5%) |
|
|
|
|
|
4,040 |
|
American Electric Power Co., Inc. |
|
102,050 |
|
|
|
10,622 |
|
Entergy Corp. |
|
723,252 |
|
|
|
|
|
Total Electric Utilities |
|
825,302 |
|
|
See accompanying Notes to Schedule of Investments.
|
Number of |
|
|
|
Value |
|
|
|
|
|
Electronic Equipment, Instruments & Components (0.0%) |
|
|
|
|
|
5,850 |
|
Tyco Electronics, Ltd. |
|
$ |
64,584 |
|
|
|
|
|
|
|
|
|
|
|
|
Energy Equipment & Services (0.0%) |
|
|
|
|
|
1,160 |
|
Baker Hughes, Inc. |
|
33,118 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Food & Staples Retailing (0.0%) |
|
|
|
|
|
2,470 |
|
CVS Caremark Corp. |
|
67,900 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Products (0.2%) |
|
|
|
|
|
6,700 |
|
Kraft Foods, Inc., Class A |
|
149,343 |
|
|
|
13,100 |
|
Sara Lee Corp. |
|
105,848 |
|
|
|
|
|
Total Food Products |
|
255,191 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies (0.0%) |
|
|
|
|
|
5,540 |
|
Boston Scientific Corp. (7) |
|
44,043 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Providers & Services (0.0%) |
|
|
|
|
|
23,740 |
|
Tenet Healthcare Corp. (7) |
|
27,538 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Durables (0.0%) |
|
|
|
|
|
6,630 |
|
Lennar Corp., Class A |
|
49,791 |
|
|
|
700 |
|
Sony Corp. (SP ADR) |
|
14,441 |
|
|
|
|
|
Total Household Durables |
|
64,232 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Products (0.1%) |
|
|
|
|
|
3,150 |
|
Kimberly-Clark Corp. |
|
145,247 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates (0.1%) |
|
|
|
|
|
8,250 |
|
General Electric Co. |
|
83,408 |
|
|
|
3,100 |
|
Tyco International, Ltd. |
|
60,636 |
|
|
|
|
|
Total Industrial Conglomerates |
|
144,044 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance (0.1%) |
|
|
|
|
|
3,780 |
|
Travelers Cos., Inc. (The) |
|
153,619 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Leisure Equipment & Products (0.1%) |
|
|
|
|
|
7,180 |
|
Mattel, Inc. |
|
82,785 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Life Sciences Tools & Services (0.0%) |
|
|
|
|
|
610 |
|
Thermo Fisher Scientific, Inc. (7) |
|
21,759 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Media (0.1%) |
|
|
|
|
|
5,620 |
|
Comcast Corp., Class A |
|
76,657 |
|
|
|
9,600 |
|
Regal Entertainment Group, Class A |
|
128,736 |
|
|
|
458 |
|
Time Warner Cable, Inc. |
|
11,358 |
|
|
|
1,826 |
|
Time Warner, Inc. |
|
35,242 |
|
|
|
|
|
Total Media |
|
251,993 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals & Mining (0.0%) |
|
|
|
|
|
1,600 |
|
United States Steel Corp. |
|
33,808 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels (0.3%) |
|
|
|
|
|
1,500 |
|
Anadarko Petroleum Corp. |
|
58,335 |
|
|
See accompanying Notes to Schedule of Investments.
|
Number of |
|
|
|
Value |
|
||
|
970 |
|
BP PLC (SP ADR) |
|
$ |
38,897 |
|
|
|
2,700 |
|
Chevron Corp. |
|
181,548 |
|
||
|
2,570 |
|
ConocoPhillips |
|
100,641 |
|
||
|
2,180 |
|
Marathon Oil Corp. |
|
57,312 |
|
||
|
1,890 |
|
Valero Energy Corp. |
|
33,831 |
|
||
|
|
|
Total Oil, Gas & Consumable Fuels |
|
470,564 |
|
||
|
|
|
|
|
|
|
||
|
|
|
Paper & Forest Products (0.0%) |
|
|
|
||
|
6,000 |
|
MeadWestvaco Corp. |
|
71,940 |
|
||
|
|
|
|
|
|
|
||
|
|
|
Personal Products (0.0%) |
|
|
|
||
|
1,750 |
|
Estee Lauder Cos., Inc. (The), Class A |
|
43,138 |
|
||
|
|
|
|
|
|
|
||
|
|
|
Pharmaceuticals (0.2%) |
|
|
|
||
|
4,800 |
|
Bristol-Myers Squibb Co. |
|
105,216 |
|
||
|
9,600 |
|
Pfizer, Inc. |
|
130,752 |
|
||
|
4,400 |
|
Watson Pharmaceuticals, Inc. (7) |
|
136,884 |
|
||
|
|
|
Total Pharmaceuticals |
|
372,852 |
|
||
|
|
|
|
|
|
|
||
|
|
|
Real Estate Investment Trusts (REITs) (0.0%) |
|
|
|
||
|
1,280 |
|
Annaly Capital Management, Inc. |
|
17,754 |
|
||
|
2,400 |
|
Hospitality Properties Trust |
|
28,800 |
|
||
|
|
|
Total Real Estate Investment Trusts (REITs) |
|
46,554 |
|
||
|
|
|
|
|
|
|
||
|
|
|
Semiconductors & Semiconductor Equipment (0.1%) |
|
|
|
||
|
5,410 |
|
Intel Corp. |
|
81,420 |
|
||
|
2,180 |
|
KLA-Tencor Corp. |
|
43,600 |
|
||
|
11,070 |
|
LSI Corp. (7) |
|
33,653 |
|
||
|
|
|
Total Semiconductors & Semiconductor Equipment |
|
158,673 |
|
||
|
|
|
|
|
|
|
||
|
|
|
Specialty Retail (0.1%) |
|
|
|
||
|
7,900 |
|
Gap, Inc. (The) |
|
102,621 |
|
||
|
4,400 |
|
Home Depot, Inc. (The) |
|
103,664 |
|
||
|
|
|
Total Specialty Retail |
|
206,285 |
|
||
|
|
|
|
|
|
|
||
|
|
|
Thrifts & Mortgage Finance (0.1%) |
|
|
|
||
|
8,070 |
|
New York Community Bancorp, Inc. |
|
90,142 |
|
||
|
|
|
Total Common Stock (Cost: $7,586,861) (2.9%) |
|
4,998,444 |
|
||
|
|
|
|
|
|
|
||
|
|
|
Short-Term Investment (4.2% of Net Assets) |
|
|
|
||
|
|
|
|
|
|
|
||
|
Principal |
|
|
|
|
|
||
|
|
|
Short-Term Investments (4.2%) |
|
|
|
||
|
$ |
7,196,192 |
|
Repurchase Agreement, State Street Bank & Trust Company, 0.05%, due 04/01/09 (collateralized by $7,350,000, U.S. Treasury Bill, 0.47%, due 08/20/09, valued at $7,341,915) (Total Amount to be Received Upon Repurchase $7,196,202) |
|
7,196,192 |
|
|
|
|
|
Total Short-Term Investments (Cost: $7,196,192) |
|
7,196,192 |
|
||
|
|
|
|
|
|
|
||
|
|
|
TOTAL INVESTMENTS (Cost $252,338,784) (134.6%) |
|
233,161,398 |
|
||
|
|
|
LIABILITIES IN EXCESS OF OTHER ASSETS (-34.6%) |
|
(59,887,870 |
) |
||
|
|
|
|
|
|
|
||
|
|
|
NET ASSETS (100.0%) |
|
$ |
173,273,528 |
|
|
See accompanying Notes to Schedule of Investments.
|
(1) |
|
Illiquid security. |
|
(2) |
|
Floating or variable rate security. The interest shown reflects the rate in effect at March 31, 2009. |
|
(3) |
|
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2009, the value of these securities amounted to $5,358,234 or 3.1% of net assets. These securities are determined to be liquid by the Advisor, unless otherwise noted, under procedures established by and under the general supervision of the Fund’s Board of Directors. |
|
(4) |
|
Restricted security (Note 4). |
|
(5) |
|
The issuer has declared partial write-off on outstanding principal balance. |
|
(6) |
|
As of March 31, 2009, security is not accruing interest. |
|
(7) |
|
Non-income producing security. |
|
(8) |
|
Fair valued security (Note 1). |
|
(9) |
|
Represents number of preferred shares. |
|
CDO |
- |
Collateralized Debt Obligation. |
|
CLO |
- |
Collateralized Loan Obligation. |
|
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. |
|
P/O |
- |
Principal Only Security. |
|
SP ADR |
- |
Sponsored American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks that are issued with the cooperation of the company whose stock underlie the ADR and entitles the shareholder to all dividends, capital gains and voting rights. |
|
TAC |
- |
Target Amortization Class. |
See accompanying Notes to Schedule of Investments.
Investments by Industry (Unaudited) |
|
March 31, 2009 |
|
Industry* |
|
Percentage of |
|
|
U.S. Government Agency Obligations |
|
62.6 |
% |
|
Private Mortgage-Backed Securities |
|
53.8 |
|
|
Banking |
|
4.1 |
|
|
Electronics |
|
1.0 |
|
|
Real Estate |
|
0.9 |
|
|
Electric Utilities |
|
0.8 |
|
|
Oil & Gas |
|
0.7 |
|
|
Pharmaceuticals |
|
0.6 |
|
|
Oil, Gas & Consumable Fuels |
|
0.6 |
|
|
Diversified Financial Services-Specialized Finance |
|
0.6 |
|
|
Healthcare Providers |
|
0.5 |
|
|
Insurance |
|
0.4 |
|
|
Commercial Services |
|
0.4 |
|
|
Diversified Financial Services |
|
0.4 |
|
|
Energy Equipment & Services |
|
0.3 |
|
|
Media |
|
0.3 |
|
|
Food Products |
|
0.3 |
|
|
Road & Rail |
|
0.2 |
|
|
Diversified Telecommunication Services |
|
0.2 |
|
|
Computers & Peripherals |
|
0.2 |
|
|
Medical Supplies |
|
0.1 |
|
|
Specialty Retail |
|
0.1 |
|
|
Metals |
|
0.1 |
|
|
Semiconductors & Semiconductor Equipment |
|
0.1 |
|
|
Household Products |
|
0.1 |
|
|
Industrial Conglomerates |
|
0.1 |
|
|
Communications |
|
0.1 |
|
|
Financial Services |
|
0.1 |
|
|
Chemicals |
|
0.1 |
|
|
Commercial Services & Supplies |
|
0.1 |
|
|
Retailers |
|
0.1 |
|
|
Containers & Packaging |
|
0.1 |
|
|
Thrifts & Mortgage Finance |
|
0.1 |
|
|
Capital Markets |
|
0.1 |
|
|
Leisure Equipment & Products |
|
0.1 |
|
|
Paper & Forest Products |
|
0.0 |
* |
|
Food & Staples Retailing |
|
0.0 |
* |
|
Electronic Equipment, Instruments and Components |
|
0.0 |
* |
|
Household Durables |
|
0.0 |
* |
|
Commercial Banks |
|
0.0 |
* |
|
Aerospace & Defense |
|
0.0 |
* |
|
Communications Equipment |
|
0.0 |
* |
|
Real Estate Investment Trusts (REITs) |
|
0.0 |
* |
|
Health Care Equipment & Supplies |
|
0.0 |
* |
|
Personal Products |
|
0.0 |
* |
|
Metals & Mining |
|
0.0 |
* |
|
Health Care Providers & Services |
|
0.0 |
* |
|
Life Sciences Tools & Services |
|
0.0 |
* |
|
Short-Term Investments |
|
4.2 |
|
|
Total |
|
134.6 |
% |
*Value rounds to less than 0.1% of net assets.
See accompanying notes to Schedule of Investments.
TCW Strategic Income Fund, Inc.
|
Notes to Schedule of Investments (Unaudited) |
|
March 31, 2009 |
TCW Strategic Income Fund, Inc. (the ‘‘Fund’’) was incorporated in Maryland on January 13, 1987 as a diversified, closed-end investment management company and is registered under the Investment Company Act of 1940, as amended and is traded on the New York Stock Exchange under the symbol TSI. The Fund commenced operations on March 5, 1987. The Fund’s investment objective is to seek a total return comprised of current income and capital appreciation by investing in convertible securities, marketable equity securities, investment-grade debt securities, high-yield debt securities, options, securities issued or guaranteed by the United States Government, its agencies and instrumentalities (“U.S. Government Securities”), repurchase agreements, mortgage related securities, asset-backed securities, money market securities and other securities without limit believed by the Fund’s investment advisor to be consistent with the Fund’s investment objective. TCW Investment Management Company (the “Advisor”) is the Investment Advisor to the Fund and is registered under the Investment Advisors Act of 1940.
Security Valuation: Securities traded on national exchanges are valued at the last reported sales price or the mean of the current bid and asked prices if there are no sales in the trading period. Other securities that are traded on the over-the-counter market are valued at the mean of the current bid and asked prices. Short-term debt securities with maturities of 60 days or less at the time of purchase are valued at amortized cost. Other short-term debt securities are valued on a mark-to-market basis until such time as they reach a remaining maturity of 60 days, whereupon they will be valued at amortized value using their value of the 61st day prior to maturity.
The Fund invests in asset-backed securities and collateralized debt obligation securities, which are valued based on prices supplied by dealers who make markets in such securities. However, such markets have become illiquid, and therefore, the value of these securities may differ from the realized values had a liquid market existed for these investments, and the differences could be material. At March 31, 2009, the total value of these securities amount to $1,388,350 or 0.80% of the Fund’s net assets.
The Fund invests a portion of its assets in below-investment grade debt securities, including asset-backed securities and collateralized debt obligations. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults. Recent instability in the markets for fixed-income securities, particularly securities with sub-prime exposure, has resulted in increased volatility of market prices and periods of illiquidity that have adversely impacted the valuation of certain securities held by the Fund.
Securities for which market quotations are not readily available, including circumstances under which it is determined by the Advisor that sale or mean prices are not reflective of a security’s market value, are valued at their fair value as determined in good faith under procedures established by and under the general supervision of the Fund’s Board of Directors. At March 31, 2009, eleven securities were fair valued at $425,000 or 0.25% of the Fund’s net assets.
The Fund adopted Financial Accounting Standards Board (“FASB”) Statement of Financial Accounting Standards No. 157, Fair Value Measurements (“FAS 157”), effective January 1, 2008. FAS 157, defines fair value 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 of the investment. FAS 157 established a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value including such a pricing model and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
Level 1 – quoted prices in active markets for identical investments
Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The following is a summary of the inputs used as of March 31, 2009 in valuing the Fund’s investments:
|
Valuation Inputs |
|
Investments in |
|
|
|
Level 1 - Quoted Prices |
|
$ |
9,224,940 |
|
|
Level 2 - Other Significant Observable Inputs |
|
222,548,108 |
|
|
|
Level 3 - Significant Unobservable Inputs |
|
1,388,350 |
|
|
|
Total |
|
$ |
233,161,398 |
|
Following is a reconcilation of investments in which signifcant unobservable inputs (Level 3) were used in determining value:
|
|
|
Investments in |
|
|
|
Balance, as of 12/31/08 |
|
$ |
5,453,998 |
|
|
Accrued discounts/premiums |
|
— |
|
|
|
Realized loss and change in unrealized depreciation |
|
(4,159,279 |
) |
|
|
Net purchases |
|
93,631 |
|
|
|
Net transfers in and/or out of Level 3 |
|
— |
|
|
|
Balance, as of 3/31/09 |
|
$ |
1,388,350 |
|
|
Net change in unrealized depreciation from investments still held as of 3/31/09 |
|
$ |
4,295,947 |
|
Note 2—Federal Income Taxes:
It is the policy of the Fund to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and distribute all of its net taxable income, including any net realized gains on investments, to its shareholders. Therefore, no federal income tax provision is required.
At March 31, 2009, net unrealized appreciation (depreciation) for federal income tax purposes is comprised of the following components:
|
Appreciated securities |
|
$ |
24,526,042 |
|
|
Depreciated securities |
|
(44,884,260 |
) |
|
|
Net unrealized appreciation/(depreciation) |
|
$ |
(20,358,218 |
) |
|
Cost of securities for federal income tax purposes |
|
$ |
253,519,616 |
|
The Fund is subject to the provisions of FASB Interpretation No. 48 (“FIN 48”) Accounting for Uncertainty in Income Taxes — an interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The Fund did not have any unrecognized tax benefits at March 31, 2009, nor were there any increases or decreases in unrecognized tax benefits for the period then ended; and therefore no interest or penalties were accrued. The Fund is subject to examination by U.S. federal and state tax authorities for returns filed for the prior three and four fiscal years, respectively.
Note 3—Security Lending:
The Fund can lend securities to brokers. The brokers must provide collateral, which must be maintained at not less than 100% of the value of the loaned securities, to secure the obligation. The Fund receives income, net of broker fees, by investing the collateral in short-term investments. The Fund did not lend securities during the three months ended March 31, 2009.
Note 4—Restricted Securities:
The Fund is permitted to invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. There were no restricted securities (excluding 144A issues) at March 31, 2009. However, certain 144A securities were deemed illiquid as of March 31, 2009 and therefore were considered restricted. Aggregate cost and fair value of such securities held at March 31, 2009 were as follows:
|
|
|
|
|
|
|
Value as a |
|
||
|
|
|
|
|
|
|
Percentage of |
|
||
|
|
|
Aggregate Cost |
|
Aggregate Value |
|
Fund’s Net Assets |
|
||
|
Total of Restricted Securities |
|
$ |
7,174,899 |
|
$ |
2,492,586 |
|
1.44 |
% |
Item 2. Controls and Procedures.
(a) The Registrant’s Chief Executive Officer and Chief Financial Officer concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) were effective as of a date within 90 days prior to the filing date of this report (the “Evaluation Date”), based on their evaluation of the effectiveness of the Registrant’s disclosure controls and procedures as of the Evaluation Date.
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the Registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 3. Exhibits.
(a)Certification of Chief Executive Officer and Chief Financial Officer of the Registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is attached hereto as Exhibit 99CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
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(Registrant) |
TCW Strategic Income Fund, Inc. |
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By (Signature and Title) |
/s/ Ronald R. Redell |
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Ronald R. Redell |
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Chief Executive Officer |
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Date |
May 22, 2009 |
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
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By (Signature and Title) |
/s/ Ronald R. Redell |
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Ronald R. Redell |
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Chief Executive Officer |
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Date |
May 22, 2009 |
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By (Signature and Title) |
/s/ David S. DeVito |
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David S. DeVito |
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Chief Financial Officer |
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Date |
May 22, 2009 |
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