Edgar Filing: TCW STRATEGIC INCOME FUND INC

N-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

OF REGISTERED MANAGEMENT INVESTMENT COMPANY


Investment Company Act file number		811-04980

TCW Strategic Income Fund, Inc.

(Exact name of registrant as specified in charter)

865 South Figueroa Street, Suite 1800, Los Angeles, CA		90017

(Address of principal executive offices)		(Zip code)

Patrick W. Dennis, Esq. Assistant Secretary 865 South Figueroa Street, Suite 1800 Los Angeles, CA 90017

(Name and address of agent for service)

Registrant’s telephone number, including area code:		(213) 244-0000

Date of fiscal year end:		December 31, 2016

Date of reporting period:		September 30, 2016

Item 1.

Schedule of Investments. – The Schedule of Investments is filed herewith.

TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2016 (UNAUDITED)


Principal Amount		Fixed Income Securities	Value
		Asset-Backed Securities (13.4% of Net Assets)

$	1,150,000	A Voce CLO, Ltd., (14-1A-A1B), (144A), 2.14%, due 07/15/26⁽¹⁾⁽²⁾	$	1,148,234
	777,891	AMUR Finance I LLC, (13-1), 10%, due 01/25/22		661,214
	529,571	AMUR Finance I LLC, (13-2), 10%, due 03/20/24		439,548
	565,000	BA Credit Card Trust, (07-A11-A11), 0.594%, due 12/15/19⁽¹⁾		564,830
	817,147	Bayview Commercial Asset Trust, (03-2-A), (144A), 1.395%, due 12/25/33⁽¹⁾⁽²⁾		764,011
	668,047	Bayview Commercial Asset Trust, (04-1-A), (144A), 0.885%, due 04/25/34⁽¹⁾⁽²⁾		618,018
	653,584	Bayview Commercial Asset Trust, (04-2-A), (144A), 0.955%, due 08/25/34⁽¹⁾⁽²⁾		596,175
	323,580	Bayview Commercial Asset Trust, (04-3-A1), (144A), 0.895%, due 01/25/35⁽¹⁾⁽²⁾		299,185
	932,829	Bayview Commercial Asset Trust, (06-4A-A1), (144A), 0.755%, due 12/25/36⁽¹⁾⁽²⁾		811,214
	458,466	Bayview Commercial Asset Trust, (07-3-A1), (144A), 0.765%, due 07/25/37⁽¹⁾⁽²⁾		382,945
	2,200,000	Brazos Higher Education Authority, Inc., (10-1-A2), 2.025%, due 02/25/35⁽¹⁾		2,149,147
	565,000	Chase Issuance Trust, (12-A2-A2), 0.794%, due 05/15/19⁽¹⁾		565,465
	968,151	CIT Education Loan Trust, (07-1-A), (144A), 0.947%, due 03/25/42⁽¹⁾⁽²⁾		900,584
	700,000	Citibank Credit Card Issuance Trust, (08-A7-A7), 1.907%, due 05/20/20⁽¹⁾		713,878
	640,000	Dryden Senior Loan Fund, (15-37A A), (144A), 2.18%, due 04/15/27⁽¹⁾⁽²⁾		641,688
	1,260,000	Education Loan Asset-Backed Trust I, (13-1-A2), (144A), 1.325%, due 04/26/32⁽¹⁾⁽²⁾		1,205,550
	675,000	EFS Volunteer LLC, (10-1-A2), (144A), 1.565%, due 10/25/35⁽¹⁾⁽²⁾		655,469
	1,500,000	EFS Volunteer No 2 LLC, (12-1-A2), (144A), 1.875%, due 03/25/36⁽¹⁾⁽²⁾		1,484,903
	2,350,738	GCO Education Loan Funding Master Trust II, (06-2AR-A1RN), (144A), 1.174%, due 08/27/46⁽¹⁾⁽²⁾		2,125,725
	283,124	GE Business Loan Trust, (05-1A-A3), (144A), 0.774%, due 06/15/33⁽¹⁾⁽²⁾		264,029
	601,893	GE Business Loan Trust, (05-2A-A), (144A), 0.764%, due 11/15/33⁽¹⁾⁽²⁾		574,621
	340,750	Global SC Finance SRL, (14-1A-A2), (144A), 3.09%, due 07/17/29⁽²⁾		329,867
	342,012	Goal Capital Funding Trust, (06-1-B), 1.275%, due 08/25/42⁽¹⁾		298,423
	518,200	Higher Education Funding I, (14-1-A), (144A), 1.875%, due 05/25/34⁽¹⁾⁽²⁾		499,131
	235,320	Honda Auto Receivables Owner Trust, (14-2-A3), 0.77%, due 03/19/18		235,195
	338,319	Honda Auto Receivables Owner Trust, (15-1-A3), 1.05%, due 10/15/18		338,128
	270,000	ING Investment Management CLO, Ltd., (14-1A-A1), (144A), 2.179%, due 04/18/26⁽¹⁾⁽²⁾		270,004
	542,250	Leaf II Receivables Funding LLC, (13-1-E2), (144A), 6%, due 09/15/21⁽²⁾		543,768
	69,547	National Collegiate Student Loan Trust, (06-3-A3), 0.675%, due 10/25/27⁽¹⁾		69,450
	575,000	Nelnet Student Loan Trust, (14-4A-A2), (144A), 1.475%, due 11/25/43⁽¹⁾⁽²⁾		533,101
	183,772	Nissan Auto Receivables Owner Trust, (13-C-A3), 0.67%, due 08/15/18		183,320
	2,200,000	North Carolina State Education Assistance Authority, (11-1-A3), 1.615%, due 10/25/41⁽¹⁾		2,157,218
	317,534	Peachtree Finance Co. LLC, (2005-B-A), (144A), 4.71%, due 04/15/48⁽²⁾		320,524
	1,000,000	Scholar Funding Trust, (12-B-A2), (144A), 1.624%, due 03/28/46⁽¹⁾⁽²⁾		975,634
	480,511	SLC Student Loan Trust, (04-1-B), 1.107%, due 08/15/31⁽¹⁾		413,070
	417,029	SLC Student Loan Trust, (05-2-B), 1.13%, due 03/15/40⁽¹⁾		352,873
	590,293	SLC Student Loan Trust, (06-1-B), 1.06%, due 03/15/39⁽¹⁾		493,837
	985,145	SLC Student Loan Trust, (06-2-A5), 0.95%, due 09/15/26⁽¹⁾		963,077
	2,300,000	SLM Student Loan Trust, (03-11-A6), (144A), 1.6%, due 12/15/25⁽¹⁾⁽²⁾		2,263,125
	509,067	SLM Student Loan Trust, (04-2-B), 1.185%, due 07/25/39⁽¹⁾		440,394
	536,769	SLM Student Loan Trust, (05-4-B), 0.895%, due 07/25/40⁽¹⁾		455,101
	586,732	SLM Student Loan Trust, (05-9-B), 1.015%, due 01/25/41⁽¹⁾		500,529
	1,400,000	SLM Student Loan Trust, (06-2-A6), 0.885%, due 01/25/41⁽¹⁾		1,272,968
	1,400,000	SLM Student Loan Trust, (06-8-A6), 0.875%, due 01/25/41⁽¹⁾		1,244,788
	178,699	SLM Student Loan Trust, (07-6-B), 1.565%, due 04/27/43⁽¹⁾		156,644

See accompanying Notes to Schedule of Investments.

TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2016 (UNAUDITED) (CONT’D)


Principal Amount		Fixed Income Securities	Value
		Asset-Backed Securities (Continued)
$	150,000	SLM Student Loan Trust, (07-7-B), 1.465%, due 10/27/70⁽¹⁾	$	120,964
	112,114	SLM Student Loan Trust, (07-8-B), 1.715%, due 04/27/43⁽¹⁾		97,225
	225,000	SLM Student Loan Trust, (08-2-B), 1.915%, due 01/25/83⁽¹⁾		196,366
	225,000	SLM Student Loan Trust, (08-3-B), 1.915%, due 04/26/83⁽¹⁾		190,596
	225,000	SLM Student Loan Trust, (08-4-B), 2.565%, due 04/25/29⁽¹⁾		208,734
	225,000	SLM Student Loan Trust, (08-5-B), 2.565%, due 07/25/29⁽¹⁾		209,688
	225,000	SLM Student Loan Trust, (08-6-B), 2.565%, due 07/26/83⁽¹⁾		210,121
	225,000	SLM Student Loan Trust, (08-7-B), 2.565%, due 07/26/83⁽¹⁾		208,223
	225,000	SLM Student Loan Trust, (08-8-B), 2.965%, due 10/25/29⁽¹⁾		215,971
	225,000	SLM Student Loan Trust, (08-9-B), 2.965%, due 10/25/83⁽¹⁾		218,083
	756,715	Structured Receivables Finance LLC, (10-A-B), (144A), 7.614%, due 01/16/46⁽²⁾		870,908
	442,350	Structured Receivables Finance LLC, (10-B-B), (144A), 7.97%, due 08/15/36⁽²⁾		550,585
	1,450,000	Student Loan Consolidation Center, (02-2-B2), (144A), 1.92%, due 07/01/42⁽¹⁾⁽²⁾		1,122,213
	151,814	Toyota Auto Receivables Owner Trust, (14-A-A3), 0.67%, due 12/15/17		151,737
	393,977	Vermont Student Assistance Corp., (12-1-A), 1.224%, due 07/28/34⁽¹⁾		383,906


		Total Asset-Backed Securities (Cost: $37,932,547)		37,831,922


		Collateralized Mortgage Obligations (55.2%)

		Commercial Mortgage-Backed Securities—Agency (1.1%)
	11,708,206	Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, (K702-X1), 1.617%, due 02/25/18(I/O)⁽¹⁾		187,302
	6,273,880	Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, (KP01-X), 3.264%, due 01/25/19(I/O)⁽¹⁾		293,512
	548,216	Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, (KSCT-A1), 3.194%, due 12/25/19		562,614
	4,992,233	Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, (KSCT-AX), 1.235%, due 01/25/20(I/O)⁽¹⁾		153,363
	7,856,354	Federal National Mortgage Association, (11-M5-A2), 1.357%, due 07/25/21(ACES)(I/O)⁽¹⁾		376,235
	453,127	Federal National Mortgage Association, (12-M11-FA), 1.016%, due 08/25/19(ACES)⁽¹⁾		451,628
	15,505,510	Government National Mortgage Association, (09-114-IO), 0.015%, due 10/16/49(I/O)⁽¹⁾		167,216
	6,700,196	Government National Mortgage Association, (11-152-IO), 0.926%, due 08/16/51(I/O)⁽¹⁾		218,661
	7,237,541	Government National Mortgage Association, (14-125-IO), 1.009%, due 11/01/54(I/O)⁽¹⁾		558,370


		Total Commercial Mortgage-Backed Securities—Agency		2,968,901


		Commercial Mortgage-Backed Securities—Non-Agency (1.2%)
	260,000	BAMLL Commercial Mortgage Securities Trust, (14-520M-A), (144A), 4.325%, due 08/15/46⁽¹⁾⁽²⁾		300,764
	8,186,521	Citigroup Commercial Mortgage Trust, (12-GC8-XA), (144A), 2.306%, due 09/10/45(I/O)^(1)(2)(3)		564,127
	775,000	Credit Suisse Mortgage Trust, (10-RR2-1B), (144A), 5.509%, due 04/15/47⁽¹⁾⁽²⁾		780,983
	1,710	JPMorgan Chase Commercial Mortgage Securities Trust, (06-CB17-A4), 5.429%, due 12/12/43		1,712
	235,872	JPMorgan Chase Commercial Mortgage Securities Trust, (10-CNTR-A1), (144A), 3.3%, due 08/05/32⁽²⁾		242,464
	240,000	JPMorgan Chase Commercial Mortgage Securities Trust, (10-CNTR-A2), (144A), 4.311%, due 08/05/32⁽²⁾		258,361
	961,771	Morgan Stanley Bank of America Merrill Lynch Trust, (13-C11-A2), 3.085%, due 08/15/46		976,510
	255,000	OBP Depositor LLC Trust, (10-OBP-A), (144A), 4.646%, due 07/15/45⁽²⁾		278,179


		Total Commercial Mortgage-Backed Securities—Non-Agency		3,403,100

See accompanying Notes to Schedule of Investments.

TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2016 (UNAUDITED) (CONT’D)


Principal Amount		Fixed Income Securities	Value
		Residential Mortgage-Backed Securities—Agency (1.8%)
$	192,050	Federal Home Loan Mortgage Corp., (1673-SD), 16.03%, due 02/15/24(I/F) (PAC)⁽¹⁾	$	245,061
	414,692	Federal Home Loan Mortgage Corp., (1760-ZD), 1.06%, due 02/15/24⁽¹⁾		406,779
	220,776	Federal Home Loan Mortgage Corp., (2990-JK), 19.907%, due 03/15/35(I/F)⁽¹⁾		318,232
	3,814,943	Federal Home Loan Mortgage Corp., (3122-SG), 5.106%, due 03/15/36(I/O) (I/F) (TAC) (PAC)⁽¹⁾		708,273
	1,154,192	Federal Home Loan Mortgage Corp., (3239-SI), 6.126%, due 11/15/36(I/O) (I/F) (PAC)⁽¹⁾		214,282
	501,213	Federal Home Loan Mortgage Corp., (3323-SA), 5.586%, due 05/15/37(I/O) (I/F)⁽¹⁾		67,871
	454,287	Federal Home Loan Mortgage Corp., (3459-JS), 5.726%, due 06/15/38(I/O) (I/F)⁽¹⁾		77,175
	2,326,165	Federal Home Loan Mortgage Corp., (4030-HS), 6.086%, due 04/15/42(I/O) (I/F)⁽¹⁾		447,180
	3,101,153	Federal National Mortgage Association, (04-53-QV), 1.59%, due 02/25/34(I/O) (I/F)⁽¹⁾		87,098
	436,743	Federal National Mortgage Association, (07-42-SE), 5.585%, due 05/25/37(I/O) (I/F)⁽¹⁾		65,556
	3,007,296	Federal National Mortgage Association, (07-48-SD), 5.575%, due 05/25/37(I/O) (I/F)⁽¹⁾		538,223
	604,575	Federal National Mortgage Association, (09-69-CS), 6.225%, due 09/25/39(I/O) (I/F)⁽¹⁾		116,826
	3,314,661	Government National Mortgage Association, (06-35-SA), 6.068%, due 07/20/36(I/O) (I/F)⁽¹⁾		573,217
	5,709,011	Government National Mortgage Association, (06-61-SA), 4.218%, due 11/20/36(I/O) (I/F) (TAC)⁽¹⁾		606,144
	3,362,847	Government National Mortgage Association, (08-58-TS), 5.868%, due 05/20/38(I/O) (I/F) (TAC)⁽¹⁾		446,856


		Total Residential Mortgage-Backed Securities—Agency		4,918,773


		Residential Mortgage-Backed Securities—Non-Agency (51.1%)
	614,188	ACE Securities Corp., (04-IN1-A1), 1.165%, due 05/25/34⁽¹⁾		552,650
	1,911,156	ACE Securities Corp., (07-ASP1-A2C), 0.785%, due 03/25/37⁽¹⁾		1,182,035
	1,380,539	Adjustable Rate Mortgage Trust, (05-4-6A22), 3.168%, due 08/25/35⁽¹⁾		418,515
	801,934	Adjustable Rate Mortgage Trust, (06-1-2A1), 3.383%, due 03/25/36⁽¹⁾⁽⁴⁾		589,876
	746,448	Asset-Backed Funding Certificates, (05-HE2-M2), 1.275%, due 06/25/35⁽¹⁾		742,786
	1,600,000	Asset-Backed Funding Certificates, (07-NC1-A2), (144A), 0.825%, due 05/25/37⁽¹⁾⁽²⁾		1,248,561
	1,500,000	Asset-Backed Securities Corp. Home Equity, (06-HE1-A4), 0.825%, due 01/25/36⁽¹⁾		1,340,849
	3,000,000	Asset-Backed Securities Corp. Home Equity, (06-HE3-A5), 0.795%, due 03/25/36⁽¹⁾		2,355,151
	1,045,392	Asset-Backed Securities Corp. Home Equity, (07-HE1-A1B), 0.675%, due 12/25/36⁽¹⁾		977,012
	1,384,537	Banc of America Alternative Loan Trust, (05-10-1CB1), 0.925%, due 11/25/35⁽¹⁾⁽⁴⁾		1,078,934
	1,828,695	Banc of America Funding Corp., (15-R3-6A2), (144A), 0.694%, due 05/28/36⁽²⁾		1,316,451
	815,882	Banc of America Funding Trust, (06-3-4A14), 6%, due 03/25/36		825,952
	540,820	Banc of America Funding Trust, (06-3-5A3), 5.5%, due 03/25/36⁽⁴⁾		508,213
	183,901	BCAP LLC Trust, (09-RR4-1A1), (144A), 9.5%, due 06/26/37⁽²⁾		188,581
	644,078	BCAP LLC Trust, (11-RR3-1A5), (144A), 3.192%, due 05/27/37⁽¹⁾⁽²⁾		642,347
	1,172,011	BCAP LLC Trust, (11-RR3-5A3), (144A), 5.094%, due 11/27/37⁽¹⁾⁽²⁾		1,146,107
	480,983	BCAP LLC Trust, (11-RR5-1A3), (144A), 2.685%, due 03/26/37⁽¹⁾⁽²⁾		473,321
	852,416	Bear Stearns Adjustable Rate Mortgage Trust, (03-7-9A), 2.886%, due 10/25/33⁽¹⁾		845,774
	780,933	Bear Stearns Adjustable Rate Mortgage Trust, (05-9-A1), 2.83%, due 10/25/35⁽¹⁾		756,307
	891,722	Bear Stearns Adjustable Rate Mortgage Trust, (07-4-22A1), 4.691%, due 06/25/47⁽¹⁾⁽⁴⁾		817,968
	935,998	Bear Stearns Asset-Backed Securities Trust, (05-AC6-1A3), 5.5%, due 09/25/35⁽¹⁾		949,938
	580,567	Bear Stearns Asset-Backed Securities Trust, (06-IM1-A1), 0.755%, due 04/25/36⁽¹⁾		551,685
	455,990	Centex Home Equity Loan Trust, (05-A-AF5), 5.78%, due 01/25/35		473,536
	2,866,244	Centex Home Equity Loan Trust, (06-A-AV4), 0.775%, due 06/25/36⁽¹⁾		2,814,688
	1,334,661	CIM Trust, (15-4AG-A1), (144A), 2.523%, due 10/25/57⁽¹⁾⁽²⁾		1,305,932
	744,559	Citigroup Mortgage Loan Trust, Inc., (05-11-A2A), 2.93%, due 10/25/35⁽¹⁾		740,943
	2,475,553	Citigroup Mortgage Loan Trust, Inc., (05-8-1A1A), 3.082%, due 10/25/35⁽¹⁾⁽⁴⁾		2,111,767

See accompanying Notes to Schedule of Investments.

TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2016 (UNAUDITED) (CONT’D)


Principal Amount		Fixed Income Securities	Value
		Residential Mortgage-Backed Securities—Non-Agency (Continued)
$	956,305	Citigroup Mortgage Loan Trust, Inc., (06-WFH3-A4), 0.765%, due 10/25/36⁽¹⁾	$	943,786
	2,195,207	Citigroup Mortgage Loan Trust, Inc., (14-10-2A2), (144A), 0.774%, due 07/25/37⁽¹⁾⁽²⁾		1,922,337
	1,469,216	CitiMortgage Alternative Loan Trust, (06-A3-1A7), 6%, due 07/25/36⁽⁴⁾		1,371,230
	831,447	CitiMortgage Alternative Loan Trust, (06-A5-1A8), 6%, due 10/25/36⁽⁴⁾		739,098
	256,630	Conseco Finance Securitizations Corp., (01-4-A4), 7.36%, due 08/01/32		274,919
	1,843,216	Conseco Finance Securitizations Corp., (99-6-A1), (144A), 7.36%, due 06/01/30⁽²⁾		1,365,261
	1,200,000	Countryplace Manufactured Housing Contract Trust, (07-1-A4), (144A), 5.846%, due 07/15/37⁽¹⁾⁽²⁾		1,206,976
	462,430	Countrywide Alternative Loan Trust, (05-20CB-4A1), 5.25%, due 07/25/20⁽⁴⁾		453,168
	1,006,580	Countrywide Asset-Backed Certificates, (07-13-2A1), 1.425%, due 10/25/47⁽¹⁾		923,050
	1,528,107	Countrywide Home Loans, (04-HYB4-B1), 3.084%, due 09/20/34⁽¹⁾⁽⁴⁾		343,954
	36,764,622	Countrywide Home Loans, (06-14-X), 0.228%, due 09/25/36(I/O)⁽¹⁾		312,834
	1,961,729	Countrywide Home Loans, (06-HYB2-1A1), 2.988%, due 04/20/36⁽¹⁾		1,550,141
	656,983	Credit Suisse First Boston Mortgage Securities Corp., (04-AR5-11A2), 1.265%, due 06/25/34⁽¹⁾		635,437
	1,706,338	Credit Suisse First Boston Mortgage Securities Corp., (05-12-1A1), 6.5%, due 01/25/36		1,253,545
	975,053	Credit Suisse Mortgage Capital Certificates, (06-6-1A8), 6%, due 07/25/36⁽⁴⁾		748,738
	1,066,227	Credit Suisse Mortgage Trust, (12-2R-1A2), (144A), 3.037%, due 05/27/35⁽¹⁾⁽²⁾		851,041
	813,570	Credit-Based Asset Servicing and Securitization LLC, (03-CB3-AF1), 3.379%, due 12/25/32⁽¹⁾		802,216
	1,290,000	Credit-Based Asset Servicing and Securitization LLC, (05-CB4-M2), 0.974%, due 07/25/35⁽¹⁾		1,220,319
	1,704,500	Credit-Based Asset Servicing and Securitization LLC, (06-CB1-AF2), 3.392%, due 01/25/36⁽¹⁾		1,267,211
	3,070,316	Credit-Based Asset Servicing and Securitization LLC, (06-CB2-AF2), 3.487%, due 12/25/36⁽¹⁾		2,160,928
	1,562,538	Credit-Based Asset Servicing and Securitization LLC, (07-CB2-A2B), 4.444%, due 02/25/37⁽¹⁾		1,164,706
	1,535,212	Credit-Based Asset Servicing and Securitization LLC, (07-CB2-A2C), 4.444%, due 02/25/37⁽¹⁾		1,144,192
	1,728,452	Credit-Based Asset Servicing and Securitization LLC, (07-CB3-A3), 3.957%, due 03/25/37⁽¹⁾		979,975
	1,116,262	CSMC Trust, (14-CIM1-A1), (144A), 2.244%, due 01/25/58⁽¹⁾⁽²⁾		1,119,895
	2,740,730	Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, (06-AB2-A2), 5.881%, due 06/25/36⁽¹⁾⁽⁴⁾		2,371,778
	1,168,878	Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, (06-AR6-A6), 0.715%, due 02/25/37⁽¹⁾⁽⁴⁾		944,222
	660,333	DSLA Mortgage Loan Trust, (06-AR2-2A1A), 0.462%, due 10/19/36⁽¹⁾		559,669
	1,249,964	First Franklin Mortgage Loan Asset-Backed Certificates, (06-FF13-A2C), 0.685%, due 10/25/36⁽¹⁾		911,383
	1,778,907	First Franklin Mortgage Loan Asset-Backed Certificates, (06-FF18-A2D), 0.735%, due 12/25/37⁽¹⁾		1,130,828
	875,053	First Horizon Alternative Mortgage Securities Trust, (05-AA10-2A1), 2.713%, due 12/25/35⁽¹⁾⁽⁴⁾		759,316
	78,213	Green Tree, (08-MH1-A2), (144A), 8.97%, due 04/25/38⁽¹⁾⁽²⁾		78,532
	33,242	Green Tree, (08-MH1-A3), (144A), 8.97%, due 04/25/38⁽¹⁾⁽²⁾		33,376
	425,092	Green Tree Financial Corp., (96-6-M1), 7.95%, due 09/15/27		466,992
	545,357	Green Tree Financial Corp., (96-7-M1), 7.7%, due 09/15/26⁽¹⁾		596,862
	218,303	Green Tree Financial Corp., (97-3-A5), 7.14%, due 03/15/28		226,517
	90,500	Green Tree Financial Corp., (97-3-A7), 7.64%, due 03/15/28⁽¹⁾		94,302
	377,783	Green Tree Financial Corp., (98-3-A6), 6.76%, due 03/01/30⁽¹⁾		404,806
	455,145	Green Tree Financial Corp., (98-4-A5), 6.18%, due 04/01/30		469,815
	389,207	Green Tree Financial Corp., (98-4-A6), 6.53%, due 04/01/30⁽¹⁾		415,858
	412,124	Green Tree Financial Corp., (98-4-A7), 6.87%, due 04/01/30⁽¹⁾		443,899
	975,069	Greenpoint Manufactured Housing, (00-1-A4), 8.14%, due 03/20/30⁽¹⁾		1,041,567
	1,863,125	GSAA Home Equity Trust, (06-13-AF6), 6.04%, due 07/25/36		1,126,945
	731,006	GSC Capital Corp. Mortgage Trust, (06-2-A1), 0.705%, due 05/25/36⁽¹⁾⁽⁴⁾		567,138
	583,040	GSR Mortgage Loan Trust, (05-AR3-6A1), 3.098%, due 05/25/35⁽¹⁾		544,574
	740,158	HSI Asset Loan Obligation Trust, (07-2-2A12), 6%, due 09/25/37		681,034

See accompanying Notes to Schedule of Investments.

TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2016 (UNAUDITED) (CONT’D)


Principal Amount		Fixed Income Securities	Value
		Residential Mortgage-Backed Securities—Non-Agency (Continued)
$	1,000,000	HSI Asset Securitization Corp. Trust, (06-OPT2-2A4), 0.815%, due 01/25/36⁽¹⁾	$	993,711
	882,581	Indymac INDX Mortgage Loan Trust, (04-AR6-5A1), 3.036%, due 10/25/34⁽¹⁾		867,649
	1,029,080	Indymac INDX Mortgage Loan Trust, (05-AR19-A1), 3.017%, due 10/25/35⁽¹⁾		872,879
	1,401,819	Indymac INDX Mortgage Loan Trust, (06-AR13-A4X), 2.15%, due 07/25/36(I/O)⁽¹⁾		15,309
	1,153,170	Indymac INDX Mortgage Loan Trust, (06-AR9-1A1), 3.256%, due 06/25/36⁽¹⁾⁽⁴⁾		848,813
	1,797,874	Indymac INDX Mortgage Loan Trust, (07-AR5-2A1), 3.139%, due 05/25/37⁽¹⁾⁽⁴⁾		1,447,697
	2,051,990	Indymac INDX Mortgage Loan Trust, (07-FLX2-A1C), 0.715%, due 04/25/37⁽¹⁾		1,435,589
	146,277	Indymac Manufactured Housing Contract, (98-2-A4), 6.64%, due 08/25/29⁽¹⁾		145,760
	1,113,981	JPMorgan Alternative Loan Trust, (06-A2-5A1), 2.952%, due 05/25/36⁽¹⁾⁽⁴⁾		771,103
	4,616	JPMorgan Chase Commercial Mortgage Securities Trust, (11-C3-A2), (144A), 3.673%, due 02/15/46⁽²⁾		4,614
	1,200,000	JPMorgan Mortgage Acquisition Trust, (07-CH1-MV1), 0.754%, due 11/25/36⁽¹⁾		1,149,413
	780,000	JPMorgan Mortgage Acquisition Trust, (07-CH4-A4), 0.685%, due 01/25/36⁽¹⁾		734,259
	734,014	JPMorgan Mortgage Trust, (04-A6-5A1), 2.773%, due 12/25/34⁽¹⁾		705,782
	234,784	JPMorgan Mortgage Trust, (07-S2-1A1), 5%, due 06/25/37		173,164
	235,682	Lehman ABS Manufactured Housing Contract Trust, (01-B-A6), 6.467%, due 04/15/40⁽¹⁾		247,108
	1,446,694	Lehman XS Trust, (06-10N-1A3A), 0.735%, due 07/25/46⁽¹⁾⁽⁴⁾		1,162,815
	2,093,996	Lehman XS Trust, (06-12N-A31A), 0.725%, due 08/25/46⁽¹⁾⁽⁴⁾		1,625,682
	1,619,092	Long Beach Mortgage Loan Trust, (04-4-M1), 1.425%, due 10/25/34⁽¹⁾		1,494,993
	1,390,278	MASTR Alternative Loans Trust, (07-HF1-4A1), 7%, due 10/25/47⁽⁴⁾		1,018,429
	601,083	MASTR Asset-Backed Securities Trust, (06-NC1-A4), 0.825%, due 01/25/36⁽¹⁾		571,480
	2,000,000	MASTR Asset-Backed Securities Trust, (07-HE1-A4), 0.805%, due 05/25/37⁽¹⁾		1,257,134
	914,416	Merrill Lynch First Franklin Mortgage Loan Trust, (07-3-A2B), 0.655%, due 06/25/37⁽¹⁾		656,792
	1,867,216	Merrill Lynch First Franklin Mortgage Loan Trust, (07-3-A2C), 0.705%, due 06/25/37⁽¹⁾		1,280,028
	624,111	Merrill Lynch Mortgage-Backed Securities Trust, (07-2-1A1), 3.01%, due 08/25/36⁽¹⁾		577,274
	503,878	Mid-State Trust, (04-1-B), 8.9%, due 08/15/37		577,784
	503,878	Mid-State Trust, (04-1-M1), 6.497%, due 08/15/37		538,173
	343,286	Mid-State Trust, (6-A1), 7.34%, due 07/01/35		366,189
	307,584	Mid-State Trust, (6-A3), 7.54%, due 07/01/35		325,822
	853,824	Morgan Stanley ABS Capital I, Inc. Trust, (03-NC6-M1), 1.725%, due 06/25/33⁽¹⁾		833,741
	1,373,359	Morgan Stanley ABS Capital I, Inc. Trust, (05-HE3-M3), 1.32%, due 07/25/35⁽¹⁾		1,352,854
	1,286,249	Morgan Stanley ABS Capital I, Inc. Trust, (06-HE3-A1), 0.665%, due 04/25/36⁽¹⁾		1,196,128
	1,021,806	Morgan Stanley ABS Capital I, Inc. Trust, (07-15AR-4A1), 4.343%, due 11/25/37⁽¹⁾		728,032
	1,374,224	Morgan Stanley Home Equity Loan Trust, (06-2-A4), 0.805%, due 02/25/36⁽¹⁾		1,308,158
	897,083	MortgageIT Trust, (05-5-A1), 0.785%, due 12/25/35⁽¹⁾		806,090
	3,000,000	Nationstar Home Equity Loan Trust, (07-B-2AV3), 0.775%, due 04/25/37⁽¹⁾		2,824,650
	50,982	New Century Home Equity Loan Trust, (05-3-M1), 1.005%, due 07/25/35⁽¹⁾		51,085
	1,344,434	New Century Home Equity Loan Trust, (05-B-A2D), 0.925%, due 10/25/35⁽¹⁾		1,274,887
	1,700,000	New Century Home Equity Loan Trust, (06-C-A2D), 0.865%, due 12/25/35⁽¹⁾		1,495,486
	1,706,637	Nomura Asset Acceptance Corp., (06-AR1-1A), 4.149%, due 02/25/36⁽¹⁾		1,298,757
	2,036,948	Oakwood Mortgage Investors, Inc., (00-A-A4), 8.15%, due 09/15/29⁽¹⁾		1,426,606
	793,406	Oakwood Mortgage Investors, Inc., (00-D-A4), 7.4%, due 07/15/30⁽¹⁾		507,245
	1,418,504	Oakwood Mortgage Investors, Inc., (01-C-A3), 6.61%, due 06/15/31⁽¹⁾		559,929
	1,130,115	Oakwood Mortgage Investors, Inc., (01-D-A3), 5.9%, due 09/15/22⁽¹⁾		957,312
	654,764	Oakwood Mortgage Investors, Inc., (01-D-A4), 6.93%, due 09/15/31⁽¹⁾		604,523

See accompanying Notes to Schedule of Investments.

TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2016 (UNAUDITED) (CONT’D)


Principal Amount		Fixed Income Securities	Value
		Residential Mortgage-Backed Securities—Non-Agency (Continued)
$	432,787	Oakwood Mortgage Investors, Inc., (02-A-A3), 6.03%, due 05/15/24⁽¹⁾	$	455,271
	485,670	Oakwood Mortgage Investors, Inc., (98-A-M), 6.825%, due 05/15/28⁽¹⁾		498,700
	140,265	Oakwood Mortgage Investors, Inc., (98-D-A), 6.4%, due 01/15/29		141,491
	447,973	Oakwood Mortgage Investors, Inc., (99-B-A4), 6.99%, due 12/15/26		473,999
	1,284,388	Oakwood Mortgage Investors, Inc., (99-E-A1), 7.608%, due 03/15/30⁽¹⁾		1,137,769
	405,317	Origen Manufactured Housing Contract Trust, (05-A-M1), 5.46%, due 06/15/36⁽¹⁾		427,115
	1,015,435	Park Place Securities, Inc., (05-WCW1-M1), 0.975%, due 09/25/35⁽¹⁾		1,010,802
	589,168	Park Place Securities, Inc., (05-WHQ2-M1), 1.155%, due 05/25/35⁽¹⁾		588,111
	611,000	Popular ABS Mortgage Pass-Through Trust, (05-6-A4), 4.189%, due 01/25/36		555,555
	1,121,673	RALI Series Trust, (06-QS7-A2), 6%, due 06/25/36⁽⁴⁾		950,569
	1,140,000	RASC Series Trust, (05-KS11-M1), 0.925%, due 12/25/35⁽¹⁾		1,108,585
	2,139,134	RBSSP Resecuritization Trust, (12-6-4A2), (144A), 0.854%, due 01/26/36⁽¹⁾⁽²⁾		1,919,360
	1,779,482	Residential Accredit Loans, Inc., (05-QA7-A1), 3.543%, due 07/25/35⁽¹⁾⁽⁴⁾		1,398,368
	1,083,635	Residential Accredit Loans, Inc., (05-QA8-CB21), 3.684%, due 07/25/35⁽¹⁾⁽⁴⁾		890,210
	1,319,946	Residential Accredit Loans, Inc., (06-QA10-A2), 0.705%, due 12/25/36⁽¹⁾		1,122,069
	807,471	Residential Accredit Loans, Inc., (06-QS1-A3), 5.75%, due 01/25/36(PAC)⁽⁴⁾		736,418
	19,991,051	Residential Accredit Loans, Inc., (06-QS11-AV), 0.344%, due 08/25/36(I/O)⁽¹⁾		299,810
	9,345,407	Residential Accredit Loans, Inc., (06-QS6-1AV), 0.753%, due 06/25/36(I/O)⁽¹⁾		286,167
	1,887,444	Residential Accredit Loans, Inc., (06-QS8-A3), 6%, due 08/25/36⁽⁴⁾		1,625,769
	22,931,266	Residential Accredit Loans, Inc., (07-QS2-AV), 0.333%, due 01/25/37(I/O)⁽¹⁾		319,137
	22,774,975	Residential Accredit Loans, Inc., (07-QS3-AV), 0.339%, due 02/25/37(I/O)⁽¹⁾		350,174
	547,227	Residential Accredit Loans, Inc., (07-QS6-A62), 5.5%, due 04/25/37(TAC)⁽⁴⁾		454,412
	1,250,000	Residential Asset Mortgage Products, Inc., (06-RZ3-A3), 0.815%, due 08/25/36⁽¹⁾		1,179,259
	1,270,683	Residential Asset Securitization Trust, (05-A15-4A1), 6%, due 02/25/36⁽⁴⁾		986,110
	3,640,190	Residential Asset Securitization Trust, (07-A5-AX), 6%, due 05/25/37(I/O)		715,271
	57,813,323	Residential Funding Mortgage Securities, (06-S9-AV), 0.309%, due 09/25/36(I/O)⁽¹⁾		517,897
	99,608	Residential Funding Mortgage Securities II, (01-HI3-AI7), 7.56%, due 07/25/26		100,844
	496,484	Restructured Asset Backed Securities Trust, (04-1A-A2), (144A), 5.7%, due 12/15/30⁽²⁾		505,798
	2,926,000	Saxon Asset Securities Trust, (07-3-2A4), 1.015%, due 09/25/47⁽¹⁾		1,786,353
	4,614,000	Securitized Asset-Backed Receivables LLC Trust, (07-NC2-A2C), 0.745%, due 01/25/37⁽¹⁾		2,825,429
	1,400,000	Soundview Home Loan Trust, (06-1-A4), 0.825%, due 02/25/36⁽¹⁾		1,298,008
	1,500,000	Soundview Home Loan Trust, (06-EQ1-A4), 0.775%, due 10/25/36⁽¹⁾		1,110,359
	608,569	Structured Adjustable Rate Mortgage Loan Trust, (05-20-1A1), 2.964%, due 10/25/35⁽¹⁾		459,417
	728,262	Structured Adjustable Rate Mortgage Loan Trust, (07-9-2A1), 5.981%, due 10/25/47⁽¹⁾		591,755
	1,059,206	Structured Asset Investment Loan Trust, (05-3-M2), 1.185%, due 04/25/35⁽¹⁾		1,044,745
	1,000,000	Structured Asset Securities Corp., (05-WF4-M2), 0.955%, due 11/25/35⁽¹⁾		984,537
	1,600,000	Structured Asset Securities Corp., (06-GEL4-A3), (144A), 0.825%, due 10/25/36⁽¹⁾⁽²⁾		1,503,428
	10,048	UCFC Manufactured Housing Contract, (97-4-A4), 6.995%, due 04/15/29⁽¹⁾		10,015
	168,647	Vanderbilt Acquisition Loan Trust, (02-1-A4), 6.57%, due 05/07/27⁽¹⁾		171,787
	261,521	Vanderbilt Acquisition Loan Trust, (02-1-M1), 7.33%, due 05/07/32⁽¹⁾		281,034
	2,757,589	WAMU Asset-Backed Certificates, (07-HE1-2A3), 0.675%, due 01/25/37⁽¹⁾		1,606,136
	7,651,930	Wells Fargo Alternative Loan Trust, (07-PA2-2A2), 5.545%, due 06/25/37(I/O)⁽¹⁾		1,227,921
	730,000	Wells Fargo Home Equity Trust, (06-2-A3), 0.735%, due 01/25/37⁽¹⁾		568,771
	1,300,759	Wells Fargo Home Equity Trust, (06-2-A4), 0.775%, due 07/25/36⁽¹⁾		1,286,582
	839,712	Wells Fargo Mortgage-Backed Securities Trust, (06-AR10-5A1), 3.08%, due 07/25/36⁽¹⁾⁽⁴⁾		827,049

See accompanying Notes to Schedule of Investments.

TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2016 (UNAUDITED) (CONT’D)


Principal Amount		Fixed Income Securities	Value
		Residential Mortgage-Backed Securities—Non-Agency (Continued)
$	627,763	Wells Fargo Mortgage-Backed Securities Trust, (07-AR3-A4), 5.895%, due 04/25/37⁽¹⁾⁽⁴⁾	$	586,401
	356,316	Wells Fargo Mortgage-Backed Securities Trust, (08-1-4A1), 5.75%, due 02/25/38		374,816


		Total Residential Mortgage-Backed Securities—Non-Agency		143,970,760


		Total Collateralized Mortgage Obligations (Cost: $142,994,828)		155,261,534


		Corporate Bonds (18.4%)

		Aerospace/Defense (0.1%)
	280,000	TransDigm, Inc., (144A), 6.375%, due 06/15/26⁽²⁾		290,500


		Airlines (1.3%)
	365,687	America West Airlines, Inc. Pass-Through Certificates, (01-1), 7.1%, due 10/02/22(EETC)		401,817
	1,055,525	Continental Airlines, Inc. Pass-Through Certificates, (00-2-A1), 7.707%, due 10/02/22(EETC)		1,150,192
	457,823	Delta Air Lines, Inc. Pass-Through Certificates, (02-1G1), 6.718%, due 07/02/24(EETC)		528,786
	1,000,000	JetBlue Airways Corp. Pass-Through Trust, (04-2-G2), 1.267%, due 05/15/18(EETC)⁽¹⁾		996,400
	609,485	US Airways Group, Inc. Pass-Through Certificates, (10-1A), 6.25%, due 10/22/24(EETC)		694,813


		Total Airlines		3,772,008


		Auto Manufacturers (0.2%)
	450,000	Ford Motor Credit Co. LLC, 3%, due 06/12/17		454,683
	200,000	General Motors Financial Co., Inc., 3.2%, due 07/06/21		202,960


		Total Auto Manufacturers		657,643


		Banks (3.7%)
	1,000,000	Bank of America Corp., 3.875%, due 08/01/25		1,070,321
	650,000	Bank of America Corp., 5.75%, due 12/01/17		681,225
	500,000	Capital One NA, 2.4%, due 09/05/19		508,127
	2,000,000	Citigroup, Inc., 1.375%, due 08/25/36⁽¹⁾		1,481,722
	500,000	Discover Bank / Greenwood DE, 2%, due 02/21/18		502,052
	1,900,000	JPMorgan Chase Capital XXI, 1.709%, due 01/15/87⁽¹⁾		1,530,931
	1,000,000	JPMorgan Chase Capital XXIII, 1.817%, due 05/15/77⁽¹⁾		767,500
	650,000	Lloyds Bank PLC (United Kingdom), (144A), 5.8%, due 01/13/20⁽²⁾		726,538
	1,110,000	Lloyds Banking Group PLC (United Kingdom), 4.65%, due 03/24/26		1,149,430
	908,000	Macquarie Bank, Ltd. (Australia), (144A), 6.625%, due 04/07/21⁽²⁾		1,046,661
	400,000	Morgan Stanley, 3.875%, due 04/29/24		428,500
	450,000	Wells Fargo & Co., 3%, due 04/22/26		454,420


		Total Banks		10,347,427


		Beverages (0.5%)
	211,000	Anheuser-Busch InBev Finance, Inc., 3.65%, due 02/01/26		226,310
	389,000	Anheuser-Busch InBev Finance, Inc., 4.9%, due 02/01/46		463,377
	263,000	Constellation Brands, Inc., 6%, due 05/01/22		303,436
	275,000	DS Services of America, Inc., (144A), 10%, due 09/01/21⁽²⁾		308,000


		Total Beverages		1,301,123


		Biotechnology (0.7%)
	690,000	Amgen, Inc., (144A), 4.663%, due 06/15/51⁽²⁾		740,218
	500,000	Biogen, Inc., 5.2%, due 09/15/45		589,737

See accompanying Notes to Schedule of Investments.

TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2016 (UNAUDITED) (CONT’D)


Principal Amount		Fixed Income Securities	Value
		Biotechnology (Continued)
	$500,000	Celgene Corp., 4.625%, due 05/15/44	$	529,113

		Total Biotechnology		1,859,068

		Chemicals (0.1%)
	180,000	Valvoline, Inc., (144A), 5.5%, due 07/15/24⁽²⁾		188,550

		Commercial Services (0.1%)
	280,000	IHS Markit, Ltd., (144A), 5%, due 11/01/22⁽²⁾		297,668

		Computers (0.3%)
	670,000	Apple, Inc., 4.65%, due 02/23/46		769,444

		Diversified Financial Services (0.3%)
	250,000	International Lease Finance Corp., (144A), 7.125%, due 09/01/18⁽²⁾		273,281
	490,050	Pipeline Funding Co. LLC, (144A), 7.5%, due 01/15/30⁽²⁾		580,812

		Total Diversified Financial Services		854,093

		Electric (1.0%)
	360,000	Cleco Corporate Holdings LLC, (144A), 3.743%, due 05/01/26⁽²⁾		373,336
	275,000	Dominion Resources, Inc., 4.104%, due 04/01/21		294,833
	62,000	Dynegy, Inc., 5.875%, due 06/01/23		55,803
	750,000	FirstEnergy Transmission LLC, (144A), 4.35%, due 01/15/25⁽²⁾		808,664
	910,965	Mirant Mid-Atlantic LLC, Pass-Through Certificates, Series C, 10.06%, due 12/30/28(EETC)		715,108
	500,000	Puget Energy, Inc., 6%, due 09/01/21		578,523

		Total Electric		2,826,267

		Engineering & Construction (0.4%)
	700,000	Heathrow Funding, Ltd. (United Kingdom), (144A), 4.875%, due 07/15/23⁽²⁾		765,640
	279,000	SBA Communications Corp., (144A), 4.875%, due 09/01/24⁽²⁾		282,488

		Total Engineering & Construction		1,048,128

		Entertainment (0.1%)
	275,000	Churchill Downs, Inc., (144A), 5.375%, due 12/15/21⁽²⁾		286,000

		Environmental Control (0.0%)
	135,000	Clean Harbors, Inc., 5.125%, due 06/01/21		139,050

		Food Service (0.0%)
	130,000	Aramark Services, Inc., (144A), 5.125%, due 01/15/24⁽²⁾		135,525

		Healthcare-Products (0.0%)
	130,000	Hill-Rom Holdings, Inc., (144A), 5.75%, due 09/01/23⁽²⁾		139,237

		Healthcare-Services (0.7%)
	50,000	Centene Corp., 5.625%, due 02/15/21		53,125
	400,000	DaVita, Inc., 5%, due 05/01/25		403,520
	260,000	Fresenius Medical Care US Finance, Inc., (144A), 5.75%, due 02/15/21⁽²⁾		292,500
	550,000	HCA, Inc., 5.875%, due 03/15/22		607,750
	650,000	Tenet Healthcare Corp., 4.35%, due 06/15/20⁽¹⁾		656,565

		Total Healthcare-Services		2,013,460

See accompanying Notes to Schedule of Investments.

TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2016 (UNAUDITED) (CONT’D)


Principal Amount		Fixed Income Securities	Value
		Insurance (0.8%)
$	500,000	Farmers Exchange Capital, (144A), 7.05%, due 07/15/28⁽²⁾	$	603,741
	600,000	MetLife, Inc., 6.4%, due 12/15/66		669,000
	1,000,000	Nationwide Mutual Insurance Co., (144A), 3.14%, due 12/15/24⁽¹⁾⁽²⁾		980,000

		Total Insurance		2,252,741

		Lodging (0.1%)
	202,000	Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp., 5.625%, due 10/15/21		208,075

		Media (1.0%)
	200,000	Altice Financing S.A. (Luxembourg), (144A), 7.5%, due 05/15/26⁽²⁾		208,750
	300,000	Altice US Finance I Corp. (Luxembourg), (144A), 5.375%, due 07/15/23⁽²⁾		311,250
	150,000	CBS Corp., 4%, due 01/15/26		159,048
	150,000	CCO Holdings LLC / CCO Holdings Capital Corp., (144A), 5.75%, due 02/15/26⁽²⁾		159,188
	800,000	Charter Communications Operating LLC / Charter Communications Operating Capital, (144A), 4.464%, due 07/23/22⁽²⁾		862,284
	150,000	Charter Communications Operating LLC / Charter Communications Operating Capital, (144A), 6.484%, due 10/23/45⁽²⁾		182,377
	150,000	DISH DBS Corp., 5.125%, due 05/01/20		156,375
	200,000	Neptune Finco Corp., (144A), 6.625%, due 10/15/25⁽²⁾		217,500
	140,000	Nexstar Broadcasting, Inc., (144A), 6.125%, due 02/15/22⁽²⁾		145,250
	432,000	Virgin Media Secured Finance PLC (United Kingdom), (144A), 5.375%, due 04/15/21⁽²⁾		451,980

		Total Media		2,854,002

		Miscellaneous Manufacturers (0.6%)
	2,000,000	General Electric Capital Corp., 1.297%, due 08/15/36⁽¹⁾		1,722,138

		Packaging & Containers (0.2%)
	280,000	Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. (Ireland), (144A), 3.85%, due 12/15/19⁽¹⁾⁽²⁾		284,564
	280,000	Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer (Luxembourg), 5.75%, due 10/15/20		289,800

		Total Packaging & Containers		574,364

		Pharmaceuticals (1.1%)
	417,000	AbbVie, Inc., 3.2%, due 05/14/26		425,397
	1,000,000	Actavis Funding SCS (Luxembourg), 3.8%, due 03/15/25		1,060,221
	500,000	AstraZeneca PLC (United Kingdom), 3.375%, due 11/16/25		534,547
	300,000	Baxalta, Inc., 2.875%, due 06/23/20		307,913
	200,000	Grifols Worldwide Operations, Ltd. (Ireland), 5.25%, due 04/01/22		208,000
	140,000	Quintiles Transnational Corp., (144A), 4.875%, due 05/15/23⁽²⁾		144,813
	350,000	Valeant Pharmaceuticals International, Inc. (Canada), (144A), 5.875%, due 05/15/23⁽²⁾		304,062
	150,000	Valeant Pharmaceuticals International, Inc. (Canada), (144A), 6.125%, due 04/15/25⁽²⁾		130,125

		Total Pharmaceuticals		3,115,078

		Pipelines (1.5%)
	700,000	Boardwalk Pipelines LP, 5.875%, due 11/15/16		703,265
	50,000	Enbridge Energy Partners LP, 5.875%, due 10/15/25		57,488
	450,000	Energy Transfer Partners LP, 3.774%, due 11/01/66⁽¹⁾		306,000
	490,000	Energy Transfer Partners LP, 6.125%, due 02/15/17		497,641

See accompanying Notes to Schedule of Investments.

TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2016 (UNAUDITED) (CONT’D)


Principal Amount		Fixed Income Securities	Value
		Pipelines (Continued)
$	200,000	Regency Energy Partners LP / Regency Energy Finance Corp., 5.875%, due 03/01/22	$	220,558
	1,500,000	Sabine Pass LNG, LP, (144A), 7.5%, due 11/30/16⁽²⁾		1,508,438
	600,000	Texas Eastern Transmission LP, (144A), 2.8%, due 10/15/22⁽²⁾		599,348
	400,000	Williams Partners LP, 6.3%, due 04/15/40		440,160

		Total Pipelines		4,332,898

		Real Estate (0.5%)
	1,375,000	Post Apartment Homes, LP, 4.75%, due 10/15/17		1,418,999

		REIT (1.2%)
	135,000	DuPont Fabros Technology LP, 5.875%, due 09/15/21		141,919
	750,000	Education Realty Operating Partnership LP, 4.6%, due 12/01/24		781,999
	630,000	HCP, Inc., 4.25%, due 11/15/23		660,652
	700,000	Healthcare Realty Trust, Inc., 5.75%, due 01/15/21		796,001
	950,000	SL Green Realty Corp., 5%, due 08/15/18		992,488

		Total REIT		3,373,059

		Retail (0.4%)
	755,000	Walgreens Boots Alliance, Inc., 3.45%, due 06/01/26		785,353
	225,000	Walgreens Boots Alliance, Inc., 4.8%, due 11/18/44		249,479

		Total Retail		1,034,832

		Semiconductors (0.1%)
	200,000	NXP BV / NXP Funding LLC (Netherlands), (144A), 4.125%, due 06/01/21⁽²⁾		214,750


		Software (0.4%)
	403,000	First Data Corp., (144A), 5%, due 01/15/24⁽²⁾		410,556
	560,000	Oracle Corp., 2.4%, due 09/15/23		563,574
	90,000	SS&C Technologies Holdings, Inc., 5.875%, due 07/15/23		95,175

		Total Software		1,069,305

		Telecommunications (1.0%)
	400,000	AT&T, Inc., 4.3%, due 12/15/42		394,308
	675,000	AT&T, Inc., 4.75%, due 05/15/46		709,191
	150,000	Level 3 Financing, Inc., 5.625%, due 02/01/23		156,375
	75,000	Sprint Communications, Inc., (144A), 9%, due 11/15/18⁽²⁾		82,972
	250,000	T-Mobile USA, Inc., 6.625%, due 11/15/20		258,437
	155,000	T-Mobile USA, Inc., 6.731%, due 04/28/22		163,525
	400,000	Verizon Communications, Inc., 4.522%, due 09/15/48		424,761
	500,000	Verizon Communications, Inc., 5.85%, due 09/15/35		621,941

		Total Telecommunications		2,811,510

		Total Corporate Bonds (Cost: $49,493,268)		51,906,942


		Municipal Bonds (1.2%)
	1,000,000	California State, Build America Bonds, 7.95%, due 03/01/36		1,198,860
	1,000,000	City of New York, New York, Build America Bonds, 6.646%, due 12/01/31		1,188,110
	800,000	New York City Water and Sewer System, Build America Bonds, 6.491%, due 06/15/42		930,440

		Total Municipal Bonds (Cost: $3,245,258)		3,317,410

		U.S. Treasury Securities (4.0%)
	1,000,000	U.S. Treasury Note, 0.418%, due 10/31/17⁽¹⁾		1,001,124

See accompanying Notes to Schedule of Investments.

TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2016 (UNAUDITED) (CONT’D)


Principal Amount		Fixed Income Securities	Value
		U.S. Treasury Securities (Continued)
$	2,000,000	U.S. Treasury Note, 0.5%, due 01/31/17	$	2,000,970
	8,400,000	U.S. Treasury Note, 0.625%, due 08/31/17		8,397,755

		Total U.S. Treasury Securities (Cost: $11,385,266)		11,399,849


		Total Fixed Income Securities (Cost: $ 245,051,167) (92.2%)		259,717,657

Number of Shares		Common Stock
		Electric (0.0%)
	11,293	Mach Gen, LLC⁽³⁾⁽⁵⁾		29,644


		REIT (0.9%)
	134,886	American Capital Agency Corp.		2,635,673

		Total Common Stock (Cost: $ 2,910,069) (0.9%)		2,665,317

		Money Market Investments
	3,636,342	State Street Institutional U.S. Government Money Market Fund—Premier Class, 0.27%⁽⁶⁾		3,636,342

		Total Money Market Investments (Cost: $ 3,636,342) (1.3%)		3,636,342

Principal Amount		Short Term Investment
		Discount Notes (1.3%)
$	930,000	Federal Home Loan Bank, 0%, due 10/03/16⁽⁷⁾		930,000
	2,660,000	Federal National Mortgage Association, 0.151%, due 10/17/16⁽⁷⁾		2,659,814

		Total Discount Notes (Cost: $3,589,456)		3,589,814

		Foreign Government Bonds (2.5%)
	JPY200,000,000	Japan Treasury Bill, 0%, due 12/12/16⁽⁷⁾		1,976,199
	JPY500,000,000	Japan Treasury Bill, 0%, due 01/10/17⁽⁷⁾		4,942,818

		Total Foreign Government Bonds (Cost: $6,893,732)		6,919,017


		U.S. Treasury Securities (3.4%)
	245,000	U.S. Treasury Bill, 0.162%, due 12/08/16⁽⁷⁾⁽⁸⁾		244,925
	9,395,000	U.S. Treasury Bill, 0.337%, due 02/23/17⁽⁷⁾		9,382,345


		Total U.S. Treasury Securities (Cost: $9,624,478)		9,627,270


		Total Short-Term Investments (cost $20,107,666) (7.2%)		20,136,101


		TOTAL INVESTMENTS (Cost $271,705,244) (101.6%)		286,155,417
		LIABILITIES IN EXCESS OF OTHER ASSETS (-1.6%)		(4,643,217	)

		NET ASSETS (100.0%)	$	281,512,200

See accompanying Notes to Schedule of Investments.

TCW Strategic Income Fund, Inc.

SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2016 (UNAUDITED) (CONT’D)

Futures Contracts—Exchange Traded


Number of Contracts	Type	Expiration Date		Notional Contract Value		Net Unrealized Appreciation (Depreciation)
BUY
32	S&P 500 E-Mini Index Futures		12/16/16	$	3,456,640	$	(27,579	)

				$	3,456,640	$	(27,579	)

SELL
40	10-Year U.S. Treasury Note Futures		12/20/16	$	5,245,000	$	4,291
10	U.S. Ultra Long Bond Futures		12/20/16		1,838,750		36,993

				$	7,083,750	$	41,284

Forward Currency Contracts—OTC


Counterparty	Contracts to Deliver		Units of Currency		Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
BUY
Citibank N.A.		JPY		500,000,000		10/26/16	$	4,927,565	$	4,942,000	$	14,435

							$	4,927,565	$	4,942,000	$	14,435

SELL
Citibank N.A.		JPY		200,000,000		10/12/16	$	1,968,717	$	1,975,642	$	(6,925	)
Citibank N.A.		JPY		500,000,000		10/26/16		4,924,590		4,942,000		(17,410	)
Citibank N.A.		JPY		500,000,000		11/09/16		4,930,164		4,944,816		(14,652	)

							$	11,823,471	$	11,862,458	$	(38,987	)

Notes to Schedule of Investments:


(1)		Floating or variable rate security. The interest shown reflects the rate in effect at September 30, 2016.
(2)		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, 2016, the value of these securities amounted to $55,345,573 or 19.7% 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.
(3)		Restricted security (Note 3).
(4)		A portion of the principal balance has been written-off during the period due to defaults in the underlying loans.
(5)		Non-income producing security.
(6)		Rate disclosed is the 7-day net yield as of September 30, 2016.
(7)		Rate shown represents yield-to-maturity.
(8)		All or a portion of this security is held as collateral for open futures contracts.
JPY	-	Japanese Yen.
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.
OTC	-	Over the Counter.
PAC	-	Planned Amortization Class.
TAC	-	Target Amortization Class.

See accompanying Notes to Schedule of Investments.

TCW Strategic Income Fund, Inc.


Investments by Industry (Unaudited)			September 30, 2016


Industry	Percentage of Net Assets
Residential Mortgage-Backed Securities—Non-Agency		51.1	%
Asset-Backed Securities		13.4
U.S Treasury Securities		4.0
Banks		3.7
REIT		2.1
Residential Mortgage-Backed Securities—Agency		1.8
Pipelines		1.5
Airlines		1.3
Money Market Investments		1.3
Commercial Mortgage-Backed Securities—Non-Agency		1.2
Municipal Bonds		1.2
Commercial Mortgage-Backed Securities—Agency		1.1
Pharmaceuticals		1.1
Electric		1.0
Telecommunications		1.0
Media		1.0
Insurance		0.8
Healthcare-Services		0.7
Biotechnology		0.7
Miscellaneous Manufacturers		0.6
Beverages		0.5
Real Estate		0.5
Retail		0.4
Software		0.4
Engineering & Construction		0.4
Computers		0.3
Diversified Financial Services		0.3
Auto Manufacturers		0.2
Packaging & Containers		0.2
Aerospace/Defense		0.1
Entertainment		0.1
Lodging		0.1
Chemicals		0.1
Commercial Services		0.1
Semiconductors		0.1
Environmental Control		0.0	*
Food Service		0.0	*
Healthcare-Products		0.0	*
Short-Term Investments		7.2

Total		101.6	%

*	Value rounds to less than 0.1% of net assets

See accompanying notes to Schedule of Investments.


Notes to Schedule of Investments (Unaudited)		September 30, 2016

Note 1 — Security Valuation

Securities traded on national exchanges are valued at the last reported sales price. Securities traded on the NASDAQ Stock Market (“NASDAQ”) are valued using the NASDAQ Official Closing Price, which may not be the last reported sales price. Other securities, including short-term investments and forward currency contracts, which are traded on the over-the-counter (“OTC”) market, are valued at the mean of the current bid and asked prices as furnished by independent pricing services or by dealer quotations. Futures contracts are valued at the official settlement price of the exchange where they are traded.

Securities for which market quotations are not readily available, including circumstances under which it is determined by TCW Investment Management Company LLC (the “Advisor”) that prices received are not reflective of a security’s market value, are valued by the Advisor in good faith under procedures established by and under the general supervision of TCW Strategic Income Fund’s (the “Fund”) Board of Directors (the “Board”).

Fair value is defined as the price that a 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 the accounting principles generally accepted in the United States of America (“GAAP”), the Fund discloses investments 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 methodology 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: A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis is as follows:

Asset-backed securities (“ABS”) and mortgage-backed securities (“MBS”). The fair value of ABS and MBS is estimated based on 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.

Equity securities. Equity 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 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 the 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.

Foreign currency contracts. The fair value of foreign currency contracts are derived from indices, reference rates, and

other inputs or a combination of these factors. To the extent that these factors can be observed, foreign currency

contracts 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. As such, 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.

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, they are categorized in Level 1 of the fair value hierarchy.

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

The following is a summary of the inputs used as of September 30, 2016 in valuing the Fund’s investments:


Description	Quoted Prices in Active Markets for Identical Assets (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Total
Fixed Income Securities
Asset-Backed Securities	$	—		$	36,731,160		$	1,100,762	$	37,831,922
Collateralized Mortgage Obligations
Commercial Mortgage-Backed Securities— Agency		—			2,968,901			—		2,968,901
Commercial Mortgage-Backed Securities— Non-Agency		—			2,838,973			564,127		3,403,100
Residential Mortgage-Backed Securities— Agency		—			4,918,773			—		4,918,773
Residential Mortgage-Backed Securities— Non-Agency		—			139,926,240			4,044,520		143,970,760
Corporate Bonds*		—			51,906,942			—		51,906,942
Municipal Bonds		—			3,317,410			—		3,317,410
U.S. Treasury Securities		11,399,849			—			—		11,399,849

Total Fixed Income Securities		11,399,849			242,608,399			5,709,409		259,717,657

Total Common Stock		2,635,673			—			29,644		2,665,317

Short-Term Investments*		13,263,612			10,508,831			—		23,772,443

Total Investments		27,299,134			253,117,230			5,739,053		286,155,417

Asset Derivatives
Futures
Interest Rate Risk		41,284			—			—		41,284
Forward Currency Contracts
Foreign Currency Risk		—			14,435			—		14,435

Total	$	27,340,418		$	253,131,665		$	5,739,053	$	286,211,136

Liability Derivatives
Futures
Equity Risk	$	(27,579	)	$	—		$	—	$	(27,579	)
Forward Currency Contracts
Foreign Currency Risk		—			(38,987	)		—		(38,987	)

Total	$	(27,579	)	$	(38,987	)	$	—	$	(66,566	)

*	See Schedule of Investments for corresponding industries.

The Fund did not have any transfers in and out of Level 1 and Level 2 of the fair value hierarchy during the period ended September 30, 2016.

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

used in determining value:


	Asset- Backed Securities			Commercial Mortgage-Backed Securities — Non- Agency			Residential Mortgage-Backed Securities — Non- Agency			Common Stock			Total
Balance as of December 31, 2015	$	1,281,305		$	675,801		$	3,495,274		$	51,524		$	5,503,904
Accrued Discounts (Premiums)		—			(12,139	)		(445,087	)		—			(457,226	)
Realized Gain (Loss)		—			—			—			—			—
Change in Unrealized Appreciation (Depreciation)		(180,543	)		(99,535	)		(319,158	)		7,265			(591,971	)
Purchases		—			—			1,313,491			58,290			1,371,781
Sales		—			—			—			(87,435	)		(87,435	)
Transfers in to Level 3⁽¹⁾		—			—			—			—			—
Transfers out of Level 3⁽¹⁾		—			—			—			—			—

Balance as of September 30, 2016	$	1,100,762		$	564,127		$	4,044,520		$	29,644		$	5,739,053

Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2016	$	(180,543	)	$	(99,535	)	$	(319,158	)	$	7,265		$	(591,971	)

(1)	The Fund recognizes transfers in and out at the beginning of the period.

Significant unobservable valuation inputs of Level 3 investments as of September 30, 2016 are as follows:


Description	Fair Value at September 30, 2016		Valuation Techniques*	Unobservable Input	Price or Price Range
Asset-Backed Securities	$	1,100,762	Third-party Broker	Broker Quotes	$	83.001 to $85.001
Commercial Mortgage-Backed Securities-Agency	$	564,127	Third-party Vendor	Vendor Prices	$	6.891
Residential Mortgage-Backed Securities-Non-Agency (Interest Only Collateral Strip Rate Securities)	$	1,788,494	Third-party Vendor	Vendor Prices	$	1.092 to $3.062
Residential Mortgage-Backed Securities-Non-Agency (Interest Only Securities)	$	2,256,026	Third-party Vendor	Vendor Prices	$	0.851 to $19.649
Common Stock-Electric	$	29,644	Third-party Vendor	Vendor Prices	$	2.625

*	The valuation technique employed on the Level 3 securities involves the use of third-party broker quotes and vendor prices. The Advisor monitors the effectiveness of third-party brokers and vendor pricing using the valuation process described below.

Level 3 Valuation Process: Investments classified within Level 3 of the fair value hierarchy may be fair valued by the Advisor with consent of the Pricing Committee in accordance with the guidelines established by the Board and under the general oversight of the Board. The Pricing Committee employs various methods to determine fair valuations, including a regular review of key inputs and assumptions and review of any related market activity. The Pricing Committee reports to the Board at their regularly scheduled meetings. It is possible that fair value prices will be used by the Fund to a significant extent. The value determined for an investment using the Fund’s fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon the sale of such investment. The Advisor, as part of the daily process, conducts back-testing of prices based on daily trade activities.

The Pricing Committee consists of the Fund’s President, General Counsel, Chief Compliance Officer, Assistant Treasurer, Secretary, and a representative from the portfolio management team, as well as alternate members as the Board may from time to time designate. The Pricing Committee reviews and makes recommendations concerning the fair valuation of portfolio securities and the Fund’s pricing procedures in general.

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

At September 30, 2016, the Fund had the following derivatives grouped in the following risk categories:

Asset Derivatives


	Equity Risk			Foreign Currency Risk			Interest Rate Risk		Total
Futures Contracts	$	—		$	—		$	41,284	$	41,284
Forward Contracts		—			14,435			—		14,435

Total Value	$	—		$	14,435		$	41,284	$	55,719

Liability Derivatives
Futures Contracts	$	(27,579	)	$	—		$	—	$	(27,579	)
Forward Contracts		—			(38,987	)		—		(38,987	)

Total Value	$	(27,579	)	$	(38,987	)	$	—	$	(66,566	)

Outstanding Contracts⁽¹⁾
Forward Contracts (Notional Amounts)	$	—		$	2,914,215		$	—	$	2,914,215
Futures Contracts (Number of Contracts)		38			—			47		85

(1)	Amount disclosed represents average number of contracts or notional amounts, which are representative of the volume traded for the period ended September 30, 2016.

Forward Foreign Currency Contracts: The Fund may enter 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. Outstanding foreign currency forward contracts at September 30, 2016 are disclosed in the Schedule of Investments.

Futures Contracts: The Fund may seek to manage a variety of different risks or obtain exposure through the use of futures contracts. The Fund may use index futures to hedge against broad market risks to its portfolio or to gain broad market exposure when it holds uninvested cash or as an inexpensive substitute for cash investments directly in securities or other assets. Securities index futures contracts are contracts to buy or sell units of a securities index at a specified future date at a price agreed upon when the contract is made and are settled in cash. Positions in futures may be closed out only on an exchange or board of trade which provides a secondary market for such futures. Because

futures contracts are exchange-traded, they typically have minimal exposure to counterparty risk. Parties to a futures contract are not required to post the entire notional amount of the contract, but rather a small percentage of that amount (by way of margin), both at the time they enter into futures transactions, and then on a daily basis if their positions decline in value; as a result, futures contracts are highly leveraged. Such payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Because futures markets are highly leveraged, they can be extremely volatile, and there can be no assurance that the pricing of a futures contract will correlate precisely with the pricing of the asset or index underlying it or the asset or liability of the Fund that is the subject of the hedge. It may not always be possible for the Fund to enter into a closing transaction with respect to a futures contract it has entered into at a favorable time or price. When the Fund enters into a futures transaction, it is subject to the risk that the value of the futures contract will move in a direction unfavorable to it.

When the Fund uses futures contracts for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part. When a futures contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The Fund used S&P 500 Index futures to gain exposure to the equity market. The Fund also utilized Treasury futures to help manage interest rate duration and credit market exposure. Futures contracts outstanding at September 30, 2016 are listed in the Fund’s Schedule of Investments.

Options: The Fund may purchase and sell put and call options on securities or indexes to enhance investment performance and/or to protect against changes in market prices.

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. The Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by them. The Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If the Fund holds the security underlying the option, the option premium and any transaction costs will reduce any profit the Fund might have realized had they sold the underlying security instead of buying the put option. The Fund may purchase call options to hedge against an increase in the price of securities that the Fund ultimately wants to buy. The 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 the Fund might have realized had it bought the underlying security at the time it purchased the call option.

The Fund may execute transactions in both listed and OTC options. Listed options involve minimal counterparty risk since listed options are guaranteed against default by the exchange on which they trade. Transactions in certain OTC options may expose the Fund to the risk of default by the counterparty to the transaction. In the event of default by the counterparty to the OTC option transaction, the Fund’s maximum amount of loss as purchaser is the premium paid plus any unrealized gain. During the period ended September 30, 2016, the Fund did not purchase or write any option contracts.

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).

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.

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

During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security. These periodic payments received or made by the Fund are recorded as realized gains and losses, respectively. During the period ended September 30, 2016, the Fund did not enter into such agreements.

Mortgage-Backed Securities: The Fund may invest in mortgage pass-through securities 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 Ginnie Mae, Freddie Mac or Fannie Mae. The issuer of a series of CMOs may elect to be treated for tax purposes as a Real Estate Mortgage Investment Conduit. CMOs are structured into multiple classes, each bearing a different stated maturity. Monthly payment of principal received from the pool of underlying mortgages, including prepayments, is first returned to investors holding the shortest maturity class. Investors holding the longer maturity classes usually receive principal only after shorter classes have been retired. An investor may be partially protected against a sooner than desired return of principal because of the sequential payments. The Fund may invest in stripped MBS. Stripped MBS are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. In certain cases, one class will receive all of the interest (the interest only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). The yield to maturity on IOs is sensitive to the rate of principal prepayments (including prepayments) on the related underlying mortgage assets, and principal payments may have a material effect on yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, the Fund may not fully recoup its initial investment in IOs.

Repurchase Agreements: The Fund may enter into repurchase agreements, under the terms of Master Repurchase Agreement (“MRA”). 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 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 to be received by the Fund upon the maturity of the repurchase transaction. 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. There were no repurchase agreements outstanding at September 30, 2016.

When-Issued, Delayed-Delivery, and Forward Commitment Transactions: The Fund may enter into when issued, delayed-delivery or forward commitment transactions in order to lock in the purchase price of the underlying security

or to adjust the interest rate exposure of the Fund’s existing portfolios. In when-issued, delayed-delivery, or forward commitment transactions, the Fund commits to purchase particular securities, with payment and delivery to take place at a future date. Although the Fund does not pay for the securities or start earning interest on them until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If the Fund’s counterparty fails to deliver a security purchased on a when-issued, delayed-delivery or forward commitment basis, there may be a loss, and that the Fund may have missed an opportunity to make an alternative investment.

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

Security Lending: The Fund may lend its securities to qualified brokers. The loans must be collateralized at all times primarily with cash although the Fund can accept money market instruments or U.S. government securities with a market value at least equal to the market value of the securities on loan. As with any extensions of credit, the Fund may bear the risk of delay in recovery or even loss of rights in the collateral if the borrowers of the securities fail financially. The Fund earns additional income for lending its securities by investing the cash collateral in short-term investments. The Fund did not lend any securities during the period ended September 30, 2016.

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 September 30, 2016, net unrealized appreciation on investments for federal income tax purposes was as follows:


Unrealized Appreciation	$	19,448,715
Unrealized (Depreciation)		(5,081,811	)

Net Unrealized Appreciation	$	14,366,904

Cost of Investments for Federal Income Tax Purposes	$	271,788,513

Note 3 — 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 or exempted from such registration before being sold to the public. 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. However, the Fund considers 144A securities to be restricted if those securities have been deemed illiquid by the Advisor. Disposal of these securities may involve time consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Restricted securities outstanding at September 30, 2016 are listed below:


Issuer Description	Acquisition Date		Aggregate Cost		Aggregate Value		Value as Percentage of Fund’s Net Assets
Citigroup Commercial Mortgage Trust (12-GC8-XA), (144A), 2.316%, due 09/10/45		2/13/15-2/26/16	$	741,301	$	564,127		0.20	%
Mach Gen, LLC		11/12/15		58,290		29,644		0.01	%

			$	799,591	$	593,771		0.21	%

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) are 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.



(Registrant)		TCW Strategic Income Fund, Inc.


By (Signature and Title)		/s/ David S. DeVito


		David S. DeVito President and Chief Executive Officer

Date		November 9, 2016

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.



By (Signature and Title)		/s/ David S. DeVito


		David S. DeVito President and Chief Executive Officer

Date		November 9, 2016

By (Signature and Title)		/s/ Richard M. Villa


		Richard M. Villa Treasurer and Chief Financial Officer

Date		November 9, 2016