Company: TSI
Filing Date: 2025-03-05
Form Type: N-CSR
Source: 0001193125-25-046168
Chunk: 16

Company: TCW STRATEGIC INCOME FUND INC
Filing Date: 2025-03-05
Form: N-CSR
Chunk 16
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 (1) | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only variation margin on December 31, 2024 is reported within the Statement of Assets and Liabilities. |

| (2) | Includes cumulative appreciation (depreciation) of swap agreements as reported in the Schedule of Investments. Only variation margin on December 31, 2024 is reported within the Statement of Assets and Liabilities. |

| (3) | Amount disclosed represents average number of contracts or notional amounts, which are representative of the volume traded for the year ended December 31, 2024. |

Counterparty Credit Risk:Derivative contracts may be exposed to counterparty credit risk. Losses can occur if the counterparty does not perform under the contract. The Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund. With exchange-traded futures and centrally cleared swaps, there is less counterparty credit risk to the Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, the credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk 37 TCW Strategic Income Fund, Inc. Notes to Financial Statements (Continued) Note 2 — Significant Accounting Policies (Continued) exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund. For OTC derivatives, the Fund mitigates its counterparty risk by entering into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with each counterparty. An ISDA Master Agreement is a bilateral agreement between the Fund and a